Risk Theory

MATH69542 Risk Theory 15 Semester 2 Postgraduate Taught Level 6 Kees Van Schaik Unit coordinator Department of Mathematics 1 FHEQ level (Framework for Higher Education Qualifications) ' Masters/Integrated Masters P4 ' European Credit Transfer & Accumulation System Rating : 7.5 Following up on the course unit General Insurance this unit introduces further concepts and models relevant to the non-life industry, in particular the important concept of ruin in a risk model is discussed. Following up on the course unit General Insurance this unit introduces further concepts and models relevant to the non-life industry, in particular the important concept of ruin in a risk model is discussed. Building on MATH69531 General Insurance, to provide a sound understanding of more advanced mathematical tools and techniques that are prominent in non-life insurance.  On completion of this unit, successful students will be able to:  1. compare and contrast the Bayesian approach and the frequentist approach to Statistics.  2. discuss the Bayesian approach to decision theory and inference problems, and determine the Bayesian solution for such problems.  3. discuss the assumptions and goals of credibility theory, and compute the types of credibility estimates seen in the course.  4. discuss the main categories making up the field of machine learning and categorise given situations accordingly.  5. execute and evaluate principal component analysis and clustering on appropriate data sets.  6. discuss and evaluate dependence between random variables using copulas and related concepts.<ul> <li>  </li></ul>  <ul> <li align="left">(i) Bayesian Statistics: decision theory and inference   (ii) Credibility theory: Bayes, Buhlmann and Buhlmann-Straub   (iii) Machine Learning: overview of the field & main categories, Principal Components Analysis & Clustering   (iv) Copulas: examples & properties, generators, Kendall's tau and correlation</li></ul> 0 Other 20% 1 Written exam 80% <ul> <li> Coursework 20%</li> <li> Examination 80%.</li></ul> Feedback tutorials will provide an opportunity for students' work to be discussed and provide feedback on their understanding.  Coursework or in-class tests (where applicable) also provide an opportunity for students to receive feedback.  Students can also get feedback on their understanding directly from the lecturer, for example during the lecturer's office hour. MATH69531 General Insurance Pre-Requisite Recommended N There is no reccomended reading for this module Lectures 32 Tutorials 12 0 106 This course unit detail provides the framework for delivery in 20/21 and may be subject to change due to any additional Covid-19 impact.  Please see Blackboard / course unit related emails for any further updates.