MATS280 Risk Theory (5 cr)
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).
Study methods
Course exam and exercises. Part of the exercises may be obligatory.
Final exam is an other option.
Content
Stochastic modeling of non-live insurance: Poisson process, risk process, ruin probabilities, Cramer-Lundberg bounds,
heavy and light tails for claim size distributions.
Materials
Lecture Notes: C. Geiss and S. Geiss. Non-life insurance mathematics.
T. Mikosch. Non-Life Insurance Mathematics. Springer 2006.
Assessment criteria
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.
Prerequisites
MATA280 Foundations of stochastics or TILA121 Probability or TILA1200 Probability 1.