A study of the stochastic aspects of risk with emphasis on insurance applications. Topics include: an introduction to utility theory; individual and collective risk theory; compound Poisson processes; ruin theory; non-proportional reinsurance.
This course is intended mainly for those students contemplating a career in the actuarial profession. It will cover the complete course of reading for Examination 151 of the Society of Actuaries, which is Chapters 1, 2, 11, 12 and 13 of the book N. L. Bowers et al, Actuarial Mathematics (Society of Actuaries). Note that this is the same text as for MATH3280.06.
MATH3280.06 is not absolutely necessary as background but the student is advised to take it, at least concurrently. On the other hand, a reasonably advanced knowledge of probability theory is essential. Students should have MATH2030.03.
The final grade will probably be based on assignments (20\%), midterm test (30\%) and a final examination (50\%).