STK4540 – Non-Life Insurance Mathematics

Course content

The most important mathematical models in general insurance are introduced, including how they are identified from historical data and how they are simulated in the computer. These methods are used to price insurance products, control the solvency of companies, analyse reinsurance and examine the development of a company over time. There is an introduction to Ruin Theory and the computations and estimation of default probabilities. The subject includes a part about Credibility Theory and how to compute net premiums based on historical data. The last part is devoted to the computation of reserves under the Solvency II regulation, a regime all insurance companies in the EU/E?S area have to follow.

Learning outcome

After completing the course you will be able to

  • deal with the most common probability distributions for non-life insurance claims (heavy-tailed and light-tailed distributions)
  • use models for collective risk and non-life insurance claims (Poisson process, mixed Poisson process, renewal process, Cramér-Lundberg model, Sparre-Andersen model, etc.)
  • compute company obligations and premiums
  • analyze reinsurance strategies for both cedent and reinsurer
  • Ruin Theory (risk process and probability for bankruptcy)
  • Credibility Theory (Bayes and linear Bayes estimators under the heterogeneity model, Bühlmann and Bühlmann-Straub model)
  • computation of insurance reserves with the help of run-off triangles under Solvency II.

Admission to the course

Students admitted at UiO must?apply for courses?in Studentweb. Students enrolled in other Master's Degree Programmes can, on application, be admitted to the course if this is cleared by their own study programme.

Nordic citizens and applicants residing in the Nordic countries may?apply to take this course as a single course student.

If you are not already enrolled as a student at UiO, please see our information about?admission requirements and procedures for international applicants.

Overlapping courses

Teaching

4 hours of lectures/exercises per week throughout the semester.

The course may be taught in Norwegian if the lecturer and all students at the first lecture agree to it.

Exami