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401-4915-00L 5 Credits
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Risk Theory

Risikotheorie (Risk Theory)

Lecturers & Examiners: Prof. em. Dr. Paul Embrechts
VVZ CR n/a

Last Updated: 2026-02-05 14:59:47

Abstract

A basic introduction to insurance risk models, loss distributions and actuarial ruin theory.

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

- Script: Hanspeter Schmidli, Lecture Notes on Risk Theory.(http://www.math.ku/~schmidli/rt.pdf/)

Literature

Suggested reading: - T. Mikosch (2004). Non-Life Insurance Mathematics. An Introduction with Stochastic Processes. Springer, Berlin. - S. Asmussen (2000). Ruin Probabilities. World Scientific, Singapore.

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