Week 6

Overview #

Continuing on with the Claims Modelling component of the subject, which corresponds to the Section 1 of the CS2 syllabus; In particular, we will cover Module 2–Collective Risk Modelling:

• How do you work out the distribution of the sum of claims if you can make assumptions about their frequency and severity, and what are typical assumptions for claims frequency?

We may also start Module 3–Individual Claim Size Modelling, which starts with some revisions / consolidations:

• Data analysis and descriptive statistics (Module 3): how do get a good sense of the properties of a data set, either graphically or numerically?
• Selected parametric claim size distributions (Module 3): what are good potential candidates for a describing the data likelihood profile with a parametric function?
• Fitting of distributions (Module 3): How do we then go about fitting the parameters to a given data set?

See also detailed learning outcomes 1.2.1-1.2.4 (Module 2) and 1.1.1 and 1.1.5 (Module 3) of the CS2 syllabus here.

Main references and lectures #

Module 2: Collecture Risk Modelling #

Read: Module 2: Collective Risk Modelling SLIDES

annotated slides (UG) | annotated slides (PG)

Watch: refer to your lecture recording under “Lecture Capture” ( UG/ PG). This is where annotated slides will be made available, too.

Module 3: #

Read: Module 3 SLIDES

annotated slides (UG) | annotated slides (PG)

Watch: refer to your lecture recording under “Lecture Capture” ( UG/ PG). This is where annotated slides will be made available, too.

Additional preparation and resources #

Mandatory #

1. Chapter 2.1 and 2.2 of Wuthrich (2023) (for Module 2)
2. Chapter 3.1 and 3.2 of Wuthrich (2023) (for Module 3)

Optional #

1. Chapter 12 of Bowers et al. (1997) (free download available from Readings Online)

Tutorials #

Note that a full list of exercises is available here. Please let us know of any mistake or required update on Ed.

Pre-Tutorial work #

Please study those questions before the tutorial.

Pre-Tutorial exercises are available in the Pre-Tutorial book, which already includes solutions. It is recommended to attempt the questions before looking at the solutions

Tutorial materials #

Some questions have been especially selected for the tutorials. Students should review and attempt those questions prior to their scheduled tutorial, after they complete the pre-tutorial work.

The Tutorial book includes all questions for the whole semester already, but solutions will only be added sequentially at the end of each week, as we work our way through the set.

Note that solutions will be gradually added to that same document. Hence it is not recommended to print it, as it will regularly change (typos will also dynamically be corrected).

This week #

This week, we will cover Module 2.

Next week (week 7) #

Next week, we will cover the beginning of Module 3

Additional questions #

The “additional questions” are here for reinforcement or revision, but are not the main focus of the tutorials. Solutions for those exercises are already available.

Preparation for assessment #

Mid-semester (15%) and final (60%) exams #

• Finalise your summaries of Modules 7–10

Note that all of Modules 7 to 10 are in scope for the mid-semester exam; that includes tutorials of week 5.

You should have been preparing for the mid-semester exam by consolidating your summaries over the Easter break, and looked at past CS2 exams (look for questions classified as “TS”); refer to the mappings available on the website here.

• Start your summary of Module 2

Assignment (25%) #

• By now, you should have finished your analysis of the data, and started preparing for the recording of your video. The submission box will be available later this week.

The assignment is due on 15 April 2024 at 5pm sharp!

References #