Code: | M4059 | Acronym: | M4059 |
Keywords | |
---|---|
Classification | Keyword |
OFICIAL | Mathematics |
Active? | Yes |
Web Page: | https://moodle.up.pt/course/view.php?id=3260 |
Responsible unit: | Department of Mathematics |
Course/CS Responsible: | Master in Mathematical Engineering |
Acronym | No. of Students | Study Plan | Curricular Years | Credits UCN | Credits ECTS | Contact hours | Total Time |
---|---|---|---|---|---|---|---|
M:ENM | 9 | Official Study Plan since 2013-2014 | 1 | - | 6 | 56 | 162 |
M:M | 7 | Plano de Estudos do M:Matemática | 1 | - | 6 | 56 | 162 |
To review, develop and integrate knowledge from different areas, with emphasis on probability theory and statistical modeling, necessary for the study of risk theory.
To acquire a sound knowledge of the mathematical theory behind general insurance models, understand the fundamental concepts and principles of risk theory and know how they are used in non-life insurance. To be able to analyze insurance data using adequate statistical methods and the software R.
Students should also develop rigorous communication and written skills, intuition and the ability of statistical modeling. It is also intended that students become familiar with research papers in this area.Probabilistic models, fundamental concepts of probability theory and statistics (structured review and development during the course).
General principles of risk theory, risk models in non-life insurance. Utility and insurance.
The individual and collective risk models and their characterizations.
Loss modelling. Light-tailed and heavy-tailed distributions. Modelling of the number of claims. The aggregate claims distribution and approximations.
Ruin theory. Risk reserve process, ruin probability (continuous and discrete time models).
Premium principles and risk measures. Reinsurance common treaties and their effects.
Statistical analysis of insurance data, using the software R.Lectures TP where the topics of the syllabus are presented, exercises and related problems are solved and discussed, using the adequate means.
Project work to be developed in team. Each team-work involves a written report and posterior oral presentation and discussion.
designation | Weight (%) |
---|---|
Exame | 60,00 |
Trabalho escrito | 40,00 |
Total: | 100,00 |