F70RT - Risk Theory

To provide an introduction to risk theory as applied as applied to insurance processes and problem

To teach students methods of assessing premium for short term insurance policies

To introduce students to simple methods of claims reserving

1. Loss distributions

2. Aggregate risk model and Individual risk model

3. Risk sharing – simple reinsurance and deductibles

4. Premium calculation principles

5. Experience rating – No Claims Discount Systems

6. Ruin Theory

7. Claims reserving – run-off triangles

8. Simulation

9. Copulas

10. Extreme Value Theory

By the end of the course, students should be able to do the following:

Define probabilities of ruin in infinite/finite time
derive moments of a random variable with a compound distribution
construct collective and individual risk models, with or without simple reinsurance and/or excess arrangements.
explain the workings of a simple no claims discount (NCD) experience-rating system
apply Lundberg’s inequality
calculate outstanding claims reserves using standard methods for run-off triangles
apply copulas to model dependencies between risks
derive limiting distribution of the (scaled) maximum of independent identically distributed random variables

Further details

Curriculum explorer: Click here

SCQF Level: 10

Credits: 15