Robust and Subjective Approaches in Risk Management
(Special Topics in Actuarial Mathematics)

Lecturer

Prof. Dr. h. c. Gerhard Stahl
(Chief Risk Officer of Talanx Group) 

Assistant

Stefan Schelling

Type

2/0

Dates

This lecture takes place as a block lecture (HeHo 22, Raum 2.22):

 

·      29.05, 10:00-18:00 Uhr

·      07.06, 10:00-18:00 Uhr

·      08.06, 10:00-15:00 Uhr

Contents

  1. Robustness aspects of Monte-Carlo-Simulation regarding internal models
  2. Comparison of standard formula and internal models
  3. Bayesian approaches for internal modeling of operational risks

Exam

The date and form of the exam will be coordinated with the students.

General information

The lecture will be held in German or English (as needed).

Please sign up for the course in Moodle. Course material will be provided there.