Non-life insurance pricing
The course addresses methods for the pricing of non-life insurance. This is one of two courses on non-life insurance mathematics which are part of the master's programme in insurance mathematics, but may also be taken as separate courses.
The course treats methods for pricing non-life insurance contracts.
- Generalised linear models (GLM).
- Credibility theory, in particular the Bühlmann-Straub estimator.
- Use of generalised additive models (GAM) for analysis of continuous variables.
- Regression trees and the use of Gradient Boosting Machines (GBM) för pricing.
- Analysis of practical insurance examples, making use of statistical software.
The course consists of two modules: theory and case studies.
Teaching Format
Teaching consists of lectures, exercise sessions, supervision of case studies and seminars.
Assessment
The course is examined through a written exam, and written and oral presentation of solved case studies.
Examiner
The schedule will be available no later than one month before the start of the course.
We do not recommend print-outs as changes can occur. At the start of the course,
your department will advise where you can find your schedule during the course.
Note that the course literature can be changed up to two months before the start of the course.
Ohlsson, Esbjörn and Johansson, Björn (2010) Non-Life Insurance Pricing with Generalized Linear Models. Springer.
Additional material about machine learning methods is provided.
Course reports are displayed for the three most recent course instances.
