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## Risk Theory

• Enseignant(s):
• Titre en français: Théorie du Risque
• Cours donné en: anglais
• Crédits ECTS: 6 crédits
• Horaire: Semestre de printemps 2020-2021, 4.0h. de cours (moyenne hebdomadaire)
•  séances
•  site web du cours
• Formations concernées:
Maîtrise universitaire ès Sciences en sciences actuarielles

Maîtrise universitaire ès Sciences en sciences actuarielles

### Objectifs

The goal of this course is to provide an introduction to risk theory, in particular how to describe and model insurance risk and the effects of aggregating risks, how to determine appropriate premiums for insurance risk and how to use mathematical and probabilistic tools to assess the solvency of an insurance corporation. It will also be discussed what forms of reinsurance are useful in insurance and what their effects are on various measures of safety and profitability of the insurance business.

### Contenus

• Individual Risk Model
• Collective Risk Model
• Ruin Theory
• Reinsurance

### Références

N. Bowers, H. Gerber, J. Hickman, D. Jones and C. Nesbitt. Actuarial Mathematics, Society of Actuaries, Illinois 1986.

D. Dickson: Insurance Risk and Ruin. Cambridge University Press, 1999.

S. Klugman, H. Panjer, G. Willmot. Loss Models. Third Edition, Wiley, Hoboken, NJ, 2008.

H. Albrecher, J. Beirlant, J. Teugels. Reinsurance: Actuarial and Statistical Aspects, Wiley, Chichester, 2017.

T. Mikosch: Non-Life Insurance Mathematics. Springer 2008.

### Pré-requis

A basic course on probability theory.

### Evaluation

#### 1ère tentative

Examen:
Ecrit 3h00 heures
Documentation:
Autorisée
Calculatrice:
Autorisée avec restrictions
Evaluation:

The following may be subject to change depending on the pandemic situation.

Final Written Exam (60%) + Midterm Exam (20%) + Exercises and take-home problems (20%)

EXAM SESSION SUMMER 2021

On-line exam

#### Rattrapage

Examen:
Ecrit 3h00 heures
Documentation:
Autorisée
Calculatrice:
Autorisée avec restrictions
Evaluation:

The following may be subject to change depending on the pandemic situation.

Retake Final Written Exam (60%) + Midterm Exam (20%) + Exercises and take-home problems (20%)

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