Insurance Mathematics 1

What it is about

You learn the fundamental stochastic methods of damage/non-life insurance. The focus areas are tariff calculation, capital allocation, individual and collective model, claims provisions, as well as reinsurance. In the end you will be able to understand and apply the most important models for premium calculation, reserving and risk sharing.

What you will be able to do

Apply stochastic models for frequency and severity
Carry out tariff calculation and capital allocation
Compare and use methods for claims reserving
Mathematically analyze the role and effect of reinsurance
Place the basics of relevant regulation (e.g. Solvency II)

What the module consists of

LectureConveying theory and demonstrative examples; foundation for independent deepening

Teaching method

LecturePresentation of the content combined with examples and discussion to motivate independent analysis

What you should already know

MA0009 Introduction to Probability and Statistics (or earlier MA1401/MA2402)recommended

Assessment

Written examWritten test

Written examination, duration 90 minutes. The examination assesses understanding and application of the stochastic methods covered in actuarial science. (Note: permitted aids are not explicitly specified.)

Reading list

Albrecher, H. / Beirlant, J. / Teugels, J. - Reinsurance: Actuarial and Statistical Aspects
Bühlmann, H. - Mathematical methods in risk theory
Embrechts, P. / Klüppelberg, C. / Mikosch, T. - Modelling extremal events for insurance and finance
Goelden, H.-W. / Hess, K. / Morlock, M. / Schmidt, K. / Schröter, K. - Schadenversicherungsmathematik
Mikosch, T. - Non-life insurance mathematics
Mack, T. - Schadenversicherungsmathematik
Van Eeghen, J. et al. - Rate Making
Schmidli, H. - Risk Theory
Wüthrich, M. / Merz, M. - Stochastic Claims Reserving

Dates

LectureInsurance Mathematics 1 [MA3405]2 groups to choose from

ATue10:15–11:45
019, LMU Hörsaal im Physik Werkstattgebäude (5123.EG.019)
14× · 13.10.–02.02.
- 13.10.
- 20.10.
- 27.10.
- 03.11.
- 17.11.
- 24.11.
- 01.12.
- 08.12.
- 15.12.
- 22.12.
- 12.01.
- 19.01.
- 26.01.
- 02.02.
BMon14:15–15:45
BC2 3.1.08, Hörsaal (8102.03.108)
15× · 12.10.–01.02.
- 12.10.
- 19.10.
- 26.10.
- 02.11.
- 09.11.
- 16.11.
- 23.11.
- 30.11.
- 07.12.
- 14.12.
- 21.12.
- 11.01.
- 18.01.
- 25.01.
- 01.02.

From the current semester, not binding. You attend one of several groups; the timetable automatically suggests the one with the fewest clashes.

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