Dates
Lecture
- Thursday, 10:15-11:45 in TBA
- Friday, 10:15-11:45 in TBA
Exercise session
- Wednesday, 10:15-11:45 in HH18 120
Important Information
- The lecture and exercises are in English.
- All further information on the lecture and all documents will be uploaded to moodle.
- It is strongly recommended that participants register for the course on moodle before the beginning of the semester
Type
4 hours lecture + 2 hours exercises
Prerequisites
Introductory Courses to Probability Theory and Statistics, Analysis 1-2, Linear Algebra 1-2. Risk Theory I is useful, but not necesaary.
Intended audience
Master students in Mathematics, Master students in Business Mathematics (Wirtschaftsmathematik), Master students in Mathematical Biometry and Master students in Finance.
Content
The content is guided by the standards of the DAV. This course provides an introduction to the mathematical models of (non-life) insurance with emphasis on
- Individual and collective model and their applications
- Ruin probabilities
- Stochastic ordering
- Premium calculation
- Credibility theory
- Claim reserving
- Reinsurance
- Bonus-Malus system/Markov-Chains
- Risk measures
DAV-certificate
The new DAV-certificate "Versicherungsmathematik" can be obtained by passing this course, and having passed Life-, Health and Pension-Mathematics (PVM).
Literature
- Kaas, R., Goovaerts, M., Dhaene, J., Denuit, M., Modern actuarial risk theory using R, Springer, 2008
- Klugman, S. A., Panjer, H. H., Willmot, G. E., Loss models. From data to decisions, Wiley, 1998
- Mack, T., Schadenversicherungsmathematik, Schriftenreihe Angewandte Versicherungsmathematik, Heft 28, 2. Auflage, VerlagVersicherungswirtschaft, Karlsruhe, 2002
- Rolski, T., Schmidli, H., Schmidt, V., Teugels, J.. Stochastic Processes for Insurance and Finance, J. Wiley & Sons, Chichester, 1998
- Schmidt, K., Lectures on risk theory, Teubner, Stuttgart, 1996