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.
- Study Guide for the Society of Actuaries, Exam M, Vol. 2, Fall 2005 Edition, by S. Broverman, www.sambroverman.com.
- Loss Models; 2004, 2nd 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