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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 2013 to 2016
Semester:	winter
E-Credits:	5
Hours per week, examination:	winter 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
Teaching methods:	full-time

Guarantor:	RNDr. Lucie Mazurová, Ph.D.
Class:	M Mgr. FPM M Mgr. FPM > Povinné
Classification:	Mathematics > Financial and Insurance Math.
Is pre-requisite for:	NMFM402

Opinion survey results Examination dates Schedule Noticeboard

Annotation -

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

Modelling claims in non-life insurance. Parametric models and their identification. Computation of aggregate claims distribution. Fundamentals of the ruin theory. Technical reserves in non-life insurance.

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.

Literature - Czech

Last update: T_KPMS (16.05.2013)

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. (28.09.2020)

Lecture+exercises.

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. Collective risk model in discrete time. The probability of ruin and the adjustment coefficient. Technical reserves in non-life insurance. Stochastic models of claims development. The analysis of development triangles.