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

Mode of delivery

face to face

Type

compulsory

Recommended or required reading and other learning resources/tools

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

Planned learning activities and teaching methods

integrated class

Assessment methods and criteria

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

Prerequisites and co-requisites

Courses 1 - 6

Infos

Degree programme

Quantitative Asset and Risk Management (Master)

Cycle

Master

ECTS Credits

2.00

Language of instruction

English

Curriculum

Part-Time

Academic year

2021

Semester

2 SS

Incoming

Yes

Learning outcome

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.

Course code

0613-09-01-BB-EN-11