Academic Catalog

IAM546 ACTUARIAL RISK THEORY

Course Code: 9700546
METU Credit (Theoretical-Laboratory hours/week): 3(3-0)
ECTS Credit: 8.0
Department: Institute Of Applied Mathematics
Language of Instruction: English
Level of Study: Graduate
Course Coordinator: Prof.Dr. SEVTAP AYE KESTEL
Offered Semester: Fall or Spring Semesters.

Course Content

Basic concepts of probability in sense of risk theory, Introduction to risk processes (claim number process, claim amount process, total claim number process, total claim amount process, inter-occurrence process), Convolution and mixed type distributions, Risk models (individual and collective risk models), Numerical methods (simple methods for discrete distributions, Edgeworth approximation, Esscher approximation, normal power approximation), Premium calculation principles, Credibility Theory, Retentions and reinsurance, Ruin theory, Ordering of risks.