Statistics Group



 

Actuarial Statistics (M16) S.M. Pitts

This course provides an introduction to various topics in non-life insurance mathematics. These topics feature mainly in the Institute and Faculty of Actuaries examination CT6.

Topics covered in lectures include
1. Loss distributions
2. Reinsurance
3. Aggregate claims
4. Ruin theory
5. Credibility theory
6. No claims discount systems

Prerequisite mathematics
This course assumes

  • an introductory probability course (including moment generating functions, probability generating functions, conditional expectations and variances)
  • a statistics course (including maximum likelihood estimation, Bayesian methods)
  • that you know what a Poisson process is
  • that you have met discrete time finite statespace Markov chains

Literature
1. S. Asmussen Ruin Probabilities. World Scientific, 2000.
2. C.D. Daykin, T. Pentikäinen and E. Pesonen, Practical Risk Theory for Actuaries and Insurers. Chapman and Hall, 1993.
3. D.M. Dickson, Insurance Risk and Ruin. CUP, 2005.
4. J. Grandell, Aspects of Risk Theory. Springer, 1991.
5. T. Rolski, H. Schmidli, V. Schmidt and J. Teugels, Stochastic Processes for Insurance and Finance Wiley, 1999.

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