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Loss Models

  • Enseignant(s):  
  • Titre en français: Méthodes statistiques appliquées à l'Actuariat
  • Cours donné en: anglais
  • Crédits ECTS:
  • Horaire: Semestre de printemps 2019-2020, 4.0h. de cours (moyenne hebdomadaire)
  •  séances
  • site web du cours site web du cours
  • Formation concernée: Maîtrise universitaire ès Sciences en sciences actuarielles

 

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 improve 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 Statistics
  • Model Validation & Selection
  • Generalised Linear Models

Références

  • Loss Models. From Data to Decisions. Klugman, S.T., Panjer, H.H., and Willmot, G.E. 3rd Edition, Wiley, 2008.
  • Statistical Theory. Seleznjev, O. Manuscript available in moodle.
  • Generalized Linear Models for Insurance Data. Jong, P., Heller, G.Z. Cambridge University Press, Cambridge, 2008.
  • Nonlife Actuarial Models, Theory, Methods and Evaluation. Tse, Y. Cambridge University Press, Cambridge, 2009.
  • 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.
  • Non-Life Insurance Mathematics: An Introduction with Stochastic Processes. Mikosch, T. 2nd Edition, Springer, 2006.
  • Elements of Copula Modeling with R. Hofert, M., Kojadinovic, I., Mächler, M., Yan, J., Springer, 2019.

Pré-requis

Basic in statistics & probability

Evaluation

1ère tentative

Examen:
Ecrit 2h00 heures
Documentation:
Autorisée
Calculatrice:
Autorisée
Evaluation:

Final online-exam in case of no access to UNIL Campus due to corona-virus

Final Grade = Grade of Final Exam

Rattrapage

Examen:
Ecrit 2h00 heures
Documentation:
Autorisée
Calculatrice:
Autorisée
Evaluation:

Retake online-exam in case of no access to UNIL Campus due to corona-virus

Final Grade = Grade of Retake Exam



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