mat810 - Quantitative Risk Management

mat810 - Quantitative Risk Management

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Module label Quantitative Risk Management
Modulkürzel mat810
Credit points 9.0 KP
Workload 270 h
Institute directory Department of Mathematics
Verwendbarkeit des Moduls
  • Master's Programme Mathematics (Master) >
Zuständige Personen
  • Christiansen, Marcus (module responsibility)
  • May, Angelika (module responsibility)
  • Ruckdeschel, Peter (module responsibility)
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
Form of instruction Comment SWS Frequency Workload of compulsory attendance
Lecture 4 -- 56
Exercises 2 -- 28
Präsenzzeit Modul insgesamt 84 h
Examination Prüfungszeiten Type of examination
Final exam of module
in the first two weeks of the semester vacation
written or oral exam or solving of exercises

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