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University of Oldenburg
21.10.2019 03:07:30
mat810 - Quantitative Risk Management
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Module label Quantitative Risk Management
Module code mat810
Credit points 9.0 KP
Workload 270 h
Faculty/Institute Department of Mathematics
Used in course of study
  • Master's Programme Mathematics (Master) >
Contact person
Module responsibility
Entry requirements
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.
Reader's advisory
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.
Languages of instruction English , German
Duration (semesters) 1 Semester
Module frequency im 2-Jahres-Zyklus
Module capacity unlimited
Modullevel MM (Mastermodul / Master module)
Modulart Wahlpflicht / Elective
Lern-/Lehrform / Type of program
Vorkenntnisse / Previous knowledge
Course type Comment SWS Frequency Workload attendance
Lecture 4.00 -- 56 h
Exercises 2.00 -- 28 h
Total time of attendance for the module 84 h
Examination Time of examination Type of examination
Final exam of module
in the first two weeks of the semester vacation
written or oral exam or solving of exercises