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401-4915-00L 5 Credits

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Risikotheorie (Risk Theory)

Lecturers & Examiners: Prof. em. Dr. Paul Embrechts

VVZ CR n/a

Last Updated: 2026-02-05 14:55:06

Objective

This course gives a first introduction to insurance risk theory. It serves as a basis for later courses on non-life insurance mathematics, risk management (in finance) and reinsurance.

Content

Based on the the textbook of Thomas Mikosch (Non-Life Insurance Mathematics, see Skript below) this course deals with the following topics: 1. The Basic Model 2. Models for the Claim Number Process 3. The Total Claim Amount 4. Ruin Theory. (A very brief introduction to Experience Rating may be given)

Resources

Lecture Notes

Thomas Mikosch (2004) Non-Life Insurance Mathematics. An Introduction with Stochastic Processes.Spinger, Berlin.

General Information

Language: English
Frequency: Yearly recurring

Examination

Type: session examination
Mode: oral 30 minutes

Course Components

Type	Title	Time & Place	Hours
lecture	Risikotheorie (Risk Theory)	Thu 13:15-15:00 (HG E 1.1)	2 h weekly

Offered In

Mathematik, Physik, Rechnergestützte Wissenschaften
- Fachstudium Mathematik: Wahlfächer
  - Wahrscheinlichkeitstheorie
  - Versicherungs- und Finanzmathematik
Nachdiplomstudien
- D-MATH
  - Nachdiplomstudium "Master of Advanced Studies in Finance" (For information and admission see . Abkürzungen / Abbreviations: O obligatorisches Fach / obligatory course; W Wahlpflichtfach / elective course; E empfohlenes Fach / recommended or optional course)