Stochastic Processes in Non-Life Insurance (SkadeStok)

Course content

Stochastic processes in non-life insurance; ruin theory; claims reserving.


MSc Programme in Actuarial Mathematics
MSc Programme in Mathematics-Economics

Learning outcome

Knowledge:  At the end of the course, the student should develop a thorough understanding of renewal theory, perturbation techniques, and martingale techniques as they apply to problems in risk theory.  The student should develop a thorough understanding of the theory behind the Cramér-Lundberg model in the subexponential case.   Moreover, the student should develop a basic knowledge of claims reservation (chain ladder method, Mack's formula, and some related methods).

Skills:  The students should develop problem-solving skills for claims reservation  and for estimating ruin probabilities in non-life insurance mathematics in various settings, including the cases of classical and subexponential claims and some of their standard generalizations.

Competencies:  The student should develop a working knowledge of renewal theory, perturbation arguments, and martingale techniques in connection with the Cramér-Lundberg model and some of its extensions, and develop a working knowledge of claims reservation.

4 hours of lectures and 3 hours of exercises per week for 7 weeks.

VidSand 1 or similar.

Academic qualifications equivalent to a BSc degree is recommended.

Feedback by final exam (In addition to the grade)
7,5 ECTS
Type of assessment
Written examination, 3 hours under invigilation
Written aids allowed

Written aids allowed, but no electronic aids allowed.

Marking scale
7-point grading scale
Censorship form
No external censorship
One internal examiner
Criteria for exam assessment

Den studerende skal på tilfredsstillende måde godtgøre, at vedkommende lever op til fagets målbeskrivelse.

Single subject courses (day)

  • Category
  • Hours
  • Lectures
  • 28
  • Preparation
  • 132
  • Theory exercises
  • 21
  • Exam
  • 25
  • English
  • 206


Course number
7,5 ECTS
Programme level
Full Degree Master

1 block

Block 1
No limit
The number of seats may be reduced in the late registration period
Study Board of Mathematics and Computer Science
Contracting department
  • Department of Mathematical Sciences
Contracting faculty
  • Faculty of Science
Course Coordinator
  • Jeffrey F. Collamore   (9-677370706571737669447165786c326f7932686f)
Phone +45 35 32 07 82, office: 04.3.08
Saved on the 28-02-2023

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