Advanced Topics on Non-life Actuarial Mathematics - NMFM611
Title: Pokročilé partie matematiky neživotního pojištění
Guaranteed by: Department of Probability and Mathematical Statistics (32-KPMS)
Faculty: Faculty of Mathematics and Physics
Actual: from 2018
Semester: winter
E-Credits: 3
Hours per week, examination: winter s.:2/0, Ex [HT]
Capacity: unlimited
Min. number of students: unlimited
4EU+: no
Virtual mobility / capacity: no
State of the course: taught
Language: Czech
Teaching methods: full-time
Teaching methods: full-time
Guarantor: RNDr. Lucie Mazurová, Ph.D.
Class: Pravděp. a statistika, ekonometrie a fin. mat.
Classification: Mathematics > Financial and Insurance Math.
Is interchangeable with: NFAP049
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Annotation -
Last update: T_KPMS (25.04.2016)
Presentation of advanced stochastic methods in non-life insurance mathematics concerning the calculation of technical reserves, rate-making and risk management. A course for PhD students.
Aim of the course -
Last update: T_KPMS (06.05.2014)

Improvement of the knowledge of stochastic modelling in non-life insurance.

Course completion requirements -
Last update: RNDr. Lucie Mazurová, Ph.D. (29.10.2019)

Passing an oral exam.
Literature -
Last update: RNDr. Lucie Mazurová, Ph.D. (29.10.2019)

Wütrich, M.V., Merz, M.: Stochastic Claims Reserving Methods in Insurance. John Wiley & Sons, 2008.

Denuit, M., Marèchal, X., Pitrebois, S., Walhin, J.-F.: Actuarial Modelling of Claim Counts: risk classification, credibility and bonus-malus systems. John Wiley & Sons, Chichester, 2007.

Bühlmann, H., Gisler, A.: A Course in Credibility Theory and its Applications. Springer-Verlag, Berlin Heidelberg, 2005.

Mack, T.: Schadenversicherungsmathematik. Verlag Versicherungswirtschaft, Karlsruhe, 1997.

Teaching methods -
Last update: T_KPMS (06.05.2014)

Lecture.

Requirements to the exam -
Last update: RNDr. Lucie Mazurová, Ph.D. (29.10.2019)

Oral exam with written preparation. Requirements for the exam consist of the entire extent of the lecture.

Syllabus -
Last update: T_KPMS (07.05.2014)

1. Advanced methods of claims development analysis

2. Reserve risk modeling for solvency purposes

3. Statistical methods in creating tariff structure and rate making

4. Experience rating