STK4540 – Non-Life Insurance Mathematics
Schedule, syllabus and examination date
The most important mathematical models in general insurance are introduced, including how they are identified from historical data and how they are simulated in the computer. These methods are used to price insurance products, control the solvency of companies, analyse reinsurance and examine the development of a company over time. There is an introduction to Ruin Theory and the computations and estimation of default probabilities. The subject includes a part about Credibility Theory and how to compute net premiums based on historical data. The last part is devoted to the computation of reserves under the Solvency II regulation, a regime all insurance companies in the EU/EØS area have to follow.
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;
- Analyse reinsurance strategies for both cedent and reiunsurer;
- Ruin Theory (Risk process and probability for bankrupcy).
- Credibility Theory (Bayes and linear Bayes estimators under the heterogenity model, Bühlmann and Bühlmann-Straub model).
- Computation of insurance reserves with the help of run-off triangles under Solvency II.
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If you are not already enrolled as a student at UiO, please see our information about admission requirements and procedures.
Recommended previous knowledge
MAT1100 – Calculus, MAT1110 – Calculus and linear algebra, MAT-INF1100 – Modelling and computations, STK1100 – Probability and statistical modelling, STK1110 – Statistical methods and data analysis , STK3505 – Problems and methods in Actuarial science (STK2520 – Problems and methods in Actuarial science (continued)).
*The information about overlaps for discontinued courses may not be complete. If you have questions, please contact the Department.
3 hours per week.
Final written examination.
Examination support material
Approved calculators are allowed.
Information about approved calculators (Norwegian only)
Language of examination
Subjects taught in English will only offer the exam paper in English.
You may write your examination paper in Norwegian, Swedish, Danish or English.
Grades are awarded on a scale from A to F, where A is the best grade and F is a fail. Read more about the grading system.
Explanations and appeals
Resit an examination
This course offers both postponed and resit of examination. Read more:
Withdrawal from an examination
It is possible to take the exam up to 3 times. If you withdraw from the exam after the deadline or during the exam, this will be counted as an examination attempt.
Special examination arrangements
Application form, deadline and requirements for special examination arrangements.
The course is subject to continuous evaluation. At regular intervals we also ask students to participate in a more comprehensive evaluation.