401-4915-00L  Risk Theory for Insurance

SemesterAutumn Semester 2012
LecturersM. V. Wüthrich
Periodicityyearly recurring course
Language of instructionEnglish



Courses

NumberTitleHoursLecturers
401-4915-00 VRisk Theory for Insurance2 hrs
Thu13:15-15:00HG D 7.1 »
M. V. Wüthrich

Catalogue data

AbstractThis 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.
ObjectiveThe 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.
ContentThe 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
LiteratureLiterature 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 / NoticeThis 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 credits4 credits
ExaminersM. V. Wüthrich
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examinationoral 20 minutes
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

Learning materials

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Only public learning materials are listed.

Groups

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Restrictions

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Offered in

ProgrammeSectionType
Mathematics BachelorSelection: Financial and Insurance MathematicsWInformation
Mathematics MasterSelection: Financial and Insurance MathematicsWInformation
Quantitative Finance MasterMathematical Methods for FinanceWInformation