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

The lecture will be held in German or English (as needed). So it is also suited for Master of Finance students.

Lecturer

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

Assistant

Nils Sørensen

Type

2/0

Dates

This lecture takes place as a block lecture at the following dates:

  • Mittwoch, 30.10.
  • Donnerstag, 31.10.
  • Samstag, 02.11.

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

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