105.638 Risk and Ruin Theory
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2024W, VO, 3.0h, 4.5EC
  • TUWEL course available from: 30.09.2024 00:00.

Properties

  • Semester hours: 3.0
  • Credits: 4.5
  • Type: VO Lecture
  • Format: Presence

Learning outcomes

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.

Subject of course

Random sums, random processes, martingales in risk theory. Principles of premium calculation. Ruin theory. Coherent measures of risk.

Teaching methods

Mathematical lectures at the blackbourd, additional slides presented on the beamer, handouts.

Mode of examination

Oral

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Mon11:00 - 13:0007.10.2024 - 27.01.2025FH Hörsaal 2 .
Mon11:00 - 13:0007.10.2024 - 27.01.2025HS 18 Czuber - MB Vorlesung mit LectureTube
Tue12:00 - 13:0008.10.2024 - 21.01.2025FH Hörsaal 4 .
Tue12:00 - 13:0008.10.2024 - 21.01.2025HS 17 Friedrich Hartmann - ARCH Vorlesung mit LectureTube
Risk and Ruin Theory - Single appointments
DayDateTimeLocationDescription
Mon07.10.202411:00 - 13:00FH Hörsaal 2 .
Mon07.10.202411:00 - 13:00HS 18 Czuber - MB Vorlesung mit LectureTube
Tue08.10.202412:00 - 13:00FH Hörsaal 4 .
Tue08.10.202412:00 - 13:00HS 17 Friedrich Hartmann - ARCH Vorlesung mit LectureTube
Mon14.10.202411:00 - 13:00FH Hörsaal 2 .
Mon14.10.202411:00 - 13:00HS 18 Czuber - MB Vorlesung mit LectureTube
Tue15.10.202412:00 - 13:00FH Hörsaal 4 .
Tue15.10.202412:00 - 13:00HS 17 Friedrich Hartmann - ARCH Vorlesung mit LectureTube
Mon21.10.202411:00 - 13:00FH Hörsaal 2 .
Mon21.10.202411:00 - 13:00HS 18 Czuber - MB Vorlesung mit LectureTube
Tue22.10.202412:00 - 13:00FH Hörsaal 4 .
Tue22.10.202412:00 - 13:00HS 17 Friedrich Hartmann - ARCH Vorlesung mit LectureTube
Mon28.10.202411:00 - 13:00FH Hörsaal 2 .
Mon28.10.202411:00 - 13:00HS 18 Czuber - MB Vorlesung mit LectureTube
Tue29.10.202412:00 - 13:00FH Hörsaal 4 .
Tue29.10.202412:00 - 13:00HS 17 Friedrich Hartmann - ARCH Vorlesung mit LectureTube
Mon04.11.202411:00 - 13:00FH Hörsaal 2 .
Mon04.11.202411:00 - 13:00HS 18 Czuber - MB Vorlesung mit LectureTube
Tue05.11.202412:00 - 13:00FH Hörsaal 4 .
Tue05.11.202412:00 - 13:00HS 17 Friedrich Hartmann - ARCH Vorlesung mit LectureTube

Examination modalities

Oral exam.

Course registration

Begin End Deregistration end
01.08.2024 00:00 31.12.2024 23:59 31.01.2025 23:59

Curricula

Literature

Rob Kaas, Marc Goovaerts, Jan Dhaene, Michel Denuit,
Modern Actuarial Risk Theory: Using R
Springer Berlin, 2. ed., corr. print., 2009.

Accompanying courses

Language

if required in English