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CM2: Financial Engineering & Loss Reserving
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Module 11
Actuarial Risk Models
1
Surplus Process and Ultimate Ruin Probability
Define the surplus process in ruin theory and the probability of ultimate ruin.
2
Ruin Probability: Adjustment Coefficient and Lundberg's Inequality
Calculate the adjustment coefficient and apply Lundberg's inequality to find an upper bound for the ruin probability.
3
Ruin Probability with Exponential Claims
Calculate the exact ruin probability for exponentially distributed claims.
4
Understanding Run-Off Triangles for Claims Reserving
Describe the purpose and structure of run-off triangles for claims reserving.
5
Chain Ladder Method for Claims Reserving
Apply the basic chain ladder method to estimate outstanding claims reserves.
6
Inflation-Adjusted Chain Ladder Method
Apply the inflation-adjusted chain ladder method.
7
Bornhuetter-Ferguson Method for Claims Reserving
Calculate claims reserves using the Bornhuetter-Ferguson method.
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