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401-4915-00L 4 Credits BSC , MSC , NDS D-MATH
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Risk Theory

Risikotheorie

Lecturers & Examiners: Prof. Dr. Mario Valentin Wüthrich
VVZ CR n/a

Last Updated: 2026-02-05 15:14:00

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 included are 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 , MSC , NDS
Frequency
Yearly recurring

Examination

Type
session examination
Mode
oral 20 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