MATS280 Risk Theory (5 cr)

Open the course unit brochure on Sisu
Study level:
Advanced studies
Grading scale:
0-5
Language:
English, Finnish
Responsible organisation:
Department of Mathematics and Statistics
Curriculum periods:
2024-2025, 2025-2026, 2026-2027, 2027-2028

Description

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

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).
Moreover, the student has developed his ability of critical thinking from the experience that ruin theory offers many models for insurance, but none of them fulfills all wanted criteria.

Description of prerequisites

MATA280 Foundations of stochastics.

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

Evaluation criteria:
The grade of the course is determined by the points aquired in the exam and in the exercises.
Time of teaching:
Period 1
Select all marked parts

Method 2

Evaluation criteria:
The grade of the course is determined by the points aquired in the exam.
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