401-4915-00L Risk Theory for Insurance
Semester | Autumn Semester 2012 |
Lecturers | M. V. Wüthrich |
Periodicity | yearly recurring course |
Language of instruction | English |
Courses
Number | Title | Hours | Lecturers | ||||
---|---|---|---|---|---|---|---|
401-4915-00 V | Risk Theory for Insurance | 2 hrs |
| M. V. Wüthrich |
Catalogue data
Abstract | This course gives an introduction to insurance risk theory. It serves as a basis for later courses on non-life insurance mathematics, risk management (in finance) and re-insurance. Topics included are claims processes, models for claims frequency and severity, ruin theory, modelling of large claims. |
Objective | The student is familiar with the basics of non-life insurance premium calculation. Moreover, he knows the basic results in ruin theory and is able to distinguish short-tailed claims behaviour from heavy-tailed claims behaviour. |
Content | The following topics are treated: 1. The Basic Insurance Claims Model 2. Premium Calculation Principles 2. Models for the Claims Number Process 3. Models for Claims Severity 4. The Total Claim Amount (TCA) Modelling 5. Approximations for the TCA Distributions 6. Ruin Theory 7. The Modelling of Large Claims |
Literature | Literature for further reading: - H. Schmidli, Lecture Notes on Risk Theory (Link) - T. Mikosch (2004). Non-Life Insurance Mathematics. An Introduction with Stochastic Processes. Springer, Berlin. - S. Asmussen (2000). Ruin Probabilities. World Scientific, Singapore. - T. Rolski, H. Schmidli, V. Schmidt, J. Teugels (1999). Stochastic Processes for Insurance and Finance. Wiley, Chichester. |
Prerequisites / Notice | This course will be held in English and counts towards the diploma of "Aktuar SAV". For the latter, see details under Link. Prerequisites: knowledge of measure theory, probability theory and applied stochastic processes. |
Performance assessment
Performance assessment information (valid until the course unit is held again) | |
Performance assessment as a semester course | |
ECTS credits | 4 credits |
Examiners | M. V. Wüthrich |
Type | session examination |
Language of examination | English |
Repetition | The performance assessment is offered every session. Repetition possible without re-enrolling for the course unit. |
Mode of examination | oral 20 minutes |
This information can be updated until the beginning of the semester; information on the examination timetable is binding. |
Learning materials
No public learning materials available. | |
Only public learning materials are listed. |
Groups
No information on groups available. |
Restrictions
There are no additional restrictions for the registration. |