After successful completion of the course, students are able to explain insurance contracts by utility theory, sketch the ruin problem in general and the Cramer-Lundberg model in particular, derive the main integral- and integro-differential equations to calculate ruin probabilities, describe coherent measures of risk, critisize Value-at-Risk and compare risks using stochastic orders.
Random sums, random processes, martingales in risk theory. Principles of premium calculation. Ruin theory. Coherent measures of risk.
Mathematical lectures at the blackbourd, additional slides presented on the beamer, handouts.
Oral exam.
