Loss Distributions for Actuarial Models

Loss Distributions for Actuarial Models

This course aims to introduce student actuaries to the following criteria.

It also discusses how to do the below with R Studio

Loss distributions, with and without risk sharing

1.1.1 Describe the properties of the statistical distributions which are suitable for modelling individual and aggregate losses.

1.1.2 Explain the concepts of excesses (deductibles), and retention limits.

1.1.3 Describe the operation of simple forms of proportional and excess of loss reinsurance.

1.1.4 Derive the distribution and corresponding moments of the claim amounts paid by the insurer and the reinsurer in the presence of excesses (deductibles) and reinsurance.

1.1.5 Estimate the parameters of a failure time or loss distribution when the data is complete, or when it is incomplete, using maximum likelihood and the method of moments.

1.1.6 Fit a statistical distribution to a dataset and calculate appropriate goodness of fit measures.

The course also contains compound distributions and how to represent their moments with the child distributions.

By MJ the Fellow Actuary

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What you will learn

• Introduction to R, Statistical Properties of Loss Distributions, Excesses and Retention Limits, Reinsurance Treaties, Parameter Estimation, Goodness of Fit and Past Exam Practise

Rating: 4.65

Level: Intermediate Level

Duration: 4.5 hours

Instructor: Michael Jordan