Actuarial Risk Theory [MA3442] summer 2011
Instructor: | Prof. Dr. Silke Rolles |
Organization of the tutorials: | Michael Kochler |
Lecture: | Thursday, 8:15 - 9:45, PR 2.02.01in Garching-Hochbrück |
- First lecture: May, 5.
- On May 12, the lecture takes place in room PR 2.01.10/2.01.11 in Graching-Hochbrück.
- Prerequisites: Einführung in die Wahrscheinlichkeitstheorie (MA1401), Statistik: Grundlagen (MA2402), Probability theory (MA2408)
- Syllabus
- Literature: The books can be found in the Semesterapparat in the library.
- Asmussen, S. (2000) Ruin Probabilities. Word Scientific, Singapur.
- Bregman, Y. and Klüppelberg, C. (2005) Ruin estimation in multivariate models with Clayton dependence structure, Scan. Act. J. 6, pp. 462-480.
- Bühlmann, H. (2007) Mathematical Methods in Risk Theory. 2nd ed. Springer, Berlin.
- Embrechts, P., Klüppelberg, C. and Mikosch, T. (1997) Modelling Extremal Events for Insurance and Finance. Springer, Berlin.
- Fasen, V. and Klüppelberg, C. (2008) Large Insurance Losses Distributions. In: E. Melnick and B. Everitt (Eds.), Encyclopedia of Quantitative Risk Analysis and Assessment, Wiley, pp. 961-969.
- Föllmer, H., and Schied, A. (2011) Stochastic finance an introduction in discrete time. De Gruyter, Berlin.
- Klüppelberg, C. (2004), Vorlesungsskript.
- MCNeil, A.J., Frey, R. and Embrechts, P. (2005) Quantitative Risk Management: Concepts, Techniques, and Tools. Princeton University Press, Princeton.
- Mikosch, T. (2003) Non-Life Insurance Mathematics. Springer, Berlin.
- Resnick, S.I. (2002) Adventures in Stochastic Processes. 3rd ed. Birkhäuser, Boston.
- Homework: Homework problems will be assigned every week. It is strongly recommended that you try to solve all problems. I collect your solutions during the lecture. Your solutions can be written in German or in English. Graded homework assignments will be returned in the tutorials. The solutions for the homework problems will be discussed in the tutorials.
- Tutorials:
- Organisation: Michael Kochler
- Group A: Wednesday, 8:15 - 9:45, PR 2.01.10, Tutorraum 1, Garching-Hochbrück (Details)
- Group B: Thursday, 10:15 - 11:45, PR 2.01.10, Tutorraum 1, Garching-Hochbrück (Details)
- The tutorials take place every two weeks. Group A starts on May 11, group B starts on May 19. You have to sign up for the tutorials via TUMonline.
- Final exam: The final exam takes place on Monday, August 1, 10:00 - 11:00 in room 5503.EG.350 (MW 0350, Egbert-von-Hoyer-Hörsaal). You have to sign up for the exam via TUMonline until July 3. During the final exam you are not allowed to use calculators, books, or lecture notes.
- Final grade: The final grade will be the grade obtained in the written final exam plus a possible bonus. In case you pass the exam, and get 50% of the points of all homework assignments, then you get a bonus of one third grade on the result of the exam (exception: an exam of 1.0).
- Second exam: The second exam takes place on Thursday, October 13, 10:00 - 11:00 in room 8101.02.201 (2.02.01, Hochbrück-Hörsaal). You have to sign up for the exam via TUMonline.