Established by: Faculty Board of Science and Technology, 2025-02-26
Contents
This course is concerned with reserving and pricing of non-life insurance policies, considering various characteristics of the insured object and the policyholder. We will start by exploring pricing using Generalized Linear Models (GLMs), a method introduced by British actuaries and now widely adopted in the industry. In cases with insufficient data, we will combine GLMs with credibility theory to obtain reliable estimates.
Reserving is concerned with estimating payments for incurred but not (enough) reported claims. Here we will study methods such as the chain ladder method.
Besides the theoretical knowledge, an important part of the course is to develop the students' ability to apply the methods discussed on real data.
Expected learning outcomes
For a passing grade, the student must be able to
Knowledge and understanding
thoroughly describe fundamental concepts and statistical distributions used in pricing of non-life insurance contracts
thoroughly describe and motivate the use of generalized linear models and credibility theory in non-life insurance pricing
thoroughly describe and motivate the reserving methods included in the course
Skills and abilities
determine maximum likelihood estimates of the parameters of a GLM
apply GLM for tariff analysis
apply credibility theory, combined with GLM, for tariff analysis
apply the reserving methods included in the course
Judgement and approach
validate fitted models with respect to relevant measures
Required Knowledge
The course requires 90 ECTS including at least 30 ECTS in Mathematics, 15 ECTS in Mathematical Statistics or Statistics and at least 7,5 ECTS in Programing Methodology, or equivalent. Proficiency in English equivalent to the level required for basic eligibility for higher studies. Where the language of instruction is Swedish, applicants must prove proficieny in Swedish to the level required for basic eligibility for higer studies.
Form of instruction
The teaching consists of lectures and supervised lab work.
Examination modes
The course is assessed through written lab reports and a written exam. For the course as a whole, one of the following grades is awarded: Fail (U), Pass (G), Pass with distinction (VG). In order to receive a passing grade on the course, all parts must be completed with a passing grade.
A student who has been awarded a passing grade for the course cannot be reassessed for a higher grade. Students who do not pass a test or examination on the original date are given another date to retake the examination. A student who has undergone two examinations for a course or a part of a course, without passing either examination, has the right to have another examiner appointed, provided there are no specific reasons for not doing so (Chapter 6, Section 22, HEO). The request for a new examiner is made to the Head of the Department of Mathematics and Mathematical Statistics. Examinations based on this course syllabus are guaranteed to be offered for two years after the date of the student's first registration for the course.
Examiners may decide to deviate from the modes of assessment in the course syllabus. Individual adaption of modes of assessment must give due consideration to the student's needs. The adaption of modes of assessment must remain within the framework of the intended learning outcomes in the course syllabus. Students who require an adapted examination must submit a request to the department holding the course no later than 10 days before the examination. The examiner decides on the adaption of the examination, after which the student will be notified.
Credit transfers Students are entitled to an assessment of whether previous education or equivalent knowledge and skills acquired in professional experience can be accredited for equivalent studies at Umeå University. Applications for credit transfers must be sent to Student Services/Degree Evaluation Office. More information on credit transfers can be found on Umeå University's student website, www.student.umu.se, and in the Higher Education Ordinance (Chapter 6). Rejected applications for credit transfers can be appealed (Higher Education Ordinance, Chapter 12) to the Higher Education Appeals Board. This applies regardless of whether the rejection relates to all or parts of the credit transfer application.
Other regulations
In a degree, this course may not be included together with another course with a similar content. If unsure, students should ask the Director of Studies in Mathematics and Mathematical Statistics. The course can also be included in the subject area of computational science and engineering.
In the event that the syllabus ceases to apply or undergoes major changes, students are guaranteed at least three examinations (including the regular examination opportunity) according to the regulations in the syllabus that the student was originally registered on for a period of a maximum of two years from the time that the previous syllabus ceased to apply or that the course ended.
