**Risk Theory-Math 336**

** Instructor:** Prof. Mohammad Al-Raqab

** Office:** Mathematics Dept., University of Jordan

** Class meeting times:** Sun.-Thurs. 9:00 to 10:00 a.m.

__Office hours____: __** **Sun., Tues., 10:00-11:00 a.m.

__Recommended Books____:__

- Study Guide for the Society of Actuaries, Exam M, Vol. 2, Fall 2005 Edition, by S. Broverman, www.sambroverman.com.
- Loss Models; 2004, 2
^{nd}Edition, by S. Klugman, H. Paner and G. Willmot, Wiley. - Actuarial Mathematics, 1997, by Bowers
*et al*., Society of Actuaries, Schaumburg, Illinois.

__Course outline____ :____ ____ __

1. Overview, Mathematical Preliminaries: Review of probability theory including random variables and joint distributions of random variables (6 hours).

2. Parametric Distributions: Finite mixtures of distributions, distribution tail behavior, constructing distributions. (8 hours).

3. Individual Risk Model: Frequency and severity of risks (losses), aggregate claims, convolutions and mixtures, models of the number of claims, stop-loss insurance, (8 hours).

4. Risk Model for Extended Periods: Discrete and continuous time risk process, Poisson process, ruin probability, Brownian motion for risk process (8 hours).

5. Policies: Policy limits, policy deductibles, combined policy limit, additional policy adjustment (8 hours).

6. Various Premium Principle: Net, expected value, variance and exponential premium principles, premium reduction by reinsurance. (6 hours)

** Performance Evaluation:** The course grade is tentatively determined as follows

Technical Report 20%

Midterm (Thurs., April 12, 2012) 30%

Final Exam (will be announced later) 50%

__Home Works Sets__

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