Risk Theory Seminar

The course examines risk theory and its applications. Importance of utility theory and ruin theory to modeling of the insurance process is investigated. Particular emphasis is placed on application of statistical techniques to the analysis of pure losses and loss distributions. Topics include the following:

• Introduction to risk and utility
• Individual risk theory and applications
• Statistical concepts and probability distributions
• Collective risk theory: Basics
• Collective risk theory: Estimating total claims distribution
• Parameter estimation and goodness-of-fit tests
• Credibility theory
• Portfolio theory and risk management
• Enterprise risk management

ADVANCED ECONOMETRICS (3 credits)
The course discusses advanced modeling methods used in econometrics. The goal is to understand the theoretical bases for using the models. Topics include:

• Maximum likelihood
• Method of moments
• Methods of Bayesian inference and statistical decision theory
• Estimation and simulation of simultaneous equation models
• Stationary stochastic processes
• Stochastic models
• Spectral analysis
• VAR models
• Modeling of non-stationary processes