discipline

MSc in Mathematics

subject

Premium Calculation

lecturers

László Márkus, assoc. prof., Dept. of Probability Theory and Statistics, Institute of Mathematics

György Michaletzky, professor, Dept. of Probability Theory and Statistics, Institute of Mathematics

N. Miklós Arató, assoc. prof., Dept. of Probability Theory and Statistics, Institute of Mathematics

Vilmos Prokaj, assoc. prof., Dept. of Probability Theory and Statistics, Institute of Mathematics

András Zempléni, assoc. prof., Dept. of Probability Theory and Statistics, Institute of Mathematics

credits

2

period

2

curriculum

Risks and fitting of loss distributions. Analysis of loss frequencies and loss sizes. Panjer’s recursion.

Principle of expected value, maximal loss, variance, semiinvariant. Utility function (principle of zero utility). Basic properties of premium calculations, additivity, shift invariance, homogenity, multiplicativity, invariance under iteration.

Credibility theory

Bonus-malus systems

literature

Suggested readings:

Bowers,N.L. et al.(1986). Actuarial Mathematics. Society of Actuaries.
Straub,E.(1988). Non-Life Insurance Mathematics. Springer.
Daykin,E., Pentikainen,M. and M. Pesonen.(1995). Practical Risk Theory for Actuaries. Chapmann-Hall.
Panjer,H.H. and G. Wilmott (1992) Insurance Risk Models. Society of Actuaries.

form of tuition

Lectures

mode of assessment

oral exam