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CA  >  Actuarial Science  >  Currículo  >  Risk Theory

Mestrado em Actuarial Science

Plano Curricular Actuarial Science

Risk Theory (TR)

UC Competência

Risk Theory(Matemática)

UC Execução

Risk Theory (2020/2021 - Semestre 2)
Risk Theory (2019/2020 - Semestre 2)
Risk Theory (2018/2019 - Semestre 2)
Teoria do Risco (2017/2018 - Semestre 2)
Teoria do Risco (2016/2017 - Semestre 2)
Teoria do Risco (2015/2016 - Semestre 2)
Teoria do Risco (2014/2015 - Semestre 2)
Teoria do Risco (2013/2014 - Semestre 2)
Teoria do Risco (2012/2013 - Semestre 2)
Teoria do Risco (2011/2012 - Semestre 2)


Grupo: Actuarial Science > 2º Ciclo > Unidades Curriculares Obrigatórias

Período: 1 Ano, 2 Semestre


8.0 (para cálculo da média)


Students that have successfully completed this course should be able of understanding how:
- stochastic models are used in insurance, namely in general insurance
- calculating the aggregate claim distribution
- calculating the ruin probability or an approximation
- analysing the effect of reinsurance on the retained claim process.


- The number of claims: the (a,b,0) class of distributions;the homogeneous Poisson process; the class (a,b,1) of distributions - truncation and modification at zero; compound frequency models; mixed frequency models; the mixed Poisson process; effect of exposure on frequency
- Impact of coverage modifications in the frequency and severity, including deductible, inflation effects, policy limits
- Aggregate models: collective risk model versus individual risk model; the compound model; special cases; the aggregate claim distribution; the impact of individual policy modifications on the aggregate claim distribution; the individual model; approximated methods
- Premium principles; Risk Measures
- Reinsurance: Quota-share, Surplus, Excess of Loss and Stop Loss
- Ruin Theory: continuous time model; discrete time model; the impact of reinsurance on the ruin probability

Metodologia de avaliação

Sessions are of a theoretical-practical nature, based on oral presentations, accompanied by the projection of slides containing the main results, which will be derived, explained and exemplified. Students must solve the recommended exercises, as assigned homework, so that proposed solutions may be discussed in the class. The final grade, on the scale of 0 to 20, is assigned on the basis of a written exam (70%) and of a computer exam using R (30%).



Loss Models

Klugman, S., Panjer, H. and Willmot, G.


Third Edition. John Wiley & Sons.


Teoria do Risco na Actividade Seguradora

Centeno, M. L.


Celta Editora, Oeiras.

Modern Actuarial Risk Theory ? Using R.

Kaas, R., Goovaerts, M., Dhaene, J. and Denuit, M.


Kluwer Academic Publishers, Boston.