ST427      Half Unit
Insurance Mathematics

This information is for the 2013/14 session.

Teacher responsible

Dr Hao Xing COL 7.12


This course is compulsory on the MSc in Risk and Stochastics. This course is available on the MSc in Financial Mathematics and MSc in Statistics (Financial Statistics). This course is not available as an outside option.

Course content

A self-contained comprehensive introduction to life and non-life insurance mathematics. For the life insurance, mortality laws are analysed from probabilistic and statistical point of view. Actuarial analysis of basic insurance products: pure endowment, life insurance/assurance, and annuity. Prospective/retrospective reserves of these products. Extension to general multi-states policy is studied via Markov chains Pricing embedded interest and mortality guarantees is introduced. For the non-life insurance, axiomatic approach to ordering of risks is presented, optimal forms of insurance from the insured's and from the insurer's point of view are analysed, and Pareto-optimal risk exchanges are introduced. Standard schemes of reinsurance are introduced and analysed. Ruin probability of an insurance company and capital requirement are studied. Heavy tail distributions and the extreme value theory are introduced. Case studies on current developments in life and non-life insurance industry are also presented.


20 hours of lectures and 10 hours of seminars in the MT. 1 hour of lectures in the ST.

Formative coursework

5 to 6 problem sets will be assigned.

Indicative reading

R Norberg, Risk and Stochastics in Life Insurance (Lecture notes)
R Norberg, Non-life Insurance Mathematics (Lecture notes)
T Mikosch, Non-Life Insurance Mathematics.


Exam (100%, duration: 2 hours) in the main exam period.

Key facts

Department: Statistics

Total students 2012/13: Unavailable

Average class size 2012/13: Unavailable

Value: Half Unit

Guidelines for interpreting course guide information

Personal development skills

  • Problem solving
  • Application of numeracy skills
  • Commercial awareness