105.638 Risk and Ruin 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.

2019W, VO, 3.0h, 4.5EC

Properties

Semester hours: 3.0
Credits: 4.5
Type: VO Lecture

Learning outcomes

After successful completion of the course, students are able to explain insurance contracts by utility theory, sketch the ruin problem in general and the Cramer-Lundberg model in particular, derive the main integral- and integro-differential equations to calculate ruin probabilities, describe coherent measures of risk, critisize Value-at-Risk and compare risks using stochastic orders.

Subject of course

Random sums, random processes, martingales in risk theory. Principles of premium calculation. Ruin theory. Coherent measures of risk.

Teaching methods

Mathematical lectures at the blackbourd, additional slides presented on the beamer, handouts.

Mode of examination

Oral

Lecturers

Hubalek, Friedrich

Institute

E105 Institute of Statistics and Mathematical Methods in Economics

Course dates

Day	Time	Date	Location	Description
Tue	10:00 - 12:00	01.10.2019 - 28.01.2020	FH Hörsaal 2	.
Mon	11:00 - 12:00	07.10.2019 - 27.01.2020	FH Hörsaal 2	.

Show single appointments

Risk and Ruin Theory - Single appointments

Day	Date	Time	Location	Description
Tue	01.10.2019	10:00 - 12:00	FH Hörsaal 2	.
Mon	07.10.2019	11:00 - 12:00	FH Hörsaal 2	.
Tue	08.10.2019	10:00 - 12:00	FH Hörsaal 2	.
Mon	14.10.2019	11:00 - 12:00	FH Hörsaal 2	.
Tue	15.10.2019	10:00 - 12:00	FH Hörsaal 2	.
Mon	21.10.2019	11:00 - 12:00	FH Hörsaal 2	.
Tue	22.10.2019	10:00 - 12:00	FH Hörsaal 2	.
Mon	28.10.2019	11:00 - 12:00	FH Hörsaal 2	.
Tue	29.10.2019	10:00 - 12:00	FH Hörsaal 2	.
Mon	04.11.2019	11:00 - 12:00	FH Hörsaal 2	.
Tue	05.11.2019	10:00 - 12:00	FH Hörsaal 2	.
Mon	11.11.2019	11:00 - 12:00	FH Hörsaal 2	.
Tue	12.11.2019	10:00 - 12:00	FH Hörsaal 2	.
Mon	18.11.2019	11:00 - 12:00	FH Hörsaal 2	.
Tue	19.11.2019	10:00 - 12:00	FH Hörsaal 2	.
Mon	25.11.2019	11:00 - 12:00	FH Hörsaal 2	.
Tue	26.11.2019	10:00 - 12:00	FH Hörsaal 2	.
Mon	02.12.2019	11:00 - 12:00	FH Hörsaal 2	.
Tue	03.12.2019	10:00 - 12:00	FH Hörsaal 2	.
Mon	09.12.2019	11:00 - 12:00	FH Hörsaal 2	.

Examination modalities

Oral exam.

Course registration

Begin	End	Deregistration end
01.08.2019 00:00	31.12.2019 23:59	31.01.2020 23:59

Curricula

Study Code	Obligation	Semester	Precon.	Info
066 405 Financial and Actuarial Mathematics	Mandatory
860 GW Optional Courses - Technical Mathematics	Not specified

Literature

No lecture notes are available.

Accompanying courses

105.041 UE Risk and Ruin Theory

Language

if required in English