Risk Theory II

Lecturer 

Prof. Dr. Mitja Stadje

Teaching Assistant

Thai Nguyen

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)

Important News

  • The lecture and exercises are in English.
  • All further information on the lecture and all documents will be uploaded to moodle.

Type

4 hours lecture + 2 hours exercises

Prerequisites

Introduction to Probability Theory, Analysis I-II, Linear Algebra I-II.
Risk Theory I is strongly recommended.

Intended audience

Master students in Mathematics, Master students in Business Mathematics and Master students in Finance

Key subjects

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
  • Reinsurance
  • Bonus-Malus system/Markov-Chains
  • Risk measures

    Further information

    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!

     

     

    Literature

      • 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