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:

  1. Study Guide for the Society of Actuaries, Exam M, Vol. 2, Fall 2005 Edition, by S. Broverman, www.sambroverman.com.
  2. Loss Models; 2004, 2nd Edition, by  S. Klugman, H. Paner and G. Willmot, Wiley.
  3. 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%    

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