SubjectsSubjects(version: 964)
Course, academic year 2024/2025
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Risk Theory - NMFM503
Title: Teorie rizika
Guaranteed by: Department of Probability and Mathematical Statistics (32-KPMS)
Faculty: Faculty of Mathematics and Physics
Actual: from 2023
Semester: winter
E-Credits: 8
Hours per week, examination: winter s.:4/2, C+Ex [HT]
Capacity: unlimited
Min. number of students: unlimited
4EU+: no
Virtual mobility / capacity: no
State of the course: not taught
Language: Czech, English
Teaching methods: full-time
Additional information: https://dl1.cuni.cz/course/view.php?id=10390
Guarantor: RNDr. Lucie Mazurová, Ph.D.
Class: M Mgr. FPM
M Mgr. FPM > Povinné
Classification: Mathematics > Financial and Insurance Math., Probability and Statistics
Interchangeability : {Risk Theory 1 and 2}
Incompatibility : NMFP503, NMFP531
Is interchangeable with: NFAP034
Annotation -
Point processes. Collective risk model in continuous time. Ruin theory. Large claims modeling. Fundamentals of extreme value theory. Modeling dependencies. Copulas. Measures of tail dependence.
Last update: Zichová Jitka, RNDr., Dr. (27.04.2018)
Aim of the course -

The aim of the subject is the explanation of the collective risk model in continuous time and of selected advanced methods of actuarial mathematics and risk management.

Last update: T_KPMS (14.05.2013)
Course completion requirements -

The requirement for the exercise class credit is to pass a test at the end of the semester (at least 60% points are required).

The test can be retaken.

The exercise class credit is necessary for the participation in the exam.

Last update: Mazurová Lucie, RNDr., Ph.D. (13.10.2021)
Literature -

Goovaerts M.J., Kaas R., van Heerwaarden E.J., Bauwelinck T.: Effective Actuarial Methods. North Holland 1990

Kaas, R. et al.: Modern Actuarial Risk Theory. Kluwer, Dordrecht, 2001.

McNeil A.J., Frey, R., Embrechts, P.: Quantitative Risk Management. Concepts, Techniques and Tools. Princeton University Press, 2005.

Last update: Mazurová Lucie, RNDr., Ph.D. (29.10.2019)
Teaching methods -

Lecture+exercises.

Last update: Mazurová Lucie, RNDr., Ph.D. (13.10.2021)
Requirements to the exam -

Oral exam with written preparation. The requirements for the exam consist of the entire extent of the lectures.

Last update: Mazurová Lucie, RNDr., Ph.D. (10.10.2017)
Syllabus -

Series of events. Poisson proces. Renewal processes. Collective model of risk theory. Fundamentals of extreme value theory. Modelling dependence. Copulas.

Last update: Mazurová Lucie, RNDr., Ph.D. (26.04.2018)
Entry requirements -

Probability distributions used in modeling claim sizes and claim counts. Compound distributions. Conditioning. Markov processes with discrete states. Joint and marginal distributions.

Last update: Mazurová Lucie, RNDr., Ph.D. (30.05.2018)
 
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