After successful completion of the course, students are able to..

 - explain the concept of reinsurance and the most popular reinsurance types:

• Proportional reinsurance,
• XL Reinsurance,
• Stochastic Ordering, COSIMA and ECOMOR reinsurance types,
• XL and Proportional reinsurance treaties in the Cramer-Lundberg Model and its diffusion approximation,
• Subexponential distribution, their properties and impact on the ruin probability, the need of reinsurance;

 - derive and determine

• integro-differential equations for the ruin probability for proportional and XL reinsurance types,
• asymptotic behaviour of ruin probabilities for different classes of claim size distributions.

Definition and areas of application of reinsurance. Reinsurance in risk theory. Mathematical treatment of reinsurance treaties.

Presentation and derivation of the results by the lecturer on the blackboard and on the slides, self-study of the lecture notes and provided examples.

Active participation in the lecture is strongly recommended; numerous exercises and examples are included in the slides.

Oral exam