mat810 - Quantitative Risk Management (Complete module description)
Module label | Quantitative Risk Management |
Modulkürzel | mat810 |
Credit points | 9.0 KP |
Workload | 270 h |
Institute directory | Department of Mathematics |
Verwendbarkeit des Moduls |
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Zuständige Personen |
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Prerequisites | |
Skills to be acquired in this module | Students shall learn about fundamental mathematical concepts of modern risk management in the insurance industry. |
Module contents | Fundamentals of ruin theory, risk measures, modelling of dependent risks, fundamentals of Asset-Liabilty-Management, performance measures, mathematical and legislative foundations of the Solvency II process, statistical Monte Carlo methods, stochastic internal business models, allocation principles of risk capital. |
Literaturempfehlungen | S. ASSMUSSEN (2000): Ruin Probabilities. World Scientific, Singapore R. DOFF (2007): Risk Management for Insurers. Risk Control, Economic Capital and Solvency II. RISK Books, London I. van LELYVELD (2006): Economic Capital Modelling. Concepts, Measurement and Implementation. RISK Books, London A.J. McNEIL, R. FREY, P.EMBRECHTS (2005): Quantitative Risk Management. Concepts, Techniques, Tools. Princeton Univ. Press, Princeton J. RANK (2007): Copulas. From Theory to Application in Finance. RISK Books, London R.Y. RUBINSTEIN, D.P. KROESE ( 2008): Simulaton and the Monte Carlo Method. Wiley, Hoboken, N.J. A. SANDSTROM (2006): Solvency. Models, Assessment and Regulation. Chapman & Hall / CRC, Boca Raton. |
Links | |
Languages of instruction | English , German |
Duration (semesters) | 1 Semester |
Module frequency | im 2-Jahres-Zyklus |
Module capacity | unlimited |
Reference text | Studienschwerpunkt: C |
Lehrveranstaltungsform | Comment | SWS | Frequency | Workload of compulsory attendance |
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Lecture | 4 | -- | 56 | |
Exercises | 2 | -- | 28 | |
Präsenzzeit Modul insgesamt | 84 h |
Examination | Prüfungszeiten | Type of examination |
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Final exam of module | in the first two weeks of the semester vacation |
written or oral exam or solving of exercises |