Non-life Insurance

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.

Basic Information

Workload
45 hours
Requirements
Mathematical Statistics

Mandatory: 

  • 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

Complementary: 

  • 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.