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NB ! Skriftlig eksamen fredag, 2. desember, 09:00 AM (4 timer), sted: Silurveien 2 Sal 4D.
Pensum er kap. 3, 4 og 5 i forelesningsnotatene mine. Eller se tilsvarende kap. i boken til T. Mikosch.
Det anbefales å gjennomgå prøveeksamen og følgende relevante regneoppgaver: oppgaver.
Tillatte hjelpemidler i eksamen STK4540: bare godkjent kalkulator.
Det er viktig (!) å ha en kalkulator for hånden under eksamen.
Hvis dere har spørsmål angående eksamen kan dere ta kontakt med meg.
NB ! The exam in STK4540 is in a written form and takes place on Thursday, 2. December, 09:00 AM (4 hours), place: Silurveien 2 Sal 4D.
The exam pensum is sect. 3, 4 and 5 in my lecture notes. Or see the corresponding chapters in the book of T. Mik...
prøveeksamen: prøveeksamen
løsningsforslag/solutions: solutions (15. November)
The presentation of the solutions to the problems of the mock exam will be on Tuesday, 15. November, 12:15-14:00!
Our last lesson will be on Tuesday, 16. Nov. in connection with the presentation of the solutions to the mock exam!
The mock exam will be posted on our website, soon (10. Nov.).
I de siste ukene (27. sept.-18. okt.) har vi diskutert (lineær) Bayes-estimering i forbindelse med premieberegning (beregning av (lineære) Bayes-estimatorer, Bühlmann-modell og Bühlmann-Straub-modell). Se kap. 5 og 6 i boken til Mikosch. Deretter begynte vi forrige uke (18. okt.) med å studere punktprosesser og deres anvendelser på feks. reserveestimering (Mack-modell). Se kap. 7, 8 og 11 i boken til Mikosch.
Regneøvelsene (Exercises 6) fremføres 15:15-16:00 (2. nov.).
In the last weeks (27. Sept.-18. Oct.) we discussed (linear) Bayes estimation in connection with premium calculation (computation of (linear) Bayes estimators, Bühlmann-model, Bühlmann-Straub-model). See Ch. 5 and 6 in Mikosch. Further, we continued last week (18. Oct.) with the study of point processes and their applications to e.g. reserve estimation (Mack`s model). Se Ch. 7, 8 and 11 in Mikosch.
The solutions to problems of Exercises 6 will be presented 2. Nov., 15.15-16.00.
Here: 2. assignment
Submission deadline Thursday, 10. November 2022, 14:30 (electronic submission via Canvas).
Innleveringsfrist: torsdag, 10. november 2022, kl. 14:30 (elektronisk innlevering via Canvas).
Studentrepresentantene for kurset er
Kirsten Ginnerup Pedersen (kmpeder[at]math.uio.no)
og
Amir Said (amiris[at]uio.no).
Here: 1. Assignment
Deadline: Thursday, 20. October 2022, 14:30 (electronic submission via Canvas).
Innleveringsfrist: torsdag, 20. oktober 2022, kl. 14:30 (elektronisk innlevering via Canvas).
Siste gang (14., 15. og 20. sept.) diskuterte vi ruinsannsynligheter mhp store forsikringskrav (feks Cramer’s estimat for krav med langhalede fordelinger) og vi ble ferdig med kap. 4 i boken til Mikosch. Neste uke (sept. 27. sept.) kommer vi til å fortsette med kap. 5 og 6 om "experience rating”.
Regneøvelsene (Excercises 2/3) fremføres neste uke, dvs. 28. sept., kl. 15:15-16:00.
In our last lessons (14., 15. and 20. Sept.) we discussed ruin probabilities in the case of large claims (e.g. Cramer´s ruin bound for large claims) and finished Ch. 4 in the book of Mikosch. Next week (27. Sept.) we will continue with Ch. 5 and 6 on "experience rating".
Solutions to problems of Exercises 2/3 will be presented on 28. Sept.,15:15-16:00.
The Section in Risk and Stochastics is happy to announce a guest lecture on Longevity Risk as part of our course STK4540 on Wednesday next week.
This is all about financial risk arising from the increasing of life expectancy.
To know more about the good and the bad associated to living longer and what society has to expect, then we need to know about longevity risk.
You will here about modelling, forecasting, and quantification.
The lecture is held by Prof. Péter Vékás, Corvinus University in Budapest and it is on Wednesday 21st September 2022 in NHA 1120 from 14:15 to 17:00 (with breaks).
You find out more details about the speaker and the lecture, please see here:
...
lecture notes: Part1, Part2, Part3, Part4, Part5, part6, part7, part8, part9, part10
exercises: Exerc1, Exerc2, Exerc3, Exerc4, Exerc5, Exerc6, Exerc7
solutions: Ex1Prob1245, Ex1Prob3, Ex1Prob6, Ex2Prob1234, Ex3Prob1234,
Ex4Prob1, ExProb3, Ex4Prob24, Ex5Prob2, Ex5Prob134, Ex6Prob14, Ex6Prob23, Ex7Prob12
Vi startet opp kurset (23. aug.) med en kort innføring i skade- og livsforsikring og et oversikt over emner vi kommer til å studere i dette kurset. Dessuten repiterte vi (24./31. aug.) grunnleggende begrep og resultater fra sannsynlighetsregning (f.eks. (betinget) forventningsverdi,...).
Neste gang (6. sept.) skal vi fortsette med kap. 4 i boken til Mikosch og studere effektene av "små" og "store" forsikringskrav på modeller fra risikoteori.
In our first lesson (23. Aug.) I gave a brief introduction to general insurance mathematics and an overview of all the topics we will study in our course. Further, on 24./30. Aug. we recalled some basic notions and results from probability theory (e.g. probability space, stochastic process or conditional expectation).
In our next lesson (6. Sept.) we will continue with our discussion of ruin theory (see chapter 4 in the boo...
Vi starter opp med kurset på tirsdag, 23. august, 12:15-14:00, NHA, Undervisningsrom 1020 (fysisk forelesning).
Our first lesson is supposed to be on Tuesday, 23. August, 12:15-14:00, NHA, room 1020.
Vi skal bruke følgende pensumsbøker i dette kurset:
1. Mikosch, T.: Non-Life Insurance Mathematics: An Introduction with Poisson Process. 2nd edition, Springer (2009).
Støttelitteraturen vi trenger er:
2. Bølviken, E.: Computation and Modelling in Insurance and Finance. Cambridge University Press (2014).
Pensum:
Det er planlagt å gjennomgå følgende kapitler i boken til T. Mikosch:
1. Review of basic non-life insurance mathematics (e.g. models for claim number processes, the total claim amount; see Ch. 2 and 3)
2. Ruin Theory (Ch. 4)
3. Bayes Estimation (Ch. 5)
4. Linear Bayes Estimation (Ch. 6)
5. Cluster Point Processes (e.g. chain ladder method; see Ch. 11, but also Ch. 7, 8 and 9, which will be (partially) discussed, too.)