Introductory description

This module runs in Term 2 and is available for students on a course where it is a listed option. It is not available as an Unusual Option to students with their home department outside Statistics.

Prerequisites:
Integrated Masters: ST318 Probability Theory
MSc: ST903 Statistical Methods

Results from this module may be partly used to determine exemption eligibility in the Institute and Faculty of Actuaries module CM2. (Independent application with the IFoA may be required to receive the exemption.)

Module web page

Module aims

Outline syllabus

This is an indicative module outline only to give an indication of the sort of topics that may be covered. Actual sessions held may differ.

Decision theory.
Loss distributions: standard examples. Excesses and retention limits.
Bayesian Statistics.
Ruin problem in compound Poisson processes; the adjustment coefficient and
Lundberg's inequality.
Credibility theory: Bayes and empirical Bayes approaches.
Run-off triangles: projection of future development; chain ladder method.
Use of GLMs in general insurance.
Time Series.
Simulation of a Stochastic Process.

Learning outcomes

By the end of the module, students should be able to:

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

Indicative reading list

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.

View reading list on Talis Aspire

Subject specific skills

TBC

Transferable skills

TBC