Modul

The module will be completed by an oral exam (approx. 20 min).

Students are able to

• name and discuss key concepts and results of ruin theory with applications in actuarial mathematics and can apply them to examples,
• apply specific probabilistic methods to analyse risk processes,
• master proof techniques,
• work in a self-orientated and reflective manner.

None

• renewal theory
• classical risk process of Cramér and Lundberg
• asymptotic behaviour of the probability of ruin probability if the Lundberg constant exists (losses with light tailed distributions)
• subexponential distributions
• asymptotic behaviour of the probability of ruin if the losses are subexponentially distributed (losses with heavy tailed distributions)
• approximation of the ruin probability
• integrated risk processes
• portfolio of risk processes

The content of the module "Probability Theory" is recommended.

Total workload: 120 hours

Attendance: 45 hours

• lectures and problem classes including the examination

Self studies: 75 hours

·         follow-up and deepening of the course content

·         work on problem sheets

·         literature and internet research on the course content

·         preparation for the module examination