Beskjeder

One of the students found an error on slide 185 and 186. I have uploaded a corrected presentation.

Sorry for confusion

I've just uploaded the preliminary solution to the mock exam.

Dear All,

the final curriculum is as follows: 

Chapter 1: sections 1.1-1.5

Chapter 2: sections 2.1-2.2, 2.3.1, 2.3.2, 2.4, 2.5

Chapter 3: sections 3.1, 3.2, 3.3, 3.4, 3.5, 3.6 (will not be on the exam) 3.7.1-3.7.2

Chapter 5: sections 5.1, 5.2, 5.3.1-5.3.7 (will not be on the exam), 5.4, 5.5 (will not be on the exam), 5.7 (will not be on the exam)

Chapter 6: sections 6.1, 6.2.1-6.2.4, 6.3.1-6.3.2, 6.3.4, 6.51-6.5.3, 6.6

Chapter 7: sections 7.1-7.3

Moreover, the curriculum covers the presentation. Note that the calculation of reserves as in the presentation (Premium Provision, Claim Provision, Liability for unearned exposure) will be on the exam

I've just uploaded a mock exam. We are going to look at it next Tuesday. Feel free to solve it on your own during the weekend. You do not need to do it, but doing it will prepare you to the real exam in December. Please, do NOT send me any solutions, however, feel free to present it to me during the lecture on Tuesday :)

The real exam will have similar types of problems and structure, but may of course look differently. 

Thanks for coming to the lecture today. It was really great to see your interest. Here are those resources about the financial crisis which I mentioned during the lecture

Adam Tooze: "Crashed: How a Decade of Financial Crises Changed the World" - Difficult, long and technical book, but it shows not only how the crisis emerged, but also how it has spread to other countries, how it has caused the European Debt Crisis (i.e. Greek debt crisis)

Michael Lewis: "The big short" - more approachable book, focusing on how some hedge funds predicted and made money on the financial crisis.

The Big Short (film) - Wikipedia - the movie based on the book by Lewis, available on Netflix (if I'm not mistaken)

I have uploaded all the previous exams which I have. Moreover, you should have the results of the assignment available at Canvas since Saturday.

See you tomorrow at the Exercise session!

Hi,

Berit has sent me a tips regarding how to best include the code in the assignment:

If you collect the code in a script and use the command "Compile report" or something similar (the button is on the line below open script), then you will generate a running example.

Dear All,

There was a typo in Assignment 1, point 2. The value of the bond was supposed to be P, not 1. Sorry for confusion.

On Tuesday, we will have a lecture based on the presentation (Reserving + more on premium calculations)

On Wednesday, we will finish the two last exercises from the last exercise set, as well as do some exercises on reserving and premium calculation. Possibly we will not finish all on Tuesday, so a part of the classes might be a lecture.

Next week we will have a lecture on Tuesday and I will finish material from Chapter 3 regarding the non-life insurance (deductible, sums insured, reinsurance) as well as cover via presentation a short introduction (outside curriculum) of catastrophe modelling. Then we will move to reserving (which will be presented differently than the book) and if we have time I will tell more about pricing and risk differentiation

On Wednesday, we will cover exercises from Chapter 3.2 and 3.3, and maybe I will add one or two own exercises, depending on time.

Draft of lecture will be uploaded this weekend

Dear all,

It has been just announced that there are some problems with tbane and most likely I will be delayed today. Sorry for inconvenience.

Update: Tbane is operating again. I think I will be ca. 10 min delayed

As we discussed today in the morning, tomorrow we shall continue with the exercises which we haven't finished today. I shall also prepare an additional exercise about bootstrapping so that you see at least once how one uses it and what it strength is.

Next week, we shall have a lecture on Tuesday (the draft is uploaded) and exercises on Wednesday

During the exercise session on Sep. 13th, we will look at the following problems:

- 2.10 and 2.18 which we didn't mange to look at this week,

- 2.19, 2.20, 2.21, 2.22, maybe 2.23, 2.25, 2.26, 2.27, 2.29, 2.30, maybe 2.34, maybe 2.35

- Moreover, if we have time, we will look at the exercises from chapter 7: 7.8, 7.9, 7.10 7.11, 7.12, 7.13

During the lectures, we will look at Chapter 3, section 3.1-3.3. If we have time, we will also look at section 6.3 from Chapter 6 (but without subsections 6.3.3 nor 6.3.5)

Next week, on September 6th, we will

1. Prove the formula for expected value, standard deviation and density of log-normal distribution

2. Do exercises 2.1, 2.2, 2.3, 2.4, 2.5, 2.6, 2.9, 2.10, 2.11, 2.12, and 2.18

3. Analyze the example 2.2.3 from the book with the figure 2.1

If we still have some time, I finish talking about the t-distribution as an example of the stochastic volatility

During the lecture on September 7th, the plan is to finish Chapter 2 (section 2.5) from the book as well as look at the estimation techniques from Chapter 7.3. We will also talk about the errors while modelling (model error, parameter error, simulation error) and if we have time, I will tell you outside the curriculum how to use bootstrapping technique to estimate the distribution of the parameter and how it can be used to quantify the parameter risk.

The code from the exercise sessions is written in R in a Jupyter Notebook. To run it, it is easiest to install Anaconda, create a new R-environment and run the Jupyter Notebook in that environment. If you have a problem, just let me know next week during the classes.

In case you would like to take contact with me directly, use the email address krzysztp@math.uio.no

In case you would like to ask or comment about something, but you would prefer to stay anonymous, one of the students was so kind to agree to act as a contact person. You can contact her at beritoo@math.uio.no and she will forward me a message.