MATS280 Risk Theory (5 cr)

Open the course unit brochure on Sisu
Study level:
Advanced studies
Grading scale:
0-5
Language:
English
Responsible organisation:
Department of Mathematics and Statistics
Curriculum periods:
2017-2018, 2018-2019, 2019-2020

Description

Content

Stochastic modeling of non-live insurance: Poisson process, risk process, ruin probabilities, Cramer-Lundberg bounds,
heavy and light tails for claim size distributions.

Completion methods

Course exam and exercises. Part of the exercises may be obligatory.

Final exam is an other option.

Assessment details

The grade is based on
a) the number of points in the course exam and possibly additional points from exercises
OR
b) the number of points in the final exam.

At least half of the points are needed to pass the course.

Learning outcomes

After completing the course, the participant knows
* how to model the basic risk of an insurance company,
* how to compute and estimate ruin probabilities,
* the difference in between modelling small and frequent risks (light tails) and big and rare risks (heavy tails).

Description of prerequisites

MATA280 Foundations of stochastics or TILA121 Probability or TILA1200 Probability 1.

Study materials

Lecture Notes: C. Geiss and S. Geiss. Non-life insurance mathematics.
T. Mikosch. Non-Life Insurance Mathematics. Springer 2006.

Completion methods

Method 1

Select all marked parts

Method 2

Select all marked parts
Parts of the completion methods
x

Teaching (5 cr)

Type:
Participation in teaching
Grading scale:
0-5
Language:
English

Teaching

x

Exam (5 cr)

Type:
Exam
Grading scale:
0-5
Language:
English

Teaching