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Course, academic year 2019/2020
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Mathematics of Non-Life Insurance 2 - NMFM402
Title in English: Matematika neživotního pojištění 2
Guaranteed by: Department of Probability and Mathematical Statistics (32-KPMS)
Faculty: Faculty of Mathematics and Physics
Actual: from 2015 to 2019
Semester: summer
E-Credits: 5
Hours per week, examination: summer s.:2/2 C+Ex [hours/week]
Capacity: unlimited
Min. number of students: unlimited
State of the course: taught
Language: English, Czech
Teaching methods: full-time
Guarantor: RNDr. Lucie Mazurová, Ph.D.
Class: M Mgr. FPM
M Mgr. FPM > Povinné
Classification: Mathematics > Financial and Insurance Math.
Pre-requisite : NMFM401
Is pre-requisite for: NMFM502, NMFM501
Annotation -
Last update: RNDr. Jitka Zichová, Dr. (27.04.2018)
Multiplicative tariff structure. Generalized linear models in rate-making. Fundamentals of bayesian credibility theory. Bühlmann-Straub model. Generalized linear models in reserving. Bonus systems.
Aim of the course -
Last update: T_KPMS (16.05.2013)

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

Course completion requirements -
Last update: RNDr. Michal Pešta, Ph.D. (30.01.2018)

Conditions for the exercise class credit: 9 attended practicals and 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 - Czech
Last update: T_KPMS (16.05.2013)

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

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

S. Haberman, E. Pitacco: Actuarial Models for Disability Insurance. Chapman & Hall, 1999.

Teaching methods -
Last update: T_KPMS (16.05.2013)

Lecture+exercises.

Requirements to the exam -
Last update: RNDr. Lucie Mazurová, Ph.D. (19.02.2018)

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)

Multiplicative tariff structure. Generalized linear models. GLM in rate-making. Credibility theory. Bühlmann and Bühlmann-Straub models. GLM in reserving. Credibility approach to reserving. Modeling of bonus-malus systems.

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

Stochastic models for claim sizes, claim frequency, aggregate claims in non-life insurance. Basic methods of development triangles analysis. Basics of parameter estimation and hypotheses testing. Linear regression model.

 
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