Messages

Some guidelines:

1. try to answer everything

2. try to write with neat handwriting

3. Often in discussion questions one does not need to write very long answers, try to find the core of the question and stick to that.

Good luck!

The curriculum for STK 4540 autumn 2015 is:

1. Chapter 8,9,10 in Bølviken's book

2. Chapter 6.3 and Chapter 2.5  in Bølviken's book.

3. The article about chain ladder on the course homepage

4. All lecture notes

5. All exercises discussed at the lectures

6. The assignment

7. The Solvency II presentation

8. The inversion principle

New material relevant for the exame is uploaded under the link 'Exame-prep'

The plan for the last lecture:

1. Natural disasters - a final look. A simplistic approach to modelling total natural disastsers is presented analyzing the total claim amount using non-parametric sampling up to the 99th percentile and Pareto in the tail.

2. Discussion of one more old exame

3. Remaining reinsurance exercises
 

The lecture notes for November 4th, 2015 (on solvency Chapter 10), October 28th, 1015 (The Solvency II lecture) and October 21th, 2015 (on pricing Chapter 10) are uploaded.

An article on the chain ladder method, which is a part of the course curriculum, is also uploaded.

All documents are found under the link 'Lectures' on the course web page.

The exercises for November 11th, 2015 are 10.18, 10.19, 10.20.10.21, 10.22

The exercises for November 4th, 2015 are the remaining previously given from Chapter 9, i.e., 9.32, 9.34, 9.35. In addition, the exercises 10.14, 10.15, 10.16, 10.18, 10.19 will be treated.

The data are per event, i.e., an entry per catastrophe day. The distribution of claims is therefore the distribution of a claim payout on a randomly selected catastrophe day. You are supposed to produce an estimate for next year's catastrophe claim payout. In order to do this you need to estimate how likely it is, on average that a catastrophe occurs on any given day. Then you multiply this likelihood with the number of days in a year. This product is multiplied with the expected payout from a randomly selected catastrophe day. The product of these three numbers will then be an estimate of the next year's catastrophe risk premium.

New text files (txt format) are uploaded for the assignment. These new files are without space separator for the numbers and with zeroes instead of blanks indicating 0 claims.

Solvency II Manager in DNB Forsikring, Mr Tord Kopland Eid, will present Solvency II (2 x 45 minutes). In the exercises we will finalize the remaning exercises from last week.

The first 45 minutes will be spent on pricing, chapter 10.

The last 90 minutes will be spent on exercises.

9.14-9.19, 9.21-9.29, 9.32, 9.34-9.36

1. Data files for assignment in txt format are uploaded under assignment.

2. The example presented from lecture on October 21th, 2015, with real fire data from DNB is uploaded under examples.

3. Powerpoint presentations from claim size, named lecture 6 and lecture 7 are uploaded under lectures

Please find assignment for 2015 published on the web under the link 'Assignment 2015'. Please note that you have to get approved the assignment in order to take the exame for STK 4540. You have to deliver the assignment to the administration, Department of Mathematics, Expedition, 7th floor, Mathematics Building, Nils Henrik Abels building, by the end of November 6th, 2015.

You may work together but each student has to deliver a report. R code is to be included.

Exercises for October 7th are 9.1, 9.2, 9.5, 9.6, 9.10, 9.11, 9.12, 9.13

In the lecture on October 7th, 2015 the presentation of Chapter 9 is continued.

In the lecture on October 14th, 2015, Tord Kopland Eid, Solvency II Manager in DNB Forsikring will present Solvency II. This will last 2x45 minutes. There will be no exercises on October 14th, 2015.

Lecture 1 (45 minutes) : Demonstration of claim frequency model in insurance pricing tool from Towers Watson.

Lecture 2 (45 minutes): Start on average claim size modelling, Chapter 9.

Exercises for September 30th, 2015 are 8.26-8.31

Exercises for September 23rd are 8.21-8.24

This will not reduce the total number of lectures, it will merely postpone the course with one week.

..under the link Lectures

Exercises for September 9th, 2015 are 8.11, 8.14, 8.17, 8.18, 8.19, 8.20