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Advanced Topics on Non-life Actuarial Mathematics - NMFM611

Title:	Pokročilé partie matematiky neživotního pojištění
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2018
Semester:	winter
E-Credits:	3
Hours per week, examination:	winter s.:2/0, Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	taught
Language:	Czech
Teaching methods:	full-time
Teaching methods:	full-time

Guarantor:	RNDr. Lucie Mazurová, Ph.D.
Class:	Pravděp. a statistika, ekonometrie a fin. mat.
Classification:	Mathematics > Financial and Insurance Math.
Is interchangeable with:	NFAP049

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Annotation -

Last update: T_KPMS (25.04.2016)

Presentation of advanced stochastic methods in non-life insurance mathematics concerning the calculation of technical reserves, rate-making and risk management. A course for PhD students.

Aim of the course -

Last update: T_KPMS (06.05.2014)

Improvement of the knowledge of stochastic modelling in non-life insurance.

Course completion requirements -

Last update: RNDr. Lucie Mazurová, Ph.D. (29.10.2019)

Passing an oral exam.

Literature -

Last update: RNDr. Lucie Mazurová, Ph.D. (29.10.2019)

Wütrich, M.V., Merz, M.: Stochastic Claims Reserving Methods in Insurance. John Wiley & Sons, 2008.

Denuit, M., Marèchal, X., Pitrebois, S., Walhin, J.-F.: Actuarial Modelling of Claim Counts: risk classification, credibility and bonus-malus systems. John Wiley & Sons, Chichester, 2007.

Bühlmann, H., Gisler, A.: A Course in Credibility Theory and its Applications. Springer-Verlag, Berlin Heidelberg, 2005.

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

Teaching methods -

Last update: T_KPMS (06.05.2014)

Lecture.

Requirements to the exam -

Last update: RNDr. Lucie Mazurová, Ph.D. (29.10.2019)

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

Syllabus -

Last update: T_KPMS (07.05.2014)

1. Advanced methods of claims development analysis

2. Reserve risk modeling for solvency purposes

3. Statistical methods in creating tariff structure and rate making

4. Experience rating