4 hours lecture + 2 hours exercises
Master students in Mathematics, Master students in Business Mathematics and Master students in Finance
The content is guided by the standards of the DAV. This course provides an introduction to several stochastical and statistical methods of risk modeling and their applications.
Some of the subjects discussed in the lecture are:
- Stochastic processes in risk theory with focus on (compound)
- Poisson processes
- Markov chains and Markov processes
- Introduction to the collective model
- Relevant distribution families in risk theory
- Time Series Analysis
- Life-time models and mortality modeling
- Generalized linear models and their applications in risk theory
- Credibility theory
- Dependencies and Copulas
- Monte Carlo simulations
- Risk measurement using VaR and TVaR
The exam is open.
The date of the exam will be announced later.
Handing in homework is mandatory. The prerequisite to register for an exam will be announced in the lecture. To get points in the homework, it is necessary to be registered in moodle.