Risk Theory
Syllabus
Risk
and pricing principles, theory of utility of money (Utility Theory), and
premium calculations. Description and
foundation of the Individual Model, Distribution of the aggregate claims S,
safety loading. Description and foundation of the Collective Model,
Compound distributions (Binomial, Poisson and negative binomial) and their
properties and joint distributions and their applications, the standard
approach of the individual from the collective model. Extension of the
collective model beyond a certain period, the surplus process (in discrete and
continuous time), probability of ruin, Definition of the functions ø(u) and ä(u), adjustment coefficient R, Probability
of ruin for the compound Poisson.Practical applications to
insurance problems. Reinsurance Schemes.
Bibliography
1. Zimbidis
A.(2009), «Risk Theory»
2. Kaas R., Goovaerts M., Dhaene J.,
Denuit M.
(2008) -2nd edition
“Modern Actuarial Risk Theory”, Springer.
3. Dickson D.
(2005),
“Insurance Risk and Ruin”,