Non-life Insurance

Informações Básicas

Carga horária: 

45h

Pré-requisito: 

Mathematical Statistics

Ementa: 

Collective risk models. Compound distributions. Individual claim size and Frequency modelling. Approximations for compound distributions: Edgeworth e Saddle point, Panjer Algorithm and Fast Fourier Transform. Premium calculation principles. Tariffication and Generalized Linear Models. Bayesian models and Credibility Theory. Claims reserving. Solvency Considerations.

Bibliografia

Obrigatória: 

·       Wüthrich, M. V., & Merz, M. (2008). Stochastic claims reserving methods in insurance (Vol. 435). John Wiley & Sons.
·       Kaas, R., Goovaerts, M., Dhaene, J., & Denuit, M. (2008). Modern actuarial risk theory: using R (Vol. 128). Springer Science & Business Media.
·       Wuthrich, M. V. (2017). Non-life insurance: mathematics & statistics. Notas de Aula. SSRN:2319328

Complementar: 

·       Asmussen, S., & Albrecher, H. (2010). Ruin probabilities. World Scientific Publishing Co Pte Ltd.
·       Wuthrich, M. V., & Merz, M. (2015). Stochastic claims reserving manual: Advances in dynamic modeling. Notas de Aula. SSRN:2649057
·       Wüthrich, M. V., & Merz, M. (2013). Financial modeling, actuarial valuation and solvency in insurance. New York: Springer.
·       Taylor, G. (2012). Loss reserving: an actuarial perspective (Vol. 21). Springer Science & Business Media.
·       Dobson, A. J., Barnett, A. (2008). An introduction to generalized linear models. CRC press.