Insurance Mathematics 2400-IiE2MU
The aim of the lecture is to present basic insurance risk models that are used for calculation of premiums (mainly) and reserves (brief overview). First part of the lecture concerns short term approach that is commonly used in non-life insurance. Pricing risk at the level of the whole portfolio of an insurance company as well as pricing individual risks is considered. Risk sharing (between an individual, insurer and/or reinsurer) issues are considered in the context of utility theory. Short overview of reserves is then presented, including outstanding claims reserve and the Chain-Ladder method. Second part of the lecture concerns long term approach (including the time value of money) that is commonly used in life insurance. This part covers basic mathematics for finance and for life insurance. Survival models (single lives), life insurance, life annuities, premium calculations, benefit reserves are considered. Continuous and discrete models are presented.
Type of course
Course coordinators
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Bibliography
1. Bowers N. L., Gerber H. U., Hickman J. C., Jones D. A., Nesbitt C. J. - Actuarial Mathematics - The Society of Actuaries 1986 (selected chapters)
2. W. Otto Ubezpieczenia majątkowe - Część I - teoria ryzyka - z serii "Matematyka w ubezpieczeniach", WNT 2004
3. Skałba M. - Ubezpieczenia na życie - w serii "Matematyka w ubezpieczeniach" - WNT 1999
4. Błaszczyszyn B., Rolski T. - Podstawy matematyki ubezpieczeń na życie - WNT 2004
5. Gerber H. U. - Life Insurance Mathematics - Springer 1997
Additional information
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