FRE 6223 Credit Risk and Actuarial Models

3 Credits

Many problems in actuarial science involve building a mathematical model to forecast or predict future insurance losses and revenues. Historical data guide the actuary in selecting the model and in calibrating its unknown parameters. The course introduces discrete and continuous actuarial models such as loss, frequency and severity models and their specific characteristics. It then studies aggregate loss models in which individual risks are pooled into a manageable aggregate risk. Finally, financial tools are used to market price theses losses and allow a securitization of insurance firms’ portfolios.

Prerequisite(s): FRE 6051 Insurance Finance and Actuarial Science, and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department

Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0