Pre-requisite: ECON2006 OR MATH2011
Aims and Objectives
Having successfully completed this module you will be able to:
- Understand the properties of some loss distributions: gamma, exponential, Pareto, generalised Pareto, normal, log-normal, Weibull and Burr, and how to fit them to complete claim size data
- Describe and apply basic principles of machine learning
- Use Bayesian approaches to credibility theory to calculate premiums in general insurance
- Model the distribution of the aggregate claims for both the insurer and the re-insurer, particularly using the compound Poisson distribution
- Apply problem solving and numerical skills
- Understand how simple forms of proportional and excess of loss re-insurance are arranged
- Understand the fundamental concepts of generalised linear models and how they may be applied
- Understand the main concepts underlying the analysis of time series and how to apply them
- Understand the definitions of some basic insurance terms, particular those relating to short-term contracts
Review of distribution theory; loss distributions; risk models – collective and individual; reinsurance; copulas; extreme value theory; Bayesian credibility theory; machine learning; generalised linear models; time series.
Learning and Teaching
Teaching and learning methods
If full face-to-face teaching has not been resumed, teaching will be delivered by a mixture of synchronous and asynchronous online methods, which may include lectures, quizzes, discussion boards, workshop activities, exercises, and videos. A range of resources will also be provided for further self-directed study. Face-to-face teaching opportunities will be explored depending on circumstances and feasibility.
|Total study time||150|
Resources & Reading list
Boland, P. J. (2007). Statistical and Probabilistic Methods in Actuarial Science. Boca Raton, Fl: Chapman and Hall/CRC.
Chatfield, C. (2004). The Analysis of Time Series. Boca Raton, Fl: Chapman and Hall/CRC.
Dickson, D. C. M. (2005). Insurance Risk and Ruin. Cambridge: Cambridge University Press.
Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2008). Loss Models: From Data to Decisions. New York: Wiley.
Dobson, A. J. (2001). An Introduction to Generalized Linear Models. Boca Raton, Fl: Chapman and Hall/CRC.
There will be opportunities to evaluate your progress through formative assessment, with summative assessment based on a class test, two assignments and a final exam.
This is how we’ll formally assess what you have learned in this module.
This is how we’ll assess you if you don’t meet the criteria to pass this module.
Repeat type: Internal & External