Time and place
Time and place:
Tuesday: 10:00-12:00, H13 ( lecture)
Wednesday : 16:00-18:00, H12 (lecture)
Friday: 14:00-16:00, H3 (excercise)
- The lecture and exercises are in English.
- All further information on the lecture and all documents will be uploaded to moodle.
4 hours lecture + 2 hours exercises
Introduction to Probability Theory, Analysis I-II, Linear Algebra I-II.
Risk Theory I is strongly recommended.
Master students in Mathematics, Master students in Business Mathematics and Master students in Finance
This course provides an introduction to the mathematical models of (non-life) insurance with emphasis on
- Individual and collective model and their applications
- Ruin probabilities
- Stochastic ordering
- Premium calculation
- Credibility theory
- Claim reserving
- Bonus-Malus system/Markov-Chains
- Risk measures
The DAV-certificate can be obtained in the first final exam at the end of the semester only. DAV-certificates will not be awarded for passing the second exam!
- Kaas, R., Goovaerts, M., Dhaene, J., Denuit, M., Modern actuarial risk theory using R, Springer, 2008
- Klugman, S. A., Panjer, H. H., Willmot, G. E., Loss models. From data to decisions, Wiley, 1998
- Mack, T., Schadenversicherungsmathematik, Schriftenreihe Angewandte Versicherungsmathematik, Heft 28, 2. Auflage, VerlagVersicherungswirtschaft, Karlsruhe, 2002
- Rolski, T., Schmidli, H., Schmidt, V., Teugels, J.. Stochastic Processes for Insurance and Finance, J. Wiley & Sons, Chichester, 1998
- Schmidt, K., Lectures on risk theory, Teubner, Stuttgart, 1996