The goal of this course is to provide concepts and techniques to model and monitor the risk associated with an insurance portfolio.
Recommended PrerequisitesProbability and Statistics
Such a portfolio typically consists of a large number of risks that are identically distributed. For the insurer, it is of utmost importance to have accurate tools to measure the aggregate risk. Valuable concepts in this context are the Surplus at Risk (SaR) and the probability of ruin. We will consider several techniques to calculate or approximate these measures. Clearly, the insurer can affect the aggregate risk through reinsurance and premium setting. We will look at several reinsurance strategies and premium principles. Particular attention will be devoted to credibility theory and IBNR techniques. Finally, we will show how insurers can deal with catastrophic risk.
Type of instructions
2 hours lecture a week; 2 hours tutorial biweekly
Type of exams
written exam (90%); assignment (10%).
there is a resit for the exam (90%); the assignment (10%) has no resit.
- Kaas, Goovaerts, Dhaene en Denuit, Modern Actuarial Risk Theory, Kluwer, 2008, 2nd edition.
- Slides 'Analysis of Extremes'.