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ST402 Risk Theory

Lecturer(s): Dr Larbi Alili

Important: This module is only available to final year (4) integrated Masters students on MMORSE or MMathStat and to students on the MSc in Statistics.

Commitment: 3x 1-hour lectures per week, 1 tutorial class per week starting from week 2. This module runs in Term 2.

Prerequisite(s): ST218/219 Mathematical Statistics A&B, ST318 Probability Theory

Content: This module will cover the actuarial syllabus for examination CT6. It will introduce material of use in general insurance such as loss distributions, ruin, and credibility theory.

Aims: To enable students to study more deeply in the stream of Actuarial and Financial Mathematics.

Objectives: Students who have successfully completed this module will:

  • Know how probability models are used in general insurance
  • Understand the concept of methods of re-insurance to hedge against risk.

Core Reading: Subject CT6, Statistical Methods, Core Technical, The Faculty of Actuaries and Institute of Actuaries, available at the Student Support Office.


  • P.J. Boland (2007) Statistical and probabilistic methods in actuarial sciences.
  • C.D. Daykin, T. Pentikainen, M. Pesonon (1994) Practical Risk Theory for Actuaries.
  • S.A. Klugman (1985) Loss distributions.
  • P. McCullagh, J.A. Nelder. (1989) Generalized Linear Models. Chapman and Hall, London.

Assessment: 1 x 2 hour examination (80%); 2 class tests (worth 10% each).

Deadline: Class Test 1: week 7 and Class Test 2: week 10.

Feedback: Feedback on Class Test 1 will be returned after 2 weeks, and feedback on Class Test 2 will be returned after 3 weeks, following each test.

Examination Period: Summer