Topics in Insurance and Finance

Lecturer 

Prof. Dr. Mitja Stadje

Teaching Assistant

Christian Dehm

Time and place

Lecture

Wednesday, 10 a.m. to 12 a.m., Helmholtzstraße 22, E.04

Exercise session

Friday, 10 a.m. to 12 a.m., Helmholtzstraße 18, E60

Important News

  • The lecture and exercises are in English.
  • Homework can not be handed in.
  • All further information on the lecture and all documents can be found in moodle.

Type

2 hours lecture + 2 hours exercises

Prerequisites

Participants should be familiar with the principles of financial economics and with financial models. Familiarity with Risk Theory is an advantage but not a prerequisite.

Key subjects

The aim of the course is to discuss topics from the recent journal literature in the area of insurance and quantitative finance. The general focus of the course is on the differences and relations between finance and insurance. The lecture will in most parts be based on recent journal papers of which a list will be provided.

The contents of this course may change from year to year, depending on recent developments. Some examples of subjects are the following:

  • Optimal Control Theory 
  • Allocation of risk capital
  • Decision under uncertainty
  • Risk measures
  • Pricing in incomplete markets 
  • Pricing of insurance products

 Students are expected to participate actively in lectures and tutorials.

Compulsory Reading

selected journal papers