ST306      Half Unit
Actuarial Mathematics (General)

This information is for the 2025/26 session.

Course Convenor

Availability

Requisites

Pre-requisites:

Students must have completed ST202 and ST302 before taking this course.

This course is an introduction to actuarial work in non-life insurance. It covers a general overview of the industry, the history of general insurance and risk-sharing arrangements. Topics include loss distributions suitable for modelling individual and aggregate losses, and statistical inference. The course covers moment generating functions of various distributions, including the gamma, exponential, Pareto, generalised Pareto, normal, lognormal, Weibull, among others. It explores the collective model, including risk models involving frequency and severity distributions, as well as the moments and moment generating functions of compound distributions. Stochastic risk models are introduced, particularly compound Poisson processes. The course also examines reinsurance treaties — proportional, excess-loss, and stop-loss, including derivation of distributions, moment generating functions, and other properties of losses to the insurer and reinsurer under the models discussed. Further topics include ruin theory, the Lundberg theorem, and an integral approach for calculating ruin probabilities. The course covers fundamental concepts of Bayesian statistics, including prior distributions, posterior distributions, loss functions, and Bayesian estimators. It also introduces credibility theory, Bayesian models, and experience rating models with applications. Finally, claims reserving is discussed, including the use of run-off triangles. Programming applications using R are integrated throughout.

9 hours of seminars and 20 hours of lectures in the Winter Term.

This course has a reading week in Week 6 of Winter Term.

A set of exercises which are similar to problems appearing in the exam will be assigned.

Notes are given out in the lectures. 

Exam (90%), duration: 180 Minutes in the Spring exam period

Problem sets (10%) in Winter Term Week 11

10%: In Class Problem Sets: This will be a timed computer-based assessment to be taken in person on campus. Students are required to solve a set of course-related problems using R. Please refer to Moodle for more specific instructions about the nature of this assessment.