Currículo
Ratemaking and Experience Rating RER-DMAEG
Contextos
Groupo: Matemática Aplicada à Economia e à Gestão > 3º Ciclo > Parte Escolar > Unidades Curriculares Optativas > Optativas 1
ECTS
6.0 (para cálculo da média)
Objectivos
On completion of the subject the student should be able to build a tariff for some sorts of insurance, particularly those for big portfolio, like in the motor insurance line of business. To achieve that it is necessary to bring tools that model the past experience onto the portfolio future rating. Thus, the student should get solid knowledge on Credibility Theory, Bonus-Malus Systems as well as be able to apply his acquired knowledge on Generalized Linear Models to ratemaking.
Programa
1. Introduction and concepts 2. Credibility theory 3. Bonus-malus systems 4. Experience rating and Generalized Linear Models. Applications
Método de Avaliação
Lectures will be of a mixed type, theoretical and practical, where there will be a presentation of the theory and explanation, followed by practical illustration. Students will be asked to solve the given problems. Evaluation will be twofold: A final exam according to ISEG's exam regulations at the end of the semester and a project. Exam is individual and the project is a tariff build and made by group of students. Project grade has a weight of 20% in the final mark.
Carga Horária
Carga Horária de Contacto -
Trabalho Autónomo - 134.0
Carga Total -
Bibliografia
Principal
- Setting a bonus-malus scale in the presence of other rating factors: Taylor’s work revisited,: Pitrebois, S.; Denuit, M. & Walhin, J.F. 2003 ASTIN Bulletin, 33(2), 419-436.
- .Non-Life Insurance Pricing with Generalized Linear Models,: Ohlsson, E. & Johansson, B. 2010 EAA series/EAA Lecture Notes, Springer.
- Teoria do Risco na Actividade Seguradora: Centeno, M.L. 2003 Celta Editora, Oeiras, Portugal.
- Modern Actuarial Risk Theory: Using R: Kaas, R., Goovaerts, M., Dhaene, J. e Denuit, M. 2008 (2nd edition), Springer.
- Loss Models, From Data to Decisions: Klugman, S.A.; Panjer, H.H. & Willmot, G.E. (2008 or 2012) (3rd or 4th editions), John Wiley & Sons, Hoboken NJ