Risk Theory (2 º Sem 2019/2020)

CA (Actuarial Science)

Linhas Programáticas

- The number of claims: the (a,b,0) class of distributions;the homogeneous Poisson process; the class (a,b,1) of distributions - truncation and modification at zero; compound frequency models; mixed frequency models; the mixed Poisson process; effect of exposure on frequency
- Impact of coverage modifications in the frequency and severity, including deductible, inflation effects, policy limits
- Aggregate models: collective risk model versus individual risk model; the compound model; special cases; the aggregate claim distribution; the impact of individual policy modifications on the aggregate claim distribution; the individual model; approximated methods
- Premium principles; Risk Measures
- Reinsurance: Quota-share, Surplus, Excess of Loss and Stop Loss
- Ruin Theory: continuous time model; discrete time model; the impact of reinsurance on the ruin probability