MATHEMATICS (TURKISH, PHD) | |||||
PhD | TR-NQF-HE: Level 8 | QF-EHEA: Third Cycle | EQF-LLL: Level 8 |
Course Code | Course Name | Semester | Theoretical | Practical | Credit | ECTS |
AKB5114 | Main Topics in Actuarial Science | Fall | 3 | 0 | 3 | 12 |
The course opens with the approval of the Department at the beginning of each semester |
Language of instruction: | Tr |
Type of course: | Departmental Elective |
Course Level: | |
Mode of Delivery: | Face to face |
Course Coordinator : | Dr. Öğr. Üyesi BAHAR KÖSEOĞLU |
Course Objectives: | The goal of this course is to give an overview of theoretical techniques used in actuarial risk analysis mentioning most recent developments. The course material may be updated depending on the background of the students and their preferences in preparing a project. |
The students who have succeeded in this course; The student will develop a background on theoretical approaches in actuarial risk analysis,and will have a potential of developing research and application copetence on the following: 1. Decision theory, risk aversion and its role in insurance decision making. 2. Premium principles and risk measures. 3) Basics of financial risk management of an insurance company. 4) Experience rating and Bonus Malus Systems. 5) Simulation and its application to insurance. 6) Determination of rating variables.Linear Models and GLM. 7) Loss reserving. |
Decision theory, risk aversion and its role in insurance decision making. Premium principles and risk measures. Basics of financial risk management of an insurance company. Experience rating and Bonus Malus Systems. Simulation and its application to insurance. Loss reserving. |
Week | Subject | Related Preparation | |
1) | Choice under uncerainty. | ||
2) | Preferences toward risk, indifference curves, utility curves. | ||
3) | Measures of risk aversion, insurance risk markets, the risk premium and optimal insurance choice. | ||
4) | Optimal insurance reinsurance cont’d, morald hazard and adverse selection in insurance. | ||
5) | Premium rules in insurance, coherent risk measures, Standard deviation, exponential, Esscher, Proportional Hazards transform, Wang’s premium principles. | ||
6) | Risk management; insurance, credit , operational and market risk definition. Var and CTE methods as risk measures. | ||
7) | Risk measures continued. | ||
8) | Introduction to simulation. Examples of simulation in actuarial modelling. | ||
9) | Simulation continued. | ||
10) | Experience Rating and Bonus Malus Systems. | ||
11) | Bonus Malus applications, automobile insurance, health insurance. | ||
12) | Underwriting methods. Determination of rating variables. Linear regression models, GLM, applications. | ||
13) | Loss reserving methods. | ||
14) | Loss reserving continued. | ||
15) | Final exam. | ||
16) | Final exam. |
Course Notes: | Gerektikçe sınıf içinde bildirilecektir / Shall be given in class. 1.Varian, H.R., Intermediate Microeconomics, A Modern Approach,(Chapters 3, 4,12,13), Norton company. 2. Campbell, D.E., Incentives. Motivation and the Economics of Information, (Pages 112-134; 179-194 ; 303-321), Cambridge University Press, 2006. 3. Freifelder, L., A Decision Theoretic Approach to Insurance Ratemaking, RDIrwin, 1976. 4. Kaas, R., Goovaerts, M., Dhaene, J, and Denuit, M., Modern Actuarial Risk Theory, Kluwer Academic Publishers. 5. Werner, G., Modlin, C., Basic Ratemaking, Casulaty Actuarial Soceity, 2010. 6. Lemaire, J., Bonus Malus Systems in Automobile Insurance, Kluwer Academic, 1995. |
References: | 1. Keeney and Raiffa “Unidimensional Utility Theory” Chapter 4 in Decisions with Multiple Objectives, NY, Wiley, 1978. 2. Rostchild, M., Stiglitz, J.E, “Equilibrium in Competitive Insurance Markets:An Essay on the Economics of Imperfect Information”, in Quarterly Journal of Economics, 1976 (pp 630-649). 3. Pratt, J., “Risk aversion in the small and in the large”, Econometrica, Vol. 32, No.1-2, January-April, 1976. 4. “Visualizing Insurance Demand and Moral Hazard, http://milkweed.econ.stthomas.edu/~cmarcott/iber c/main htm 5. Denuit, M., Dhaene, J.,Goovaerts, M., Kaas R., Laeven, R., “Risk Measurment with equivalent utility principles, Statistics and Decisions 24, 1-25 (2006) 6. Hürlimann, W., “Distortion Risk Measures and Economic Capital”,http://www.casact.org/education/specsem/sp2003/papers/Hurlimann.DOC . 7.Wang, S.S, Implementation of the proportional hazards transform in ratemaking, Proceedings of the Casualty Actuarial Society, 1998, Arlington, virginia, LXXXV, 940-979. http://www.casact.org/pubs.proceed/proceed98/980940.pdf |
Semester Requirements | Number of Activities | Level of Contribution |
Attendance | % 0 | |
Laboratory | % 0 | |
Application | % 0 | |
Field Work | % 0 | |
Special Course Internship (Work Placement) | % 0 | |
Quizzes | % 0 | |
Homework Assignments | 4 | % 20 |
Presentation | 1 | % 15 |
Project | 1 | % 40 |
Seminar | % 0 | |
Midterms | % 0 | |
Preliminary Jury | % 0 | |
Final | 1 | % 25 |
Paper Submission | % 0 | |
Jury | % 0 | |
Bütünleme | % 0 | |
Total | % 100 | |
PERCENTAGE OF SEMESTER WORK | % 35 | |
PERCENTAGE OF FINAL WORK | % 65 | |
Total | % 100 |
Activities | Number of Activities | Duration (Hours) | Workload |
Course Hours | 14 | 3 | 42 |
Laboratory | 0 | 0 | 0 |
Application | 0 | 0 | 0 |
Special Course Internship (Work Placement) | 0 | 0 | 0 |
Field Work | 0 | 0 | 0 |
Study Hours Out of Class | 14 | 4 | 56 |
Presentations / Seminar | 0 | 0 | 0 |
Project | 1 | 20 | 20 |
Homework Assignments | 4 | 16 | 64 |
Quizzes | 0 | 0 | 0 |
Preliminary Jury | 0 | ||
Midterms | 0 | 0 | 0 |
Paper Submission | 0 | ||
Jury | 0 | ||
Final | 1 | 20 | 20 |
Total Workload | 202 |
No Effect | 1 Lowest | 2 Low | 3 Average | 4 High | 5 Highest |
Program Outcomes | Level of Contribution |