Measurement of Non-Life Risk

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., 1998, Fundamentals of Risk Theory, Verlag Versicherungswirtschaft; Dickson, D., 2005, Insurance Risk and Ruin, Cambridge University Press; Rotar, V., 2006, Actuarial Models: The Mathematics of Insurance, Chapman and Hall

Lern- und Lehrmethode

integrated class

Prüfungsmethode

Students are assessed on the quality of their assignments, their presentations, their participation and the results of the written quizzes.

Voraussetzungen laut Lehrplan

Courses 1 - 6

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

2023

Semester in dem die Lehrveranstaltung angeboten wird

2 SS

Incoming

Ja

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. Also, they are 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. This detailed knowledge about non-life risk measurement is essential for managing non-life risk.

Kennzahl der Lehrveranstaltung

0613-09-01-BB-EN-11