Contents |
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Course Code
IAM 584 (9700584)
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Credit
(3-0) 3
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Prerequisites
Consent of instructors
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Content/Aims
Developing knowledge and skills in actuarial analyses. Using probability and statistics,stochastic processes and advanced mathematical methods in actuarial model building and applications. Insurance models.Multiple life and multiple decrements theory.Actuarial risk.Population theory.Interest as a random variable.
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Learning Outcomes
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Suggested Textbooks/Resources
- Bowers N.J., Gerber H.U., Hickman J.C., Jones D.A., Nesbitt C.J.(1997). "Actuarial Mathematics" , The Society of Actuaries
- Kaas R., Goaverts M., Dhaene J., Denuit M. (2001),"Modern Actuarial Risk Theory", Kluwer Academic Publishers
- Daykin C.D., Pentikainen T., Pesonen M. (1994), "Practical Risk Theory for Actuaries", Chapmann and Hall
- Bühlmann, H. (1970), "Mathematical Methods in Risk Theory" Springer-Verlag
- Hogg R.V., Klugman S.A.(1984), "Loss Distributions", John Wiley and Sons
Same as suggested textbooks plus additional reading material
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Outline
- Individual and collective risk models
- Claim amount (loss) distributions
- Insurance, reinsurance and ruin theory
- Actuarial risk theory and insurance models
- Insurance plans and benefits
- Multiple decrements (competing risks) and optimal policies
- Interest as a random variable
- Stochastic modelling of insurance business