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Risk Theory
Risikotheorie (Risk Theory)
Last Updated: 2026-02-05 15:06:39
Abstract
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. Topics includedare claim processes, models for claim frequency and severity, ruin theory, modelling of large claims.
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
The following topics are treated: 1. The Basic Model 2. Premium Principles 2. Models for the Claim Number Process 3. Models for Claim Severity 4. The Total Claim Amount (TCA) 5. Approximations for the TCA 6. Ruin Theory 7. The Modelling of Large Claims
Resources
Lecture Notes
- Script: Hanspeter Schmidli, Lecture Notes on Risk Theory.(http://www.math.ku.dk/~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
- Levels
- BSC , NDS , MSC
- Frequency
- Yearly recurring
Examination
- Type
- session examination
- Mode
- oral 20 minutes
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| lecture | Risikotheorie (Risk Theory) |
|
2 h weekly |
Offered In
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Master of Advanced Studies in Finance (For information and admission see . Abbreviations: O obligatory course; W elective course; E recommended or optional course)
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