Subjects

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Mathematics of Non-Life Insurance 1 - NMFM401

Title:	Matematika neživotního pojištění 1
Form of teaching:	lecture+practicals
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2022 to 2025
Duration in semesters:	1
Semester:	winter
E-Credits:	5
Hours per week, examination:	winter s.:2/2, C+Ex [HT]
Capacity:	unlimited
Maximum number of enrolled students:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	not taught
Language:	English, Czech
Teaching methods:	full-time
Additional information:	https://dl1.cuni.cz/course/view.php?id=10389
Repeated enrollment:	2 / 2 / 2 / 2

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

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Annotation -

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.

Last update: Zichová Jitka, RNDr., Dr. (27.04.2018)

Aim of the course -

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.

Last update: T_KPMS (16.05.2013)

Course completion requirements -

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.

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

Literature -

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.

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

Teaching methods -

Lecture+exercises.

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

Course assessment methods and requirements for successful completion, grading scheme -

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

Last update: Mazurová Lucie, RNDr., Ph.D. (10.10.2017)

Syllabus -

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.

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

Course registration requirements -

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

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