Poisson processes and application to insurance and reliability theory

    En bref
  • Crédits ECTS : 4
  • Nombre d'heures : 50

Présentation

The aim of these Lectures is to present the main probabilistic models at the basis of Risk analysis in several fields of application such as : insurance, reliability theory and population dynamics. Part of these Lectures will be dedicated to the statistical estimation of parameters in these models and to numerical analysis issues. The schedule of the Lectures is given as follows :

  •  Renewal and Poisson processes
  • Application to non-life insurance : risk process, ruin probabilities (Cramér-Lundberg model, asymptotic behavior).
  • Parameter estimation and numerical simulation for Poisson processes
  • Applications to reliability and population dynamics (continuous-time Markov chains, branching and  birth-death processes, queueing models)