Semester page for STK4540 - Autumn 2018

You can find a suggested solution to the ordinary exam from December 2018 in "course material" or by clicking here. You did a very good exam! I hope you enjoyed the course and learned a lot of non-life insurance mathematics! Happy New Year!

Jan. 2, 2019 3:15 PM

I have prepared a list with some problems for our last lecture. You can download it here or by going to section "Course material".

This is a preliminary version. I recommend you to take a look and try to solve at least Problem 1 and 3.

See you on Friday!

Nov. 20, 2018 10:16 PM

You can find a suggested solution to the 2nd assignment in the section "course material" or by clicking here.

Comments and recommendations: The Norwegian fire losses was apparently quite hard to fit. The Pareto distribution was not a good fit as you may have noticed. In my solution I also justify that the exponential is not a good fit either (the Pareto is too risk-averse, while the exponential is too risky). I also include the premium using the empirical distribution (some students did that as well, very good!) I also tried a generalized Pareto. This one is indeed better, but not optimal. You may try to do your own inference :) For the exam: the important part of the assignment for the exam are items: (a), (e), (f), (g) and (i). Also the challenge. See you next Friday!

Nov. 9, 2018 7:55 PM

Next week there will be no lecture. Then we will have our last lecture on Friday the 16th of November. We will devote this lecture to the use of the Chain-Ladder method for estimating reserves. This is the most simple (and also used) method. We will see what it is based on and its restrictions. For this purpose I recommend you to take a look at the summary given in this paper.

The exam will most likely include a short question on this technique.

Comment about the assignment: Do not worry if you reject the hypothesis that the data comes from a Pareto distribution. Just continue with the analysis assuming so. You may also try to cut extreme values which actually are transfered to the reinsurance company and compute the premium based on observations below 100000nok. An alternative is to use the emp...

Nov. 3, 2018 5:06 PM