14268 - Risk Theory Modulübersicht

Module Number: 14268
Module Title:Risk Theory
  Risikotheorie
Department: Faculty 1 - Mathematics, Computer Science, Physics, Electrical Engineering and Information Technology
Responsible Staff Member:
  • Prof. Dr. rer. nat. habil. Wunderlich, Ralf
Language of Teaching / Examination:English
Duration:1 semester
Frequency of Offer: On special announcement
Credits: 8
Learning Outcome:After successfully completing the module, students are familiar with terms and relationships of risk theory which are required for the mathematical treatment of problems in the field of property insurance. They are able to apply probabilistic methods in the assessment of risks. Using risk theory topics as examples, students will have gained experience in independent scientific work.
Contents:
  • risk process, claim number process  and total claim amount, distribution of the total claim amount
  • Panjer recursion
  • premium calculation principles
  • credibility theory
  • ruin theory in the classical model, Lundberg coefficient
Recommended Prerequisites:Knowledge of the content of the module
  • 11217 :  Wahrscheinlichkeitstheorie
Mandatory Prerequisites:None
Forms of Teaching and Proportion:
  • Lecture / 3 Hours per Week per Semester
  • Exercise / 1 Hours per Week per Semester
  • Self organised studies / 180 Hours
Teaching Materials and Literature:
  • Schmidt: Versicherungsmathematik, Springer,  2006
  • Heilmann, Schröter: Grundbegriffe der Risikotheorie, Verl. Versicherungswirtschaft, 2014
  • Gatto: Stochastische Modelle der  aktuariellen Risikotheorie, Springer, 2014
  • Bühlmann: Mathematical Methods in Risk Theory, Springer,  1970
  • Mikosch: Non-life insurance mathematics, Springer,  2006
  • Grandell: Aspects of risk theory,  1991
  • Asmussen: Ruin Probabilities, World Scientific, 2001
Module Examination:Final Module Examination (MAP)
Assessment Mode for Module Examination:
  • Written examination, 90 min. OR
  • Oral examination, 30 min.
It will be announced in the first lecture whether the examination will organized in written or oral form.
Evaluation of Module Examination:Performance Verification – graded
Limited Number of Participants:None
Part of the Study Programme:
  • no assignment
Remarks:
  • Study programme Mathematics M.Sc.: Compulsory elective module in the complex „Stochastics“
  • Study programme Mathematik B.Sc.: Compulsory elective module in complex „Vertiefung“, in limited extend
  • Study programme Wirtschaftsmathematik B.Sc.: Compulsory elective module in complex „Vertiefung“, in limited extend
Module Components:
  • Lecture: Risk Theory
  • Related examination
Components to be offered in the Current Semester:
  • no assignment