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Loss Models

  • Enseignant(s):   E.Hashorva  
  • Titre en français: Méthodes statistiques appliquées à l'Actuariat
  • Cours donné en: anglais
  • Crédits ECTS: 6 crédits
  • Horaire: Semestre de printemps 2021-2022, 4.0h. de cours (moyenne hebdomadaire)
  •  séances
  • site web du cours site web du cours
  • Formation concernée: Maîtrise universitaire ès Sciences en sciences actuarielles
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Objectifs

The principal objective of this course is to provide a solid actuarial understanding of building, selecting and validating statistical models relevant to insurance business and related actuarial applications. This course aims at establishing a useful bridge and deep understanding between various statistical models of insurance contracts and the raw, typically incomplete, insurance portfolio data available to actuaries. Accompanying exercises in R will help to enhance data skills and understanding of complex computational tools utilised in actuarial applicaitons.

Contenus

  • Probabilistic Aspects of Insurance Contracts
  • Parametric & Non-Parametric Approach
  • Insurance Models with Incomplete Data
  • Extreme Value Analysis
  • Model Validation & Selection
  • Generalised Linear Models & Extensions

Références

  • Statistical Theory. Seleznjev, O. Manuscript available in moodle.
  • Generalized Linear Models for Insurance Data. Jong, P., Heller, G.Z. Cambridge University Press, Cambridge, 2008.
  • Regression Modeling with Actuarial and Financial Applications. Frees, E.W. Cambridge University Press, Cambridge, 2009.
  • Statistical Analysis of Extreme Values: From Insurance, Finance, Hydrology and Other Fields. Reiss, R-D., Thomas, M. 3rd Edition, Birkhäuser, Basel, 2007.
  • Elements of Copula Modeling with R. Hofert, M., Kojadinovic, I., Mächler, M., Yan, J., Springer, 2019.
  • Statistical Foundations of Actuarial Learning and its Applications. Wüthrich, M., Merz, M., 2022, (available here https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3822407)

Pré-requis

Basics in statistics & probability

Evaluation

1ère tentative

Examen:
Ecrit 3h00 heures
Documentation:
Non autorisée
Calculatrice:
Non autorisée
Evaluation:

Final Grade = Grade of Final Exam*

*Exam conditions may be subject to changes depending on the pandemic situation.

Rattrapage

Examen:
Ecrit 3h00 heures
Documentation:
Non autorisée
Calculatrice:
Non autorisée
Evaluation:

Final Grade = Grade of Final Exam*

*Exam conditions may be subject to changes depending on the pandemic situation.





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