Escolar Documentos
Profissional Documentos
Cultura Documentos
A. Course Description
Risk theory is defined as the study of deviations of financial results from those expected, and
methods of avoiding inconvenient consequences from such deviations. The first part of the
course discusses two main ideas: that random events can disrupt the plans of decision makers,
and that insurance systems are developed and designed to reduce the impact and the adverse
financial effects of these events. Individual and collective risk models are introduced. Models
for both single policies, and a portfolio of policies are developed. These ideas are then
extended to collective risk models, with respect to single-period, as well as continuous-time
considerations. An overview of the applications of risk theory to insurance models will also be
discussed.
B. Learning Outcome
C. Course Outline
D. Textbook
ACTUARIAL MATHEMATICS
By Newton L. Bowers, Jr., Hans U. Gerber, James C. Hickman, Donald A.
Jones and Cecil J. Nesbitt
Published by THE SOCIETY OF ACTUARIES, 1997 2nd edition.
E. References
Boyle, P.P., Options and Management of Financial Risk, Schaumburg, Ill.: Society of
Actuaries, 1992
Willett, A.H., The Economic Theory of Risk and Insurance, Phildelphia: University of
Pennsylvania Press, 1951.
Panjer, H.H., and Willmot, G.E., Insurance Risk Models., Schaumburg, Ill.: Society of
Actuaries, 1992.
Kahn, P.M., “An Introduction to Collective Risk Theory and its Application to Stop-Loss
Reinsurance,” Transactions of the Society of Actuaries, XIV: 400-425, 1962.
Dickson, David C.M., Insurance Risk and Ruin, University of Melbourne, 2005
Rob Kaas, Marc Goovaerts, Jan Dhaene, Michel Denuit, Modern Actuarial Risk Theory,
Springer Berlin Heidelberg, 2008.
Deelstra, Griselda, Risk Theory and Reinsurance, London: Springer London, 2014.
Silvestro, Dmitri, Modern Problems in Insurance Mathematics, Cham: Springer International
Publishing, 2014.
Kathrin Glau, Matthias Scherer, and Rudi Zagst, Innovations in Quantitative Risk
Management, Cham: Springer International Publishing, 2015.
Perna, Cira, Mathematical and Statistical Methods for Actuarial Sciences and Finance,
Cham: Springer International Publishing, 2014.
F. Grading System
Example:
Ave
HOMEWORK / QUIZ CHAP 1 CHAP 2 CHAP 3 Chap FINAL EXAM
LETTER
1 2 3 SUM % SCR % SCR % SCR % Exam SCR % GRADE Grade
Name ID NO. 25 30 20 75 100.0% 90 100% 90 100% 100 100% 100% 80 100% 100.0%
Japo 999999 19 13 20 52 69.3% 86 95.6% 85 94.4% 99 99.0% 96.3% 75 93.8% 87.72% B+
Letter Grades
A 92-100
B+ 86-91
B 77-85
C+ 69-76
C 60-68
D 50-59
F < 50
G. Consultation Hours
By Appointment.