| Decision Theory: Theory of games, decision function and risk function, Decision Criterion (nonprobabilistic
and Bayes criterion). Moments and mgfs (where applicable) of loss distributions including
gamma, exponential, Pareto, generalized Pareto, normal, lognormal, Weibull and Burr distributions.
Compound probability distributions and the derivation of the mgf of the sum of N independent random
variables; in particular when N has a binomial, Poisson, geometric or negative binomial distribution.
Application for both the insurer and the reinsurer after the operation of simple forms of proportional and
excess of loss reinsurance. Mgf and moments of aggregate claims. The concept of ruin theory and
Lundberg’s inequality. Monte Carlo simulation using a series of pseudo-random numbers. |
Administrative assistant: DILMAHOMED BOCUS Bibi Swaleha
Telephone: 4037400
Email: s.dilmahomed@uom.ac.mu |
