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Loss Models (B-KUL-D0R33A)

6 ECTSEnglish39 First term
Antonio Katrien
POC Master in de actuariële en financiële wetenschappen

Aims

This course equips students with the basic tools necessary for the construction, estimation and interpretation of quantitative risk models, with a particular focus on the frequency - severity approach typical for general insurance loss models. The course explains probabilistic concepts relevant for frequency and severity modeling, explains how to use these building blocks to set up loss models, how to calibrate the models on data and how to measure risks using such models. The statistical software R will be used to illustrate the theoretical concepts with computer labs. As such, this course prepares students for more advanced training in actuarial & financial engineering or quantitative risk measurement.

Previous knowledge

Basic knowledge (at bachelor level) of algebra, calculus, probability theory and statistics.
 

Is included in these courses of study

Activities

6 ects. Loss Models (B-KUL-D0R33a)

6 ECTSEnglishFormat: Lecture39 First term
Antonio Katrien
POC Master in de actuariële en financiële wetenschappen

Content

The course covers the following topics:

  • General concepts of quantitative risk modeling: random variables, basic distribution quantities, tails of distributions, measures of risk
  • Actuarial models: frequency distributions, severity distributions, mixing and splicing, coverage modifications in general insurance (e.g., deductibles, policy limits), aggregate loss models (collective and individual risk model)
  • Estimation: complete data, modified and incomplete data (e.g., censored data), moment estimation, maximum likelihood estimation, frequentist vs Bayesian estimation
  • Model selection tools
  • Simulation.

 

 

 

Course material

We use the book 'Loss models: from data to decisions' (4th or 5th edition), by Stuart Klugman, Harry Panjer and Gordon Willmot, published by Wiley and the Society of Actuaries.

Lecture sheets, exercises + solutions, R code are available from TOLEDO.

Format: more information

Lectures, regular tutorials and computer labs.

Evaluation

Evaluation: Loss Models (B-KUL-D2R33a)

Type : Exam during the examination period
Description of evaluation : Written
Type of questions : Open questions
Learning material : Calculator, List of formulas

Explanation


Determining the exam result

* The exam is assessed by the teacher(s), as announced via TOLEDO and the examination schedule.
The result is calculated and expressed as a whole number on 20.


Evaluation third examination period

* The student has the opportunity to participate in the exam twice per academic year: a first time during the first or second examination period,
according to the semester in which the course is scheduled, and a second time in the third examination period.

* The evaluation characteristics of the third examination period are identical to those of the first or second examination period