(in Polish) Teoria Ryzyka w Ubezpieczeniach II

elective monographs

Student knows:

1) the ruin theory and its practical relevance, in particular mechanisms of cross-sectional risk diversification, based on risk pooling,

2) risk diversification over time (covering losses in bad years by profits made in good years).

3) how to determine the level of initial capital enough to ensure solvency of the insurer despite bad years that can possibly come first

4) methods of setting premium rates in case when the same type of insurance policy is sold to members of a heterogeneous population of risks (Generalized Linear Models as a tool of distinguishing bad risks and good risks on the basis of observable characteristics; Poisson and logistic models considered in greater details).

5) credibility theory – another tool for distinguishing bad risks from good risks, in case when no observable characteristics are available.

6) methods for calculation of reserves, using similar tools as above (GLM and credibility theory), and also other traditionally used methods.

Student can:

1) calculate insurance premium as well as set the required level of initial capital on the basis of multi-period approach (ruin theory).

2) understand the importance of ability to distinguish bad risks from good risks when the insurer acts within a competitive environment,

3) select a model that is adequate to the size and content of the dataset at hand.

4) continue studies of the wide range of modeling techniques, either with the assistance of a tutor at the University or at the actuarial team in an insurance company, or by himself/herself.

5) cooperate with the practitioners - his advantage are acquired technical skills that can be used to find answers to important practical questions.

6) assume responsibility in finding common language with the practitioners.

7) translate problems from the language of practice to the language of mathematics and vice-versa.

Grades are based on a presentation of an advanced study of an issue selected from the range of the course. Literature for preparing such a presentation is proposed by the lecturer. Assessment is based on the depth of understanding of the selected issue, and on quality of the presentation.