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Course, academic year 2022/2023
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Mathematics of Non-Life Insurance 1 - NMFM401
Title: Matematika neživotního pojištění 1
Guaranteed by: Department of Probability and Mathematical Statistics (32-KPMS)
Faculty: Faculty of Mathematics and Physics
Actual: from 2022
Semester: winter
E-Credits: 5
Hours per week, examination: winter s.:2/2, C+Ex [HT]
Capacity: unlimited
Min. number of students: unlimited
Virtual mobility / capacity: no
State of the course: not taught
Language: English, Czech
Teaching methods: full-time
Additional information:
Guarantor: RNDr. Lucie Mazurová, Ph.D.
Class: M Mgr. FPM
M Mgr. FPM > Povinné
Classification: Mathematics > Financial and Insurance Math.
Incompatibility : NMFP409
Interchangeability : NMFP409
Is incompatible with: NMFP409
Is pre-requisite for: NMFM402
Is interchangeable with: NMFP409
Annotation -
Last update: RNDr. Jitka Zichová, Dr. (27.04.2018)
Modeling claims in non-life insurance. Parametric models and their identification. Methods of calculation of the distribution of aggregate claims. Technical reserves in non-life insurance. Reinsurance.
Aim of the course -
Last update: T_KPMS (16.05.2013)

The aim of the subject is to describe probabilistic models used in non-life insurance, fundamentals of the collective risk model including elementary ruin theory , to make a survey of technical reserves and selected methods for computing outstanding claims reserves.

Course completion requirements -
Last update: RNDr. Lucie Mazurová, Ph.D. (13.10.2021)

Conditions for the exercise class credit: all solved homeworks, written exam (at least 50% of points), oral presentation on a given topic.

The nature of these requirements precludes possibility of additional attempts to obtain the exercise class credit.

The exercise class credit is necessary for the participation in the exam.

Literature -
Last update: doc. RNDr. Michal Pešta, Ph.D. (28.10.2019)

Mandl, P., Mazurová, L.: Matematické základy neživotního pojištění. Matfyzpress, Praha 1999.

Klugman, S.A., Panjer, H.H., Willmot, G.E.: Loss Models, John Wiley & Sons, 1998.

T. Mack: Distribution free calculation of the standard error of chain ladder reserves estimate.

ASTIN Bulletin 23 (1993), 213-225.

Teaching methods -
Last update: RNDr. Lucie Mazurová, Ph.D. (13.10.2021)


Requirements to the exam -
Last update: RNDr. Lucie Mazurová, Ph.D. (10.10.2017)

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

Syllabus -
Last update: RNDr. Lucie Mazurová, Ph.D. (26.04.2018)

Modelling claims frequency and severity. Characteristics of compound distributions. Recursive calculations and approximations of compound distributions. Technical reserves in non-life insurance. Stochastic models of claims development. The analysis of development triangles. Forms of reinsurance. Reinsurance premium calculation.

Entry requirements -
Last update: RNDr. Lucie Mazurová, Ph.D. (30.05.2018)

Basics of probability theory: probabilty distribution, conditioning, moment generating function, moments, conditional expected value.

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