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Risk Theory 2 - NMFP531

Title:	Teorie rizika 2
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2024
Semester:	winter
E-Credits:	4
Hours per week, examination:	winter s.:2/1, C+Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	taught
Language:	Czech, English
Teaching methods:	full-time
Additional information:	https://dl1.cuni.cz/course/view.php?id=15604

Guarantor:	RNDr. Lucie Mazurová, Ph.D.
Teacher(s):	Mgr. Ing. Pavel Kříž, Ph.D. RNDr. Lucie Mazurová, Ph.D.
Class:	M Mgr. FPM M Mgr. FPM > Povinně volitelné
Classification:	Mathematics > Financial and Insurance Math.
Is incompatible with:	NMFM503
Is pre-requisite for:	NMFP558
In complex interchangeability with:	NMFM503

Opinion survey results Examination dates WS schedule Noticeboard

Annotation -

Multiple state models in insurance. Bonus-malus systems in automobile insurance. Modeling bonus systems using discrete-time Markov chains. Multiple state models in disability insurance. Estimation of transition intensities. Construction of an increment-decrement table. Actuarial calculations.

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

Course completion requirements -

Requirements to successfully pass the practicals: Elaboration of two extensive homeworks assigned during the semester.

Last update: Mazurová Lucie, RNDr., Ph.D. (03.10.2024)

Literature -

M. Denuit, X. Maréchal, S. Pitrebois, J.-F. Walhin: Actuarial Modelling of Claim Counts. John Wiley & Sons, 2007.

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

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

Teaching methods -

Lecture + exercises.

Last update: Zichová Jitka, RNDr., Dr. (09.05.2023)

Requirements to the exam -

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

Last update: Mazurová Lucie, RNDr., Ph.D. (03.10.2024)

Syllabus -

1. Bonus-malus system: transition rules, modeling by means of a discrete-time Markov chain, stationary distribution, optimal relativities, interaction with a priori ratemaking, measures of efficiency.

2. Multiple state models in disability insurance: modeling by means of continuous-time Markov chains, transition intensities and their estimation, transition probabilities, construction of an increment-decrement table, calculation of premius and reserves.

Last update: Mazurová Lucie, RNDr., Ph.D. (13.12.2020)