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Loss Models

  • Teacher(s):   E.Hashorva  
  • Course given in: English
  • ECTS Credits: 6 credits
  • Schedule: Spring Semester 2021-2022, 4.0h. course (weekly average)
  •  sessions
  • site web du cours course website
  • Related programme: Master of Science (MSc) in Actuarial Science
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Objectives

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.

Contents

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

References

  • 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)

Pre-requisites

Basics in statistics & probability

Evaluation

First attempt

Exam:
Written 3h00 hours
Documentation:
Not allowed
Calculator:
Not allowed
Evaluation:

Final Grade = Grade of Final Exam*

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



Retake

Exam:
Written 3h00 hours
Documentation:
Not allowed
Calculator:
Not allowed
Evaluation:

Final Grade = Grade of Final Exam*

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





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