STK4540 – Non-Life Insurance Mathematics

After completing the course you will be able to

• deal with the most common probability distributions for non-life insurance claims (heavy-tailed and light-tailed distributions)
• use models for collective risk and non-life insurance claims (Poisson process, mixed Poisson process, renewal process, Cramér-Lundberg model, Sparre-Andersen model, etc.)
• compute company obligations and premiums
• analyze reinsurance strategies for both cedent and reinsurer
• Ruin Theory (risk process and probability for bankruptcy)
• Credibility Theory (Bayes and linear Bayes estimators under the heterogeneity model, Bühlmann and Bühlmann-Straub model)
• computation of insurance reserves with the help of run-off triangles under Solvency II.

Students admitted at UiO must apply for courses in Studentweb. Students enrolled in other Master's Degree Programmes can, on application, be admitted to the course if this is cleared by their own study programme.

Nordic citizens and applicants residing in the Nordic countries may apply to take this course as a single course student.

If you are not already enrolled as a student at UiO, please see our information about admission requirements and procedures for international applicants.

• MAT1100 – Calculus
• MAT1110 – Calculus and Linear Algebra
• MAT-INF1100 – Modelling and Computations (discontinued) / MAT1105 – Linear algebra and numerical methods
• STK1100 – Probability and Statistical Modelling
• STK1110 – Statistical Methods and Data Analysis
• STK3505 – Introduction to Insurance Mathematics

4 hours of lectures/exercises per week throughout the semester.

The course may be taught in Norwegian if the lecturer and all students at the first lecture agree to it.

Final written exam or final oral exam, which counts 100 % towards the final grade.

The form of examination will be announced by the lecturer by 1 October/1 March for the autumn semester and the spring semester respectively.

This course has 2 mandatory assignments that must be approved before you can sit the final exam.

Students who can document a valid reason for absence from the regular examination are offered a postponed examination at the beginning of the next semester.

Re-scheduled examinations are not offered to students who withdraw during, or did not pass, the original examination.