Opleiding: Risk Theory

Leerdoelen

After successful completion of this course, students will be able to:

• Understand the expected utility model as an economic model behind the insurance business;
• use parametric distributions to model the frequency and sizes of claims in an insurance portfolio, estimate the parameters of these distributions and do random drawings from them;
• calculate or approximate statistical characteristics of the total claim size in a portfolio, starting from a description of the risks in the portfolio;
• understand the principles behind the ruin probability in the classical Poisson ruin process;
• understand how simple R programs work and apply these programs to the studied theory; implement the techniques studied in R programs;
• understand and analyse the mechanics of the Dutch bonus-malus system for car insurance.

Inhoud

Through utility theory an economic motivation of insurance is given. Individual and collective risk models for the total claims in an insurance portfolio are discussed. Ruin theory -which gives an insight into the stability of an insurer- is covered. The Dutch bonus-malus system is studied, including the Markov analysis needed for the determination of its asymptotic efficiency. The programming language R is used throughout to implement the various concepts and techniques studied in the course.

Aanbevolen voorkennis

This course has no subject-specific entry requirement. Having studied the courses Probability Theory and Statistics 2 and Probability Theory and Statistics 3 is recommended, not required.

Werkvorm

Weekly  two two-hour lectures, one two-hour seminar and one two-hour computer practicum.