Math 5637 (395) Risk Theory

Fall 2012

MWF 12-12:50 MSB 411

Instructor – James G. Bridgeman

syllabus for the course

Errata for textbook: http://www.soa.org/files/pdf/edu-loss-models-errata-corrections.pdf

What Is Risk Theory?

EXCEL Example for Convolution (see page 208)

(note use of the EXCEL functions OFFSET and SUMPRODUCT)

Distribution fitting example (see pp 207-208)

Example of Compound Geometric and Panjer Recursion For Ruin Probabilities

Final Exam is here.  Solutions are here.  Solution spreadsheet is here.

Grades for exams, papers and projects will be posted here by the end of the weekend and final course grades on the registrar’s website.

Cumulative Assignments (Most recent on top)

(Final)

Sec. 10.1-10.2

Study the Stop-Loss Example and Spreadsheet above … be able to do such problems independently

Study the EXCEL examples and distribution fitting examples above and be able to do such calculations independently.

Sec. 9.8-9.12 and exerc, 9.47-9.65, 9.67-9.69

Sec. 9.1-9.7 and exerc. 9.1-9.36

Sec. 6.7-6.13 and 8.6; exerc. 6.10-6.28, 6.32, 8.29-8.34

Use Faa’s formula to calculate the first 4 raw and central moments of the Poisson, Neg. Binomial, and Binomial distributions

Sec. 6.1-6.6 and exer. 6.1-6.9

Validate (comparing formulas is good enough, but surface interpretation is interesting so you might want to try it) that if X is a log-logistic then the k-th conditional tail moment distribution of X is a transformed beta (or, when γ=1, a generalized Pareto)

Your selection of a distribution for your paper is due to me (in writing) by 10-19

Get going on some projects! To be on pace you should have started working on at least 4 of them by 10-12, and by then about 19 of them should be accessible for you to choose from.

Write down a formula for the 3rd moment analogous to Theorem 8.8

Be sure that you can see Theorems 8.3, 8.5, 8.6, 8.7 and 8.8 in terms of the surface interpretation

Sec. 8.1-8.5 and exer. 8.1-8.28 (In chapter 8 try to think in terms of the surface interpretation.  It will simplify everything)

Sec. 5.3-5.5 and exer. 5.21-5.27

Calculate the first 6 central moments in terms of mean and (a) raw moments (b) cumulants (c) factorial moments

Sec. 5.1-5.2 and exer. 5.1-5.20 (keep a bookmark in appendix A!)

Sec. 4.1-4.2 and exer. 4.1-4.12

Sec. 3.4 and 3.5; exer.3.25 to 3.37 (Beware some misprints in both the text and the solution manual.  See errata!)

Sec. 3.1-3.3 and Exer. 3.1-3.24

Ch. 1&2 and Exer.2.1-2.5

Project Topics: (pick any eight to submit by end of semester … topics will be added as we go)

See the projects list at Risk Theory Resources

(In 3, 4, 6, and 22 please follow the instructions exactly or you might not get credit.  3, 4 and 22 are intended to have you learn (by developing them) alternative ways to see concepts treated in the text by integration by parts and in my classroom notes by the surface interpretation.  If all you do is integrate by parts (in any of them) or use the surface interpretation (in 4 or 22) then you have not really developed an alternative way to solve the problem.  The whole point of 6 is the interpretation in terms of stationary population; if you don’t get to that you’ve missed the point of the project. )

By 11-28, or shortly thereafter, you should be able to work on projects 1 – 30 and 32 – 40.