PřF:M7988 Losses in non-life insurance - Course Information
M7988 Models of losses in non-life insurance
Faculty of ScienceAutumn 2020
- Extent and Intensity
- 2/1/0. 3 credit(s) (fasci plus compl plus > 4). Type of Completion: zk (examination).
- Teacher(s)
- RNDr. Radim Navrátil, Ph.D. (lecturer)
- Guaranteed by
- doc. RNDr. Martin Kolář, Ph.D.
Department of Mathematics and Statistics – Departments – Faculty of Science
Contact Person: RNDr. Radim Navrátil, Ph.D.
Supplier department: Department of Mathematics and Statistics – Departments – Faculty of Science - Timetable
- Wed 8:00–9:50 M6,01011
- Timetable of Seminar Groups:
- Course Enrolment Limitations
- The course is also offered to the students of the fields other than those the course is directly associated with.
- fields of study / plans the course is directly associated with
- Finance Mathematics (programme PřF, N-MA)
- Course objectives
- The goal of the course is to show advanced methods of mathematical statistics used for modelling in non-life insurance.
- Learning outcomes
- After completing this course students will be able to:
(1) estimate parameters for models used in non-life insurance;
(2) model dependency of multivariate variables via kopulas;
(3) model extreme and rare events;
(4) basic concepts of Bayesian modeling. - Syllabus
- Basic concepts of mathematical statistics - point estimates, confidence intervals, hypotheses testing.
- Estimation methods for complete data - estimates of cumulative distribution function.
- Parameter estimates - maximum likelihood method, method of moments, Bayesian approach.
- Model selection - graphical methods, testing hypotheses.
- Extreme values theory - definition and application of Pareto distribution, parameter estimates.
- Kopulas - definition, Sklar's theorem, aplications, empirical estimates.
- Literature
- recommended literature
- KLUGMAN, Stuart A., Harry H. PANJER and Gordon E. WILLMOT. Loss models : from data to decisions. 3rd ed. Hoboken, N.J.: John Wiley & Sons, 2008, xix, 726. ISBN 9780470187814. info
- Teaching methods
- Lectures - gaining knowledge of statistical models used in insurance. Exercises - practical use of the methods in statistical software (R, Excel).
- Assessment methods
- Oral exam - 50% of correct answers and correctly solved project are needed to pass.
- Language of instruction
- Czech
- Further Comments
- Study Materials
The course is taught annually.
- Enrolment Statistics (Autumn 2020, recent)
- Permalink: https://is.muni.cz/course/sci/autumn2020/M7988