Math 523 - Risk Theory
Page Updated: 4/16/2004
- Prerequisites: A solid background in probability theory at the 400
level, math 425 or equivalent.
- Credit: 3 credit hours
- Required Text: Loss Models-from Data to Decisions by Klugman, Panjer
and Willmot, Wiley 1998.
- Background and Goals: Risk management is of major concern to all
financial institutions and is an active area of modern finance. This course is
relevant for students with interests in finance, risk management, or insurance.
It provides background for the professional exams in Risk Theory offered by the
Society of Actuaries and the Casualty Actuary Society.
- Contents: . Standard distributions used for claim frequency models and for loss
variables, theory of aggregate claims, compound Poisson claims model, discrete
time and continuous time models for the aggregate claims variable, the
Chapman-Kolmogorov equation for expectations of aggregate claims variables, the
Brownian motion process, estimating the probability of ruin, reinsurance schemes
and their implications for profit and risk.
Credibility theory, classical theory for independent events, least
squares theory for correlated events, examples of random variables where the
least squares theory is exact
- Grading: The grade for the course will be determined from
performances on 8 quizzes, a midterm and a final exam. There will be 8 homework
assignments. Each quiz will consist of a slightly modified homework problem.
8 quizzes= 8x10=80 points
midterm= 60 points
final= 80 points
Total= 220 points
- Winter 2004 midterm exam: Thursday March 4, 7.00-8.30 pm. in room B844 East
- Winter 2004 final exam: Wednesday April 28, 4.00-6.00 pm in room 1068 East
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