COURSE UNIT TITLE

: ACTUARY AND RISK MANAGEMENT

DEGREE PROGRAMMES

Description of Individual Course Units

Course Unit Code Course Unit Title Type Of Course D U L ECTS
IST 4202 ACTUARY AND RISK MANAGEMENT ELECTIVE 3 0 0 5

Offered By

Computer Science

Level of Course Unit

First Cycle Programmes (Bachelor's Degree)

Course Coordinator

ASSISTANT PROFESSOR HANIFE TAYLAN SELAMLAR

Offered to

Computer Science

Course Objective

The objective of this course is to explain the concept of risk and insurance and to explain loss models. However the term of risk premium and reserve are calculated in loss models.

Learning Outcomes of the Course Unit

1   Learn the concept of risk and insurance.
2   Learn IRM and CRM models.
3   Calculate the expected payment per loss and variance of the payment per loss.
4   Generate frequency models
5   Generate aggregate models and estimate ground up loss.
6   Calculate and modelling modifications of loss amount.

Mode of Delivery

Face -to- Face

Prerequisites and Co-requisites

None

Recomended Optional Programme Components

None

Course Contents

Week Subject Description
1 Risk and Insurance
2 Introduction to Loss Models
3 Moments and probability generating funtions. IRM and CRM models. The Double Excpectation Theorem
4 An example with the IRM and CRM models
5 Severity Models
6 Families of Continuous models for loss amounts. Coverage modifications of the ground up loss.
7 The expected payment per loss and variance of the payment per loss
8 Midterm exam
9 Frequency Models. The types of frequency models. Compound frequency models and mixed frequency models
10 The impact of exposure on frequency and the impact of severity on frequency
11 Filtering the zero terms from a compound sum
12 Aggregate models
13 Risk Premium
14 Reserve

Recomended or Required Reading

Textbook(s): Kaas, R., Gooaverts, M., Dhaene, J., Denuit, M., Modern Actuarial Risk Theory. Kluwer Academic Publishers, 2001.
Supplementary Book(s): Daykin, C.D., Pentikainen, T., Pesonen, M., Practical Risk Theory for Actuaries. Chapman-Hall, 1994.

Planned Learning Activities and Teaching Methods

The course is taught in a lecture, class presentation and discussion format. Besides the taught lecture, group presentations are to be prepared by the groups assigned and presented in a discussion session. In some weeks of the course, results of the homework given previously are discussed.

Assessment Methods

SORTING NUMBER SHORT CODE LONG CODE FORMULA
1 MTE MIDTERM EXAM
2 QUZ QUIZ
3 FIN FINAL EXAM
4 FCG FINAL COURSE GRADE MTE * 0.30 + QUZ * 0.10 + FIN * 0.60
5 RST RESIT
6 FCGR FINAL COURSE GRADE (RESIT) MTE * 0.30 + QUZ * 0.10 + RST * 0.60


*** Resit Exam is Not Administered in Institutions Where Resit is not Applicable.

Further Notes About Assessment Methods

None

Assessment Criteria

To be announced.

Language of Instruction

Turkish

Course Policies and Rules

To be announced.

Contact Details for the Lecturer(s)

guckan.yapar@deu.edu.tr

Office Hours

To be announced.

Work Placement(s)

None

Workload Calculation

Activities Number Time (hours) Total Work Load (hours)
Lectures 13 3 39
Preparations before/after weekly lectures 12 3 36
Preparation for midterm exam 1 14 14
Preparation for final exam 1 23 23
Final 1 2 2
Midterm 1 2 2
Quiz etc. 2 1 2
TOTAL WORKLOAD (hours) 118

Contribution of Learning Outcomes to Programme Outcomes

PO/LOPO.1PO.2PO.3PO.4PO.5PO.6PO.7PO.8PO.9PO.10PO.11PO.12PO.13
LO.13445
LO.23445
LO.33445
LO.43445
LO.53445
LO.63445

CONTACT INFORMATION
Dokuz Eylül Üniversitesi Cumhuriyet Bulvarı No: 144 35210 Alsancak / İZMİR
Phone: +90(232) 412 12 12 - Fax: +90 (232) 464 81 35

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