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105.042
Risk theory
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.
2011W
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2009W, 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
Mon
10:30 - 12:15
05.10.2009 - 28.01.2010
FH Hörsaal 2
HUBALEK
Tue
10:00 - 12:00
06.10.2009 - 28.01.2010
FH Hörsaal 4
HUBALEK
Show single appointments
Risk theory - Single appointments
F
P
1
2
N
E
Day
Date
Time
Location
Description
Mon
05.10.2009
10:30 - 12:15
FH Hörsaal 2
HUBALEK
Tue
06.10.2009
10:00 - 12:00
FH Hörsaal 4
HUBALEK
Mon
12.10.2009
10:30 - 12:15
FH Hörsaal 2
HUBALEK
Tue
13.10.2009
10:00 - 12:00
FH Hörsaal 4
HUBALEK
Mon
19.10.2009
10:30 - 12:15
FH Hörsaal 2
HUBALEK
Tue
20.10.2009
10:00 - 12:00
FH Hörsaal 4
HUBALEK
Mon
26.10.2009
10:30 - 12:15
FH Hörsaal 2
HUBALEK
Tue
27.10.2009
10:00 - 12:00
FH Hörsaal 4
HUBALEK
Mon
02.11.2009
10:30 - 12:15
FH Hörsaal 2
HUBALEK
Tue
03.11.2009
10:00 - 12:00
FH Hörsaal 4
HUBALEK
Mon
09.11.2009
10:30 - 12:15
FH Hörsaal 2
HUBALEK
Tue
10.11.2009
10:00 - 12:00
FH Hörsaal 4
HUBALEK
Mon
16.11.2009
10:30 - 12:15
FH Hörsaal 2
HUBALEK
Tue
17.11.2009
10:00 - 12:00
FH Hörsaal 4
HUBALEK
Mon
23.11.2009
10:30 - 12:15
FH Hörsaal 2
HUBALEK
Tue
24.11.2009
10:00 - 12:00
FH Hörsaal 4
HUBALEK
Mon
30.11.2009
10:30 - 12:15
FH Hörsaal 2
HUBALEK
Tue
01.12.2009
10:00 - 12:00
FH Hörsaal 4
HUBALEK
Mon
07.12.2009
10:30 - 12:15
FH Hörsaal 2
HUBALEK
Tue
08.12.2009
10:00 - 12:00
FH Hörsaal 4
HUBALEK
F
P
1
2
N
E
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
066 400 Mathematics
Mandatory elective
066 401 Statistics
Mandatory elective
066 402 Mathematics in Science and Technology
Mandatory elective
066 403 Mathematics in Economics
Mandatory elective
066 404 Mathematics in Computer Science
Mandatory elective
066 405 Financial and Actuarial Mathematics
Mandatory
1. Semester
066 405 Financial and Actuarial Mathematics
Mandatory
1. Semester
066 415 Actuarial Mathematics
Mandatory
1. Semester
860 Technical Mathematics
Mandatory elective
864 Mathematics for Natural Sciences
Mandatory elective
866 Economic Mathematics
Mandatory elective
867 Statistics
Mandatory elective
869 Mathematics in Computer Science
Mandatory elective
873 Finance and Actuarial Mathematics
Mandatory
873 Finance and Actuarial Mathematics
Mandatory
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