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SC/MATH 4280 3.00   Risk Theory - Loss Models and Risk Measures


Course Description:

A comprehensive introduction to the single-period mathematical risk theory. The course explores approaches to modeling and measuring (insurance) risks. Topics include (univariate) distribution theory: exponential dispersion models, elliptical distributions, (a,b,k,) class, heavy-tailness; risk measurement: Value-at-Risk, Expected Shortfall, coherency; policy modifications: deductibles, (co)insurance, limits. The course ensures an adequate preparation for the C exam of the Society of Actuaries. Three lecture hours per week plus one hour of faculty led tutorials per week. Prerequisite: SC/MATH 2131 3.00

Language of Instruction:

English

Course Schedule:

Fall/Winter 2017-2018 Schedule


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