loss models

Course Overview andIntroduction

EA Valdez

About the courseCourse instructor

Course objectives

Assumed knowledge andskills

Course textbooks andreferences

Lectures

Course requirementsCourse assessments

Homework/Assignments

Course websitehttp address

page 1

Course Overview and IntroductionMath 3632 Loss Models

Fall 2010 semester

EA ValdezUniversity of Connecticut - Storrs

Lecture: Week 0


EA Valdez


Course objectives



Lectures




page 2

Course instructor

Emil ValdezOffice: MSB 418

Telephone: 860-486-3596e-mail: [email protected]

Office HoursWednesdays 10am–12pm

or by appointment (send email)


EA Valdez


Course objectives



Lectures




page 3

Course aims and learning objectives

The course is about construction and evaluation of lossmodels, which aims to cover several of the learningobjectives for SOA Exam C or CAS Exam 4.

Course aims to give you a background about non-life(casualty) insurance mathematical models.

Some general heading of topics covered include:

claims frequency, severity and aggregate models

risk measures: uses and limitations

estimation of loss models: parametric and non-parametricapproaches

selection procedures of loss models

introduction to credibility (if time permits)

Simulation topics are covered in Math 3634.


EA Valdez


Course objectives



Lectures




page 4

Assumed knowledge and skills

Strong mathematics background and exposure toconcepts of probability/statistics.

Math 3160/231 (Probability) and Stat 3375/230(Mathematical Statistics I); Math 3630/287 (ActuarialMathematics I) or concurrently taken.

Some background in computing, such as spreadsheets orstat software (but not essential).


EA Valdez


Course objectives



Lectures




page 5

Course textbooks and references

S.A. Klugman, H.H. Panjer and G.E. Willmot, LossModels: From Data to Decisions, 3rd edition, John Wiley &Sons, 2008.

Additional references:

Y-K Tse, Nonlife Actuarial Models: Theory, Methods andEvaluation, Cambridge University Press, 2009.

R. Kaas, M. Goovaerts, J. Dhaene and M. Denuit, ModernActuarial Risk Theory: Using R, 2nd edition,Springer-Verlag, 2008.

Additional illustrations will be drawn from the studymanual:

Actex Study Manual for SOA Exam C/CAS Exam 4, by SamBroverman, Vol. I and II, 2009 edition.


EA Valdez


Course objectives



Lectures




page 6

Lectures

Lectures will be a combination of three (3) activities:

overview of the material using slides/overheadpresentations,

examples and problems to reinforce the material, and

the use of the R software for data analysis, modelcalibration.


EA Valdez


Course objectives



Lectures




page 7

Course assessments

You will be assessed according to the following scale:

Form ofAssessment Weight When?

Homework/Assignments 20% [random] weekly

Class Test 1 25% Week 6 (6 October)

Class Test 2 25% Week 10 (3 November)

Final Exam 30% to be announced


EA Valdez


Course objectives



Lectures




page 8


Randomly assigned throughout the semester - will beposted on the web usually a week before it is due. Pleasecheck website regularly.

no late submission (except for very special circumstances)

solutions are immediately posted after due

no copying of work - read academic integrity section of thecourse syllabus


EA Valdez


Course objectives



Lectures




page 9

Course website

You can find everything about the course in our coursewebsite:

http://www.math.uconn.edu/∼valdez/math3632f10/

loss models

Documents

Transcript of loss models