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.

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

Institute

Course dates

DayTimeDateLocationDescription
Mon10:30 - 12:1505.10.2009 - 28.01.2010FH Hörsaal 2 HUBALEK
Tue10:00 - 12:0006.10.2009 - 28.01.2010FH Hörsaal 4 HUBALEK
Risk theory - Single appointments
DayDateTimeLocationDescription
Mon05.10.200910:30 - 12:15FH Hörsaal 2 HUBALEK
Tue06.10.200910:00 - 12:00FH Hörsaal 4 HUBALEK
Mon12.10.200910:30 - 12:15FH Hörsaal 2 HUBALEK
Tue13.10.200910:00 - 12:00FH Hörsaal 4 HUBALEK
Mon19.10.200910:30 - 12:15FH Hörsaal 2 HUBALEK
Tue20.10.200910:00 - 12:00FH Hörsaal 4 HUBALEK
Mon26.10.200910:30 - 12:15FH Hörsaal 2 HUBALEK
Tue27.10.200910:00 - 12:00FH Hörsaal 4 HUBALEK
Mon02.11.200910:30 - 12:15FH Hörsaal 2 HUBALEK
Tue03.11.200910:00 - 12:00FH Hörsaal 4 HUBALEK
Mon09.11.200910:30 - 12:15FH Hörsaal 2 HUBALEK
Tue10.11.200910:00 - 12:00FH Hörsaal 4 HUBALEK
Mon16.11.200910:30 - 12:15FH Hörsaal 2 HUBALEK
Tue17.11.200910:00 - 12:00FH Hörsaal 4 HUBALEK
Mon23.11.200910:30 - 12:15FH Hörsaal 2 HUBALEK
Tue24.11.200910:00 - 12:00FH Hörsaal 4 HUBALEK
Mon30.11.200910:30 - 12:15FH Hörsaal 2 HUBALEK
Tue01.12.200910:00 - 12:00FH Hörsaal 4 HUBALEK
Mon07.12.200910:30 - 12:15FH Hörsaal 2 HUBALEK
Tue08.12.200910:00 - 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
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 Mandatory1. Semester
066 405 Financial and Actuarial Mathematics Mandatory1. Semester
066 415 Actuarial Mathematics Mandatory1. 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

Language

German