105.042 Risk theory

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

Institute

Course dates

DayTimeDateLocationDescription
Thu14:45 - 16:3002.10.2008 - 31.01.2009FH Hörsaal 3 - MATH HUBALEK
Tue10:00 - 12:0007.10.2008 - 31.01.2009FH Hörsaal 4 HUBALEK
Risk theory - Single appointments
DayDateTimeLocationDescription
Thu02.10.200814:45 - 16:30FH Hörsaal 3 - MATH HUBALEK
Tue07.10.200810:00 - 12:00FH Hörsaal 4 HUBALEK
Thu09.10.200814:45 - 16:30FH Hörsaal 3 - MATH HUBALEK
Tue14.10.200810:00 - 12:00FH Hörsaal 4 HUBALEK
Thu16.10.200814:45 - 16:30FH Hörsaal 3 - MATH HUBALEK
Tue21.10.200810:00 - 12:00FH Hörsaal 4 HUBALEK
Thu23.10.200814:45 - 16:30FH Hörsaal 3 - MATH HUBALEK
Tue28.10.200810:00 - 12:00FH Hörsaal 4 HUBALEK
Thu30.10.200814:45 - 16:30FH Hörsaal 3 - MATH HUBALEK
Tue04.11.200810:00 - 12:00FH Hörsaal 4 HUBALEK
Thu06.11.200814:45 - 16:30FH Hörsaal 3 - MATH HUBALEK
Tue11.11.200810:00 - 12:00FH Hörsaal 4 HUBALEK
Thu13.11.200814:45 - 16:30FH Hörsaal 3 - MATH HUBALEK
Tue18.11.200810:00 - 12:00FH Hörsaal 4 HUBALEK
Thu20.11.200814:45 - 16:30FH Hörsaal 3 - MATH HUBALEK
Tue25.11.200810:00 - 12:00FH Hörsaal 4 HUBALEK
Thu27.11.200814:45 - 16:30FH Hörsaal 3 - MATH HUBALEK
Tue02.12.200810:00 - 12:00FH Hörsaal 4 HUBALEK
Thu04.12.200814:45 - 16:30FH Hörsaal 3 - MATH HUBALEK
Tue09.12.200810:00 - 12:00FH Hörsaal 4 HUBALEK

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 CodeObligationSemesterPrecon.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

Language

German