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Loss Models
Loss Models
Course requirements
Course assessments Homework/Assignments
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Course instructor
Emil Valdez Ofce: MSB 418 Telephone: 860-486-3596 e-mail: emiliano.valdez@uconn.edu Ofce Hours Wednesdays 10am12pm or by appointment (send email)
Course requirements
Course assessments Homework/Assignments
Course website
http address
page 2
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)
Course requirements
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Course website
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page 3
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).
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page 4
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.
Course requirements
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Course website
http address
page 5
Lectures
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.
Course requirements
Course assessments Homework/Assignments
Course website
http address
page 6
Course assessments
Course requirements
Course assessments Homework/Assignments
Course website
http address
page 7
Homework/Assignments
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
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