## ST427Half UnitInsurance Mathematics

This information is for the 2016/17 session.

Teacher responsible

Dr Hao Xing COL 7.12

Availability

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.

Teaching

20 hours of lectures and 10 hours of seminars in the MT.

An informal 'open book' mid-term practice examination will take place in Week 6.

Formative coursework

5 to 6 problem sets will be assigned.

R Norberg, Risk and Stochastics in Life Insurance (Lecture notes)

R Norberg, Non-life Insurance Mathematics (Lecture notes)

T Mikosch, Non-Life Insurance Mathematics.

Assessment

Exam (100%, duration: 2 hours) in the LT week 0.

Student performance results

(2013/14 - 2014/15 combined)

Classification % of students
Distinction 19.6
Merit 39.1
Pass 28.3
Fail 13

Key facts

Department: Statistics

Total students 2015/16: 31

Average class size 2015/16: 32

Controlled access 2015/16: No

Lecture capture used 2015/16: Yes (MT)

Value: Half Unit

Guidelines for interpreting course guide information

Personal development skills

• Problem solving
• Application of numeracy skills
• Commercial awareness

Course survey results

(2013/14 - 2014/15 combined)

1 = "best" score, 5 = "worst" score

The scores below are average responses.

Response rate: 60%

Question

Average
response

1.8

Materials (Q2.3)

1.4

Course satisfied (Q2.4)

1.3

Lectures (Q2.5)

1.4

Integration (Q2.6)

1.3

Contact (Q2.7)

1.4

Feedback (Q2.8)

1.5

Recommend (Q2.9)

 Yes 88% Maybe 8% No 4%