401-3925-00L  Non-Life Insurance: Mathematics and Statistics

Semester Autumn Semester 2016
Lecturers M. V. Wüthrich
Periodicity yearly course
Language of instruction English

Abstract The lecture aims at providing a basis in non-life insurance mathematics which forms a core subject of actuarial sciences. It discusses collective risk modeling, individual claim size modeling, approximations for compound distributions, ruin theory, premium calculation principles, tariffication with generalized linear models, credibility theory, claims reserving and solvency.
Objective The student is familiar with the basics in non-life insurance mathematics and statistics. This includes the basic mathematical models for insurance liability modeling, pricing concepts, stochastic claims reserving models and ruin and solvency considerations.
Content The following topics are treated:
Collective Risk Modeling
Individual Claim Size Modeling
Approximations for Compound Distributions
Ruin Theory in Discrete Time
Premium Calculation Principles
Tariffication and Generalized Linear Models
Bayesian Models and Credibility Theory
Claims Reserving
Solvency Considerations
Lecture notes M. V. Wüthrich, Non-Life Insurance: Mathematics & Statistics
Prerequisites / Notice The exams ONLY take place during the official ETH examination period.

This course will be held in English and counts towards the diploma of "Aktuar SAV". For the latter, see details under www.actuaries.ch.

Prerequisites: knowledge of probability theory, statistics and applied stochastic processes.