After successful completion of the course, students are able tocalculate premium bounds, estimate ruin probabilities, apply coherent measures of risks to common loss distributions, invert numerically the Laplace transform of the ruin probability, compare concrete risks according to stochastic orders.
martingale theorie, compund Poisson Process, premium calculation principles ruin theorie, koherent measures of risk, stochastic orders
Interactive discussion and spontaneous problem solving, possibly as a group, at the blackboard. Some optional computer exercises.
Frequent active participation for the problem solving sessions as described.
Use Group Registration to register.
Rob Kaas, Marc Goovaerts, Jan Dhaene, Michel Denuit, Modern Actuarial Risk Theory: Using R Springer Berlin, 2. ed., corr. print., 2009.
