Messages

The presentation of the mock exam/pr?veeksamen (see the previous message) will be on Thursday, 14. Nov., 10:15-12:00, which is the last lesson of our course.

Note: There will be no (!) lesson on Wednesday, 13. Nov.!

pr?veeksamen/mock exam: pr?veeksamen

l?sningsforslag/solutions: will be posted on Thursday, 14. Nov.

In our last lessons (30./31. Oct. and 6./7. Nov.) we discussed Mack's model, some important statistical properties of the chain ladder estimator and error estimates of predictors for future claim numbers in connection with the chain ladder method. See Ch. 11 in the book of T. Mikosch. On Thursday, 7. Nov. we finished the lecture workload.

Here: 2. Assignment

Deadline: Thursday, 14. November 2024, 14:30 (electronic submission via Canvas).

Innleveringsfrist: torsdag, 14. november 2024, kl. 14:30 (elektronisk innlevering via Canvas).

I de siste to ukene (26. sept.-10. okt.) har vi diskutert (line?r) Bayes-estimering i forbindelse med premieberegning (beregning av (line?re) Bayes-estimatorer, heterogenitet-modell og B¨¹hlmann-modell). Se kap. 5 og 6 i boken til Mikosch. Vi planlegger ? bli ferdig med kap. 6 (B¨¹hlmann-Straub-modell) innen neste uke (17. okt.). Deretter (23. Okt.) kommer vi til ? studere punktprosesser og deres anvendelser p? feks. reserveestimering (Mack-modell). Se kap. 7, 8 og 11 i boken til Mikosch.

Regne?velsene (Exercises 5) fremf?res 11:15-12:00 (17. okt.).

In the last two weeks (26. Sept.-10. Oct.) we discussed (linear) Bayes estimation in connection with premium calculation (computation of (linear) Bayes estimators, heterogeneity-model, B¨¹hlmann-model). See Ch. 5 and 6 in Mikosch. We expect to finish Ch. 6 (B¨¹hlmann-Straub-model) next week (17. Oct.). Then (23. Oct.) we will turn our attention to the study of point processes...

Here: 1. Assignment

Deadline: Thursday, 17. October 2024, 14:30 (electronic submission via Canvas).

Innleveringsfrist: torsdag, 17. oktober 2024, kl. 14:30 (elektronisk innlevering via Canvas).

Studentrepresentantene for kurset er

Fauna Alami (frunaa(at)student.matnat.uio.no) og

Fredrik Emil Rodahl Stavnum (fredrero@math.uio.no).

Siste gang (5. sept.) diskuterte vi ruinsannsynligheter mhp sm? forsikringskrav (dvs. Lundberg`s ulikhet og Cramer¡¯s estimat). Neste uke (11. og 12. sept.) vil vi studere store forsikringskrav og utlede en asymptotisk formel for slike sannsynligheter. Se kap. 4 i boken til Mikosch.

Regne?velsene (Excercises 1/2) fremf?res neste uke, dvs. 12. sept., kl. 11:15-12:00.

In our last lesson (5. Sept.) we discussed ruin probabilities in the case of small claims (e.g. Lundberg`s inequality and Cramer?s ruin bound). Next week (11. and 12. Sept.) we aim at studying ruin probabilities in the case of large claims and deriving an asymptotic formula for such probabilities. See Ch. 4 in the book of Mikosch.

Solutions to problems of Exercises 1/2 will be presented on 12. Sept., 11:15-12:00.

Vi startet opp kurset (21. aug.) med en kort innf?ring i skade- og livsforsikring og et oversikt over emner vi kommer til ? studere i dette kurset. Dessuten begynte vi med ? repitere (22. aug.) grunnleggende begrep og resultater fra sannsynlighetsregning (f.eks. (betinget) forventningsverdi,...).

Neste gang (28./29. aug.) vil vi bli ferdig med crashkurset v?rt om sannsynlighetsregning og fortsette med kap. 4 i boken til Mikosch og studere effektene av "sm?" og "store" forsikringskrav p? modeller fra risikoteori.

In our first lesson (21. Aug.) I gave a brief introduction to general insurance mathematics and an overview of all the topics we will study in our course. Further, on 22. Aug. we started with the review of some basic notions and results from probability theory (e.g. probability space, stochastic process or conditional expectation).

In our next lessons (28./29. Aug.) we will fini...

Vi starter opp med kurset p? onsdag, 21. august, 12:15-14:00 , Nils Henrik Abels Hus, rom UE 26.

Our first lesson is supposed to be on Wednesday, 21. August, 12:15-14:00, Niels Henrik Abels Hus, room UE 26.

Vi vil bruke f?lgende pensumsb?ker i dette kurset:

1. Mikosch, T.: Non-Life Insurance Mathematics: An Introduction with Poisson Process. 2nd edition, Springer (2009).

St?ttelitteraturen vi trenger er:

2. B?lviken, E.: Computation and Modelling in Insurance and Finance. Cambridge University Press (2014).

Pensum:

Det er planlagt ? gjennomg? f?lgende kapitler i boken til T. Mikosch:

1. Review of basic non-life insurance mathematics (e.g. models for claim number processes, the total claim amount; see Ch. 2 and 3)

2. Ruin Theory (Ch. 4)

3. Bayes Estimation (Ch. 5)

4. Linear Bayes Estimation (Ch. 6)

5. Cluster Point Processes (e.g. chain ladder method; see Ch. 11, but also Ch. 7, 8 and 9, which will be (partially) discussed, too.)