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Loss Models

This document provides an overview and introduction for a course on loss models. It outlines the following key points: - The course instructor is Emil Valdez and will cover loss models, frequency and severity models, and risk measures. - Students should have backgrounds in probability, statistics, and actuarial mathematics. - Assessments include homework, two midterms, and a final exam. - All course materials including assignments and lecture slides can be found on the course website.

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Letsogile Baloi
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© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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497 views9 pages

Loss Models

This document provides an overview and introduction for a course on loss models. It outlines the following key points: - The course instructor is Emil Valdez and will cover loss models, frequency and severity models, and risk measures. - Students should have backgrounds in probability, statistics, and actuarial mathematics. - Assessments include homework, two midterms, and a final exam. - All course materials including assignments and lecture slides can be found on the course website.

Uploaded by

Letsogile Baloi
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Course Overview and Introduction EA Valdez

Course Overview and Introduction


Math 3632 Loss Models Fall 2010 semester
About the course
Course instructor Course objectives Assumed knowledge and skills Course textbooks and references Lectures

Course requirements
Course assessments Homework/Assignments

Course website
http address

EA Valdez University of Connecticut - Storrs Lecture: Week 0


page 1

Course instructor

Course Overview and Introduction EA Valdez

Emil Valdez Ofce: MSB 418 Telephone: 860-486-3596 e-mail: emiliano.valdez@uconn.edu Ofce Hours Wednesdays 10am12pm or by appointment (send email)

About the course


Course instructor Course objectives Assumed knowledge and skills Course textbooks and references Lectures

Course requirements
Course assessments Homework/Assignments

Course website
http address

page 2

Course aims and learning objectives

Course Overview and Introduction EA Valdez

The course is about construction and evaluation of loss models, which aims to cover several of the learning objectives for SOA Exam C or CAS Exam 4. Course aims to give you a background about non-life (casualty) insurance mathematical models. Some general heading of topics covered include:
claims frequency, severity and aggregate models risk measures: uses and limitations estimation of loss models: parametric and non-parametric approaches selection procedures of loss models introduction to credibility (if time permits)

About the course


Course instructor Course objectives Assumed knowledge and skills Course textbooks and references Lectures

Course requirements
Course assessments Homework/Assignments

Course website
http address

Simulation topics are covered in Math 3634.

page 3

Assumed knowledge and skills

Course Overview and Introduction EA Valdez

Strong mathematics background and exposure to concepts of probability/statistics. Math 3160/231 (Probability) and Stat 3375/230 (Mathematical Statistics I); Math 3630/287 (Actuarial Mathematics I) or concurrently taken. Some background in computing, such as spreadsheets or stat software (but not essential).

About the course


Course instructor Course objectives Assumed knowledge and skills Course textbooks and references Lectures

Course requirements
Course assessments Homework/Assignments

Course website
http address

page 4

Course textbooks and references

Course Overview and Introduction EA Valdez

S.A. Klugman, H.H. Panjer and G.E. Willmot, Loss Models: From Data to Decisions, 3rd edition, John Wiley & Sons, 2008. Additional references:
Y-K Tse, Nonlife Actuarial Models: Theory, Methods and Evaluation, Cambridge University Press, 2009. R. Kaas, M. Goovaerts, J. Dhaene and M. Denuit, Modern Actuarial Risk Theory: Using R, 2nd edition, Springer-Verlag, 2008.

About the course


Course instructor Course objectives Assumed knowledge and skills Course textbooks and references Lectures

Course requirements
Course assessments Homework/Assignments

Course website
http address

Additional illustrations will be drawn from the study manual:


Actex Study Manual for SOA Exam C/CAS Exam 4, by Sam Broverman, Vol. I and II, 2009 edition.

page 5

Lectures

Course Overview and Introduction EA Valdez

Lectures will be a combination of three (3) activities: overview of the material using slides/overhead presentations, examples and problems to reinforce the material, and the use of the R software for data analysis, model calibration.

About the course


Course instructor Course objectives Assumed knowledge and skills Course textbooks and references Lectures

Course requirements
Course assessments Homework/Assignments

Course website
http address

page 6

Course assessments

Course Overview and Introduction EA Valdez

You will be assessed according to the following scale:


About the course

Form of Assessment Homework/Assignments Class Test 1 Class Test 2 Final Exam

Course instructor Course objectives

Weight 20% 25% 25% 30%

When? [random] weekly Week 6 (6 October) Week 10 (3 November) to be announced

Assumed knowledge and skills Course textbooks and references Lectures

Course requirements
Course assessments Homework/Assignments

Course website
http address

page 7

Homework/Assignments

Course Overview and Introduction EA Valdez

About the course

Randomly assigned throughout the semester - will be posted on the web usually a week before it is due. Please check website regularly.
no late submission (except for very special circumstances) solutions are immediately posted after due no copying of work - read academic integrity section of the course syllabus

Course instructor Course objectives Assumed knowledge and skills Course textbooks and references Lectures

Course requirements
Course assessments Homework/Assignments

Course website
http address

page 8

Course website

Course Overview and Introduction EA Valdez

About the course


Course instructor

You can nd everything about the course in our course website: http://www.math.uconn.edu/valdez/math3632f10/

Course objectives Assumed knowledge and skills Course textbooks and references Lectures

Course requirements
Course assessments Homework/Assignments

Course website
http address

page 9

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