Suspended in 2025/26
ST448      Half Unit
Insurance Risk

This information is for the 2025/26 session.

Availability

Requisites

Pre-requisites:

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

Additional requisites:

Good undergraduate understanding of distribution theory and stochastic processes. ST202, ST302 or their equivalent.

A self-contained introduction to insurance risk analysis. Starting from classical actuarial modelling of insurance risk, utility theory with optimal forms of insurance from the insured's and from the insurer's point of view are analysed. Pareto-optimal risk exchanges are introduced. Standard schemes of reinsurance are introduced and analysed. The individual and collective model are introduced to understand the aggregated claim process and approximate it. There is an emphasis in the compound Poisson process and therefore a detailed description of the Poisson process is explained. In the second part of the course we cover Ruin theory for an insurance company and capital requirement are studied. Heavy tail distributions and the extreme value theory are introduced. We solve reinsurance problems in a scheme with aggregated claims. Finally, we study closed-form solutions of the ruin probability as we also approximate it using R.

10 hours of seminars and 20 hours of lectures in the Autumn Term.

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

Students will be expected to produce 6 problem sets in the AT.

Kaas, R., Goovaerts, M., Dhaene, J., & Denuit, M. Modern actuarial risk theory: using R 

Thomas Mikosch, Non-Life Insurance Mathematics

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

Pauline Barrieu, Luca Albertini, The Handbook of Insurance-Linked Securities

Exam (70%), duration: 120 Minutes in the Spring exam period

Project (30%)