Checking date: 22/04/2024


Course: 2024/2025

Non-life insurance pricing
(14243)
Master in Actuarial and Financial Science (Plan: 168 - Estudio: 224)
EPE


Coordinating teacher: BALBAS DE LA CORTE, ALEJANDRO

Department assigned to the subject: Business Administration Department

Type: Compulsory
ECTS Credits: 6.0 ECTS

Course:
Semester:




Requirements (Subjects that are assumed to be known)
Background on Mathematical analysis, probability Theory, Visual Basic and other Languages, Life Insurance and Pension Plans, Fixed Income, and Financial Markets.
Objectives
The main objective is the study of the most important and modern non-life actuarial models. Next we will give the topics that the student must learn so as to get the main objective above Content - Premium principles - Risk measurement and management - Reinsurance - Credibility theory - Generalized linear models in insurance Habilities: - Risk analysis for existing products/portfolios and design of new products - Risk management. Attitude: - Personal job - Collaboration with other students.
Skills and learning outcomes
Description of contents: programme
FIRST PART: RISK, PREMIUM PRINCIPLE AND REINSURANCE Risk measures Frequency and severity Premium principles Reinsurance SECOND PART: CREDIBILITY Classical approach Bülhmann approach Bayesian approach THIRD PART: REGRESSION Generalized linear models Regression of quantiles
Learning activities and methodology
Theoretical lectures Practical sesions Programming in several languages Applications wit real life examples
Assessment System
  • % end-of-term-examination 60
  • % of continuous assessment (assigments, laboratory, practicals...) 40

Calendar of Continuous assessment


Basic Bibliography
  • Ohlsson and Johansson. Non-life insurance pricing with generalized linear models. Springer. 2010
  • Yiu Kuen Tse. Nonlife actuarial models. Theory, methods and evaluation. Cambridge Universty Press. 2009

The course syllabus may change due academic events or other reasons.


More information: http://aplicaciones.uc3m.es/cpa/generaFicha?est=224&asig=14243&idioma=1