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 Course module: 191515101
 191515101Introduction to Risk Theory
 Course info
Course module191515101
Credits (ECTS)5
Course typeCourse
Language of instructionEnglish
Contact persondr. P.K. Mandal
E-mailp.k.mandal@utwente.nl
Lecturer(s)
 Lecturer dr. P.K. Mandal Contactperson for the course dr. P.K. Mandal Examiner dr. P.K. Mandal
Starting block
 1B
Application procedureYou apply via OSIRIS Student
Registration using OSIRISYes
 Aims
 body { font-size: 9pt; font-family: Arial } table { font-size: 9pt; font-family: Arial } The goal of this course is to give an overview of the most important mathematical techniques used in (non-life) risk insurance. After finishing the course a sudent is able to explain the role of utility function in deciding premium for a risk and can calculate the insurance premium; explain different ways of modelling a risk and work with them to analyze the risk; analyze different risks, possibly in combination with further reinsurance, based on their ruin probabilities; explain and work with different premium principles for risk; analyze simple bonus-malus systems in risk insurance. body { font-size: 9pt;
 Content
 body { font-size: 9pt; font-family: Arial } table { font-size: 9pt; font-family: Arial } All of us come across different risks in our lives. We cover ourselves against those risks with insurances such as a life insurance, a health insurance, a car insurance, a fire insurance, etc. In this course, we shall deal with non-life insurance. The main difference between life insurance and non-life insurance contracts is the time aspect: the time span of a life insurance is usually a few decades whereas for non-life insurance it is mostly a year, although renewable every year. We start with so-called utility theory to answer questions such as why or when would one buy an insurance? Or, from the insurance company's perspective, under what conditions should they start the business? Subsequently you will get a taste of the commonly used probabilistic models of risks, namely, the individual model and the collective model. You will also learn the principles commonly used to fix a premium. During this process, the ruin probability of an insurer turns out to be an important factor. So we shall study the basics of ruin theory and also of reinsurance.  Besides the standard theory of non-life insurance mathematics, we discuss some examples of methods that are directly relevant for actuarial practice such as bonus-malus systems.
 Participating study
 Master Industrial Engineering and Management
Required materials
Book
 R. Kaas, M. Goovaerts, J. Dhaene, M. Denuit: Modern Actuarial Risk Theory Using R, 2nd edition, 2nd printing, ISBN 978-3-642-03407-7, Springer, 2009 (Softcover)
Recommended materials
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Instructional modes
 Lecture Tutorial
Tests
 Written exam
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