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105.042
Risk theory
2011W
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2008W, VO, 4.0h, 6.0EC
Properties
Semester hours: 4.0
Credits: 6.0
Type: VO Lecture
Aim of course
Introduction to and overview of risk theory.
Subject of course
Random sums, random processes, martingales in risk theory. Principles of premium calculation. Ruin theory. Coherent measures of risk.
Lecturers
Hubalek, Friedrich
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Thu
14:45 - 16:30
02.10.2008 - 31.01.2009
FH Hörsaal 3 - MATH
HUBALEK
Tue
10:00 - 12:00
07.10.2008 - 31.01.2009
FH Hörsaal 4
HUBALEK
Show single appointments
Risk theory - Single appointments
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1
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Day
Date
Time
Location
Description
Thu
02.10.2008
14:45 - 16:30
FH Hörsaal 3 - MATH
HUBALEK
Tue
07.10.2008
10:00 - 12:00
FH Hörsaal 4
HUBALEK
Thu
09.10.2008
14:45 - 16:30
FH Hörsaal 3 - MATH
HUBALEK
Tue
14.10.2008
10:00 - 12:00
FH Hörsaal 4
HUBALEK
Thu
16.10.2008
14:45 - 16:30
FH Hörsaal 3 - MATH
HUBALEK
Tue
21.10.2008
10:00 - 12:00
FH Hörsaal 4
HUBALEK
Thu
23.10.2008
14:45 - 16:30
FH Hörsaal 3 - MATH
HUBALEK
Tue
28.10.2008
10:00 - 12:00
FH Hörsaal 4
HUBALEK
Thu
30.10.2008
14:45 - 16:30
FH Hörsaal 3 - MATH
HUBALEK
Tue
04.11.2008
10:00 - 12:00
FH Hörsaal 4
HUBALEK
Thu
06.11.2008
14:45 - 16:30
FH Hörsaal 3 - MATH
HUBALEK
Tue
11.11.2008
10:00 - 12:00
FH Hörsaal 4
HUBALEK
Thu
13.11.2008
14:45 - 16:30
FH Hörsaal 3 - MATH
HUBALEK
Tue
18.11.2008
10:00 - 12:00
FH Hörsaal 4
HUBALEK
Thu
20.11.2008
14:45 - 16:30
FH Hörsaal 3 - MATH
HUBALEK
Tue
25.11.2008
10:00 - 12:00
FH Hörsaal 4
HUBALEK
Thu
27.11.2008
14:45 - 16:30
FH Hörsaal 3 - MATH
HUBALEK
Tue
02.12.2008
10:00 - 12:00
FH Hörsaal 4
HUBALEK
Thu
04.12.2008
14:45 - 16:30
FH Hörsaal 3 - MATH
HUBALEK
Tue
09.12.2008
10:00 - 12:00
FH Hörsaal 4
HUBALEK
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1
2
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Examination modalities
written and oral exam The written exam can be taken at one of three dates during the semester. Dates and details can be found here:
http://www.fam.tuwien.ac.at/lehre/pr/index.php
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
Info
No records found.
Literature
Tomasz Rolski, Hanspeter Schmidli, Volker Schmidt, Jozef Teugels, Stochastic Processes for Insurance and Finance, Wiley 1999. Gerber, Hans U. An introduction to mathematical risk theory. Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David Coherent measures of risk. Math. Finance 9 (1999), no. 3, 203--228.
Previous knowledge
Knowledge of probability theory
Accompanying courses
105.041 UE Risk and Ruin Theory
Language
German