| 1 (Jan) |
Chap 0. |
Review of basic probability, probability measures, independence, conditional probability, expectation and variance. |
| 2 (Jan) |
Chap 0., Chap. 1 |
Theory of interest, limit theorems, Value at risk and other simple criteria, comparison of random variables. MLK Day Holiday Jan 18 |
| 3 (Jan) |
Chap. 1 |
Mean-variance criterion, limit theorems, expected utility. |
| 4 (Feb) |
Chap. 1 |
Exponential utility, risk aversion. |
| 5 (Feb) |
Chap. 1, Chap. 2 |
Midterm I. Convexity. Arrow’s theorem. |
| 6 (Feb) |
Chap. 2 |
Distribution of payments and loss, aggregate payment. Presidents Day Holiday Feb 15 |
| 7 (Feb) |
Chap. 3 (Chap. 1) |
Conditional expectations as random variables. |
| 8 (Mar) |
Chap. 3-4 |
More conditional expectations, Poisson convergence. |
| 9 (Mar) |
Chap. 3 |
Distribution of aggregate claim. |
| 10 (Mar) |
|
Spring break, no classes. |
| 11 (Mar) |
Chap. 4 |
Midterm II. Normal approximation to random sums. Into to stochastic processes. |
| 12 (Apr) |
Chap. 4 |
Poisson processes, waiting times. |
| 13 (Apr) |
Chap. 6 |
Ruin models. Adjustment coefficients. |
| 14 (Apr) |
Chap. 7 |
Survival distributions. |
| 15 (Apr) |
Chap. 7 |
Intro to life insurance models. Final |