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, 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
Mon10:15 - 12:0003.10.2011 - 23.01.2012FH Hörsaal 2
Tue10:15 - 12:0004.10.2011 - 24.01.2012FH Hörsaal 2
Risk theory - Single appointments
DayDateTimeLocationDescription
Mon03.10.201110:15 - 12:00FH Hörsaal 2
Tue04.10.201110:15 - 12:00FH Hörsaal 2
Mon10.10.201110:15 - 12:00FH Hörsaal 2
Tue11.10.201110:15 - 12:00FH Hörsaal 2
Mon17.10.201110:15 - 12:00FH Hörsaal 2
Tue18.10.201110:15 - 12:00FH Hörsaal 2
Mon24.10.201110:15 - 12:00FH Hörsaal 2
Tue25.10.201110:15 - 12:00FH Hörsaal 2
Mon31.10.201110:15 - 12:00FH Hörsaal 2
Tue01.11.201110:15 - 12:00FH Hörsaal 2
Mon07.11.201110:15 - 12:00FH Hörsaal 2
Tue08.11.201110:15 - 12:00FH Hörsaal 2
Mon14.11.201110:15 - 12:00FH Hörsaal 2
Mon21.11.201110:15 - 12:00FH Hörsaal 2
Tue22.11.201110:15 - 12:00FH Hörsaal 2
Mon28.11.201110:15 - 12:00FH Hörsaal 2
Tue29.11.201110:15 - 12:00FH Hörsaal 2
Mon05.12.201110:15 - 12:00FH Hörsaal 2
Tue06.12.201110:15 - 12:00FH Hörsaal 2
Mon12.12.201110:15 - 12:00FH Hörsaal 2

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
066 405 Financial and Actuarial Mathematics Mandatory elective
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.
Heilmann, Wolf-Rüdiger Grundbegriffe der Risikotheorie.
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