Introduction to the stochastics of risk management (Ausgewählte Fragen der Versicherungsmathematik)

Contact

Lecturer: Prof. Dr. h.c. Gerhard Stahl

Supervising: Maria Hinken

 

Format

The lecture will be held in English. 

Dates and Room

28th, 29th and 31st October 2022 in room 2.22 in Helmholtzstraße 22

Exam

The exam date will be coordinated with the participating students at the beginning of the course.

Announcements

More information on Moodle.

 

Material

All documents for the lecture can be found in Moodle.

Course Content

Introduction to the stochastics of risk management

  1. Basic structure of internal models
  2. Approximation for internal models
  3. Application of these approximations in the context of Corona
  4. Model risk
  5. Aggregation of model risk to solvency capital

Requirements

The lecture is oriented at master students who want to specialize in actuarial science, insurance economics or risk management.

Literature

See Moodle.