Practical Course Information

Welcome to the course!

First lecture: Monday 17 August, at 12:15 in room 108 (NHA).

Lectures: Mondays 12-14 and Wednesdays 10-12

During the first lecture, we will decide on the language of instruction and the submission deadlines for the assignments.

We will use the following textbooks in this course:

1. Mikosch, T.: Non-Life Insurance Mathematics: An Introduction with Poisson Process. 2nd edition, Springer (2009).

and

2. Bølviken, E.: Computation and Modelling in Insurance and Finance. Cambridge University Press (2014).

and possibly lecture notes that will be uploaded to this course page.

Syllabus:

We plan to cover the following chapters from T. Mikosch’s book, although changes may occur and supplementary literature may be added.

1. Review of basic non-life insurance mathematics (e.g. models for claim number processes, the total claim amount; see Ch. 2 and 3)

2. Ruin Theory (Ch. 4)

3. Bayes Estimation (Ch. 5)

4. Linear Bayes Estimation (Ch. 6)

5. Cluster Point Processes (e.g. chain ladder method; see Ch. 11, but also Ch. 7, 8 and 9, which will be (partially) discussed, too.)