Subjects

Your browser does not support JavaScript, or its support is disabled. Some features may not be available.

Mathematics of Non-Life Insurance 2 - NMFP434

Title:	Matematika neživotního pojištění 2
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2023
Semester:	summer
E-Credits:	5
Hours per week, examination:	summer s.:2/2, C+Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	taught
Language:	English, Czech
Teaching methods:	full-time
Additional information:	https://dl1.cuni.cz/course/view.php?id=9736

Guarantor:	RNDr. Lucie Mazurová, Ph.D.
Class:	M Mgr. FPM M Mgr. FPM > Povinně volitelné
Classification:	Mathematics > Financial and Insurance Math.
Incompatibility :	NMFM402
Pre-requisite :	NMFP409
Interchangeability :	NMFM402
Is incompatible with:	NMFM402
Is pre-requisite for:	NMFP558
Is interchangeable with:	NMFM402

Opinion survey results Examination dates Noticeboard

Annotation -

Point processes and their application in modeling the arrival of insurance claims in time. Bayesian credibility theory. GLM in reserving. Mean square error of a loss reserve estimate.

Last update: Branda Martin, doc. RNDr., Ph.D. (13.12.2020)

Aim of the course -

The aim of the subject is to make the students aquainted with selected mathematical methods used in non-life insurance rate-making.

Last update: Zichová Jitka, RNDr., Dr. (02.06.2022)

Course completion requirements -

Conditions for the exercise class credit: timely completion of regularly assigned homework, elaboration of a larger project at the end of the semester.

The nature of the conditions for the credit does not allow it to be repeated.

Credit is a condition for taking the exam.

Last update: Mazurová Lucie, RNDr., Ph.D. (19.02.2025)

Literature -

H. Panjer, G.E. Willmot: Insurance risk models. Society of Actuaries, 1992.

E. Ohlsson, B. Johansson: Non-life Insurance Pricing with Generalized Linear Models. Springer, 2010.

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

M.V. Wüthrich, M. Merz: Stochastic Claims Reserving Methods in Insurance. Wiley, 2008.

Last update: Branda Martin, doc. RNDr., Ph.D. (13.12.2020)

Teaching methods -

Lecture + exercises.

Last update: Zichová Jitka, RNDr., Dr. (02.06.2022)

Requirements to the exam -

The exam is oral with written preparation. The requirements cover the material presented in the lecture.

Last update: Mazurová Lucie, RNDr., Ph.D. (01.10.2025)

Syllabus -

1. Poisson process, processes with an intensity depending on time and state. Renewal processes.

2. Application of GLM in a multiplicative tariff structure. Models of claim frequency and claim severity.

3. Application of GLM in the analysis of development triangles. Mean square error of the IBNR reserve prediction and its estimate.

4. Bühlmann and Bühlmann - Straub models of credibility theory. Application in a multiplicative tariff structure and in reserving.

Last update: Mazurová Lucie, RNDr., Ph.D. (12.12.2020)

Entry requirements -

Conditional probability, conditional expected value, probability distribution of claim sizes and claim numbers, maximum likelihood method, basics of linear regression.

Last update: Mazurová Lucie, RNDr., Ph.D. (01.10.2025)