Apr 17, 2024  
2023-2024 Graduate Catalog 
    
2023-2024 Graduate Catalog

MATH 6100 - Mathematics of Risk Analysis


3

P: MATH 3307 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.”