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The University of Southampton
Courses

STAT3010 Statistical Methods in Insurance

Module Overview

Aims and Objectives

Learning Outcomes

Learning Outcomes

Having successfully completed this module you will be able to:

  • Understand the definitions of some basic insurance terms, particular those relating to short-term contracts
  • 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
  • Understand how simple forms of proportional and excess of loss re-insurance are arranged
  • Model the distribution of the aggregate claims for both the insurer and the re-insurer, particularly using the compound Poisson distribution
  • Use Bayesian approaches to credibility theory to calculate premiums in general insurance
  • Describe and apply basic principles of machine learning
  • 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
  • Apply problem solving and numerical skills

Syllabus

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

.

TypeHours
Independent Study105
Teaching45
Total study time150

Resources & Reading list

The Faculty of Actuaries and The Institute of Actuaries (2009). Subject CT6 Core Reading: Statistical Method. 

Chatfield, C. (2004). The Analysis of Time Series. 

Boland, P. J. (2007). Statistical and Probabilistic Methods in Actuarial Science. 

Dickson, D. C. M. (2005). Insurance Risk and Ruin. 

Dobson, A. J. (2001). An Introduction to Generalized Linear Models. 

Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2008). Loss Models: From Data to Decisions. 

Assessment

Summative

MethodPercentage contribution
Assignment 10%
Assignment 10%
Class Test 10%
Exam  (2 hours) 70%

Referral

MethodPercentage contribution
Exam 100%

Repeat Information

Repeat type: Internal & External

Linked modules

Pre-requisite: ECON2006 OR MATH2011

Costs

Costs associated with this module

Students are responsible for meeting the cost of essential textbooks, and of producing such essays, assignments, laboratory reports and dissertations as are required to fulfil the academic requirements for each programme of study.

In addition to this, students registered for this module typically also have to pay for:

Books and Stationery equipment

You will require a copy of Formulae and Tables for Actuarial Examinations 2002, 2nd edition, the "Gold Book".

Please also ensure you read the section on additional costs in the University’s Fees, Charges and Expenses Regulations in the University Calendar available at www.calendar.soton.ac.uk.

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