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Contents

Course Code

IAM 584 (9700584)

Credit

(3-0) 3

Prerequisites

Consent of instructors

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.

Learning Outcomes

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

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