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
Quantitative Asset and Risk Management (Master)
Language of instruction
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.