Measurement of Non-Life Risk

Lehrinhalte

Concept of risk transfer in insurance (non-life risk); Methods and models for the estimation of the damage probabilities of single or of collective claims (logistic regression, intensity models, etc.); Models for the amount of damage; VaR for single contracts or portfolios based on the damage probabilities and sizes; Introduction to Extreme Value Analysis EVA; Back testing and stress testing

Art der Vermittlung

Präsenzveranstaltung

Art der Veranstaltung

Pflichtfach

Empfohlene Fachliteratur

Heilmann, W., 1988, Fundamentals of Risk Theory, Verlag Versicherungswirtschaft; Dickson, D., 2016, Insurance Risk and Ruin, 2nd edition, Cambridge University Press; Rotar, V., 2014, Actuarial Models: The Mathematics of Insurance, 2nd edition, Chapman and Hall

Lern- und Lehrmethode

Interactive teaching (lecture and discussion)

Prüfungsmethode

This course is based on continuous assessment (30%) and a final project to be uploaded on the Moodle platform (70%). The continuous assessment consists of three home assignments to be uploaded before the respective deadlines.

Voraussetzungen laut Lehrplan

FOEC10, FUFI10, FUMS10, MUME10, PRDA10, TSAN10

Schnellinfos

Studiengang

Quantitative Asset and Risk Management (Master)

Akademischer Grad

Master

ECTS Credits

2.00

Unterrichtssprache

Englisch

Studienplan

Berufsbegleitend

Studienjahr, in dem die Lerneinheit angeboten wird

2025

Semester in dem die Lehrveranstaltung angeboten wird

2 SS

Incoming

Lernergebnisse der Lehrveranstaltung

After the successful completion of the course students are able to master the various different computational approaches to estimate risk determinants for non-life risk (damage probabilities and amount of damage). They can estimate the loss distribution for non-life risks which allows them to estimate risk measures such as the Value at Risk. They are also able to test the quality of already implemented risk measurement models (back-testing) and they can conduct stress tests that analyse the impact of scarce extreme events.

Kennzahl der Lehrveranstaltung

0613-09-01-BB-EN-11