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105.047
Non life insurance mathematics
2024S
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2004S
2004S, VO, 3.0h, 4.5EC
Properties
Semester hours: 3.0
Credits: 4.5
Type: VO Lecture
Aim of course
The collective risk model plays a central in non-life insurance mathematics. We present different ways to model the arrival process of claims and the claim sizes. We discuss tools for the exploratory statistical data analysis and we illustrate the theoretical methods using real data sets. The second part of the course introduces experience rating and Bayes estimation.
Subject of course
(I) Collective Risk Models: Homogeneous and inhomogeneous Poisson processes, order statistics property, Poisson random measure, Cramér-Lundberg model, renewal process, mixed Poisson process, order of magnitude of the total claim amount, claim size distributions, heavy- and light-tailed distributions, exploratory statistical analysis with quantile-quantile plots and mean excess plots, regularly varying claim sizes and their aggregation, subexponential distributions, mixture distributions, space-time decomposition of a compound Poisson process, calculation of the distribution of the total claim amount using Panjer recursion, approximation by the central limit theorem or Monte Carlo techniques, reinsurance treaties (II) Experience Rating: Heterogeneity model and Bayes estimation, linear Bayes estimator, credibility estimator, Bühlmann model, Bühlmann-Straub model
Lecturers
Schmock, Uwe
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Mon
13:00 - 14:00
08.03.2004 - 30.06.2004
SCHMOCK
Thu
14:45 - 16:00
11.03.2004 - 18.03.2004
Hörsaal 14
SCHMOCK
Thu
14:45 - 16:00
25.03.2004 - 25.04.2004
HS 14A Günther Feuerstein
SCHMOCK
Thu
14:45 - 16:00
06.05.2004 - 13.05.2004
HS 14A Günther Feuerstein
SCHMOCK
Thu
14:45 - 16:00
27.05.2004 - 30.06.2004
Hörsaal 14
SCHMOCK
Show single appointments
Non life insurance mathematics - Single appointments
F
P
1
2
N
E
Day
Date
Time
Location
Description
Mon
08.03.2004
13:00 - 14:00
SCHMOCK
Thu
11.03.2004
14:45 - 16:00
Hörsaal 14
SCHMOCK
Mon
15.03.2004
13:00 - 14:00
SCHMOCK
Thu
18.03.2004
14:45 - 16:00
Hörsaal 14
SCHMOCK
Mon
22.03.2004
13:00 - 14:00
SCHMOCK
Thu
25.03.2004
14:45 - 16:00
HS 14A Günther Feuerstein
SCHMOCK
Mon
29.03.2004
13:00 - 14:00
SCHMOCK
Thu
01.04.2004
14:45 - 16:00
HS 14A Günther Feuerstein
SCHMOCK
Mon
05.04.2004
13:00 - 14:00
SCHMOCK
Thu
08.04.2004
14:45 - 16:00
HS 14A Günther Feuerstein
SCHMOCK
Mon
12.04.2004
13:00 - 14:00
SCHMOCK
Thu
15.04.2004
14:45 - 16:00
HS 14A Günther Feuerstein
SCHMOCK
Mon
19.04.2004
13:00 - 14:00
SCHMOCK
Thu
22.04.2004
14:45 - 16:00
HS 14A Günther Feuerstein
SCHMOCK
Mon
26.04.2004
13:00 - 14:00
SCHMOCK
Mon
03.05.2004
13:00 - 14:00
SCHMOCK
Thu
06.05.2004
14:45 - 16:00
HS 14A Günther Feuerstein
SCHMOCK
Mon
10.05.2004
13:00 - 14:00
SCHMOCK
Thu
13.05.2004
14:45 - 16:00
HS 14A Günther Feuerstein
SCHMOCK
Mon
17.05.2004
13:00 - 14:00
SCHMOCK
F
P
1
2
N
E
Examination modalities
Written examination for the exercises and oral examination for the lecture. After passing the written examination, please contact Ms.
Sandra Trenovatz
for an appointment concerning the oral examination.
Exams
Day
Time
Date
Room
Mode of examination
Application time
Application mode
Exam
Tue
14:00 - 16:00
25.06.2024
FH Hörsaal 1 - MWB
written
01.04.2024 00:00 - 18.06.2024 23:59
TISS
Prüfung 2024S
Tue
12:00 - 14:00
24.09.2024
FH Hörsaal 1 - MWB
written
01.03.2024 00:00 - 17.09.2024 23:59
TISS
Prüfung 2024S (Nebentermin)
Register for an exam
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
Info
No records found.
Literature
Lecture notes for this course are available. Bitte in Sekretariat bei Frau
Sandra Trenovatz
melden Chapters 1 to 3 as well as 5 and 6 in the book by
Thomas Mikosch
, Non-Life Insurance Mathematics, An Introduction with Stochastic Processes, Springer Universitext, Springer-Verlag Berlin Heidelberg 2004, ISBN 3-540-40650-6
Accompanying courses
105.043 UE Non-life insurance mathematics
Language
German