Risk models and claims reserving in non-life insurance
This is one of two courses in non-life insurance mathematics included in the master's programme in actuarial mathematics. It is meant to bridge the gap between theoretical courses in mathematical statistics, and practical insurance mathematics.
The course covers:
- Within the area of risk modelling: models for the number of claims and the claim amounts; the collective reserving model, compound distributions; mathematical models for reinsurance, in particular Excess-of-loss; adjustment of the models to insurance data; numerical methods for computing the distribution of the total claim amount of a portfolio; analysis of insurance case studies, premium risk.
- Within the area of claims reserving: computing a reserv for non-settled claims, using different methods.
- Within the abovementioned areas: evalutation of risk based capital requirements, valuation, risk measures, risk aggregation.
The course consists of two parts: theory (4 credits) and case studies (3.5 credits).
Teaching Format
Teaching consists of lectures, exercise sessions, supervision of case studies, and one or more seminars.
The course is given in English.
Assessment
Assessment of the first part, theory, takes place through written exam. Assessment of the second part, case studies, takes place through written and oral presentations.
Examiner
Lindskog, Filip. (2025). Risk Models, Claims Reserving and Solvency in Non-Life Insurance (lecture notes which are available on the course page).
Articles for project work.
Supplementary reading.
