MATH 6100 - Mathematics of Risk Analysis

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P: MATH 2172, 3307, 3308; or consent of instructor. Single-period mathematical risk theory is covered, including approaches to modeling and measuring (insurance) risks. Topics include (univariate) distribution theory: exponential dispersion models, elliptical distributions, (a,b,k) class, heavy-tailness; risk measurement: value-at-risk, expected shortfall, coherency; policy modifications: deductibles, (co)insurance, limits. Students are prepared to take the Society of Actuaries Exam P “Probability” and Exam C “Construction and Evaluation of Actuarial Models.”