Магистратура
2025/2026
Актуарные расчеты-2
Лучший по критерию «Полезность курса для расширения кругозора и разностороннего развития»
Статус:
Курс по выбору (Статистический анализ в экономике)
Кто читает:
Департамент статистики и анализа данных
Где читается:
Факультет экономических наук
Когда читается:
2-й курс, 3 модуль
Охват аудитории:
для всех кампусов НИУ ВШЭ
Преподаватели:
Морено Франко Гарольд Андрес
Язык:
английский
Кредиты:
3
Контактные часы:
28
Course Syllabus
Abstract
Actuarial Calculus II is an introduction to mathematical risk theory for non-life insurance. The course develops aggregate loss models, computational methods for compound distributions, premium principles, monetary risk measures, expected-utility methods for insurance design, and the classical Cramér-Lundberg model of ruin. The emphasis is on the assumptions behind the formulas, the scope of the results, and the interpretation of calculations for pricing, risk sharing, reinsurance, and solvency.
Learning Objectives
- Knowledge and understanding of aggregate loss models, methods for computing and approximating compound loss distributions, premium calculation principles, risk measures, expected utility theory, optimal insurance, Pareto-optimal risk exchanges, and the Cramér–Lundberg ruin model.
- Ability to compute aggregate loss distributions, apply approximations, calculate and compare insurance premiums and risk measures, solve basic optimal insurance and risk-sharing problems, and analyse ruin probabilities and the effects of reinsurance.
- Experience in applying mathematical risk models to insurance problems, selecting appropriate actuarial methods, interpreting quantitative results, and communicating solutions clearly both individually and in groups.
Expected Learning Outcomes
- Learn about the different risk models
- Explore various topics in utility theory as they apply to insurance companies.
- Study some topics in Credibility Theory
- Learn the Classical Claims Reserving Methods The Dirichlet Model
- Acquire knowledge about the Cramér-Lundberg model.
Course Contents
- Aggregate Risk Models
- Premium Principles and Risk Measures
- Utility Theory and Optimal Insurance
- The Cramér–Lundberg Risk Model
- Reinsurance and Ruin
Bibliography
Recommended Core Bibliography
- Practical Risk Theory for Actuaries, Daykin, C. D., 1996
Recommended Additional Bibliography
- An introduction to mathematical risk theory, Gerber, H. U., 1979
- Mathematical methods in risk theory, Buhlmann, H., 1996
- Modern actuarial risk theory : using R, Kaas, R., 2009
- Modern actuarial risk theory, Kaas, R., 2001