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

- Homework Answers.
- Solutions to Homework I.
- Solutions to Homework II.
- Solutions to Homework III.
- Solutions to Homework IV.
- Solutions to Homework V.
- Solutions to Homework VI.
- Solutions to Homework VII.
- Solutions to Homework VIII.

- Winter 2004 midterm exam: Thursday March 4, 7.00-8.30 pm. in room B844 East Hall
- Winter 2004 final exam: Wednesday April 28, 4.00-6.00 pm in room 1068 East Hall.

- Winter 2000 midterm exam. postscript
- Solutions to winter 2000 midterm.
- Winter 2000 final exam. postscript
- Solutions to winter 2000 final.
- Fall 2000 midterm exam. postscript
- Solutions to Fall 2000 midterm.
- Fall 2000 final exam. postscript
- Solutions to Fall 2000 final.
- Fall 2001 midterm exam. postscript
- Solutions to Fall 2001 midterm.
- Fall 2001 final exam. postscript
- Solutions to Fall 2001 final. postscript
- Winter 2004 midterm exam. postscript
- Solutions to Winter 2004 midterm. postscript
- Winter 2004 final exam. postscript
- Solutions to Winter 2004 final.
postscript

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