Risk Theory
Risikotheorie
8 CPirregularlyEN
Prerequisites
Recommended, as written
Knowledge of the content of the module • 11217 : Wahrscheinlichkeitstheorie
Contents
• risk process, claim number process and total claim amount, distribution of the total claim amount • Panjer recursion • premium calculation principles • credibility theory • ruin theory in the classical model, Lundberg coefficient
Learning outcomes
After successfully completing the module, students are familiar with terms and relationships of risk theory which are required for the mathematical treatment of problems in the field of property insurance. They are able to apply probabilistic methods in the assessment of risks. Using risk theory topics as examples, students will have gained experience in independent scientific work.
Assessment
• Written examination, 90 min. OR • Oral examination, 30 min. It will be announced in the first lecture whether the examination will organized in written or oral form.
Literature (7)
- Schmidt: Versicherungsmathematik, Springer, 2006
- Heilmann, Schröter: Grundbegriffe der Risikotheorie, Verl. Versicherungswirtschaft, 2014
- Gatto: Stochastische Modelle der aktuariellen Risikotheorie, Springer, 2014
- Bühlmann: Mathematical Methods in Risk Theory, Springer, 1970
- Mikosch: Non-life insurance mathematics, Springer, 2006
- Grandell: Aspects of risk theory, 1991
- Asmussen: Ruin Probabilities, World Scientific, 2001
Remarks
• Study programme Mathematics M.Sc.: Compulsory elective module in the complex „Stochastics” • Study programme Mathematical Data Science M.Sc.: Compulsory elective module in the complex „Advanced Mathematical Methods in Data Science”
Source: BTU's module description · retrieved 20 Oct 2026Original