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Lecturer(s)
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Course content
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Probability models of the number and amount of claims, their basic characteristics. Distribution models of the number and amount of claims. Extreme losses modeling, Block Maximum Method and Excess Method over High Threshold. Collective risk models - definitions, basic characteristics. Basic types of compound distributions as models of collective risk. Approximation of collective risk model by normal and translated gamma distribution. Monte Carlo collective risk model simulation. Risk premium. Models of individual risk - definition, basic characteristics, approximation and determination of risk premium. Bayesian theory of credibility. Models binomial / beta, Poisson / gamma, normal / normal. Empirical Bayesian models.
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Learning activities and teaching methods
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unspecified, Monologic (reading, lecture, briefing), Methods of individual activities
- Home preparation for classes
- 86 hours per semester
- Contact teaching
- 14 hours per semester
- Preparation for an exam
- 50 hours per semester
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Learning outcomes
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The aim of the course is to apply probabilistic-statistical methods in solving fundamental problems of actuarial science and non-life insurance, such as modeling of number and amount of claims, individual and collective risk models and use of credit theory methods.
The student who has successfully completed the course is able to: correctly assess the real problem in the insurance practice and choose the right computational method for its solution, reasonably and convincingly justify and defend the choice of this method, correctly apply the method using MS Excel or appropriate statistical program package procedures and correctly interpret the results of the application, correctly use the results obtained to reduce actuarial risk.
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Prerequisites
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unspecified
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Assessment methods and criteria
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Oral examination, Written examination, Student performance assessment
In the academic year 2019/2020, the credit will be awarded extraordinarily for fulfilling the condition of continuous electronic submission of correctly solved examples in accordance with the teacher's requirements.
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Recommended literature
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BOLAND, J. P. Statistical and Probabilistic Methods in Actuarial Science. Chapman & Hall/CRC, 2007.
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HORÁKOVÁ, G., PÁLEŠ, M., SLANINKA, F. Teória rizika v poistení. Bratislava: Wolters Kluwer, 2015. ISBN 978-80-8168-273-5.
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PACÁKOVÁ, V. a kol. Aplikovaná pojistná statistika. Pardubice: Univerzita Pardubice, 2019. ISBN 978-80-7560-259-6.
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PACÁKOVÁ, V.:. Aplikovaná poistná štatistika. Bratislava: IURA EDITION, 2004.
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