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Course, academic year 2024/2025
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Advanced Topics on Risk Theory - NMFM612
Title: Pokročilé partie teorie rizika
Guaranteed by: Department of Probability and Mathematical Statistics (32-KPMS)
Faculty: Faculty of Mathematics and Physics
Actual: from 2023
Semester: summer
E-Credits: 3
Hours per week, examination: summer s.:2/0, Ex [HT]
Capacity: unlimited
Min. number of students: unlimited
4EU+: no
Virtual mobility / capacity: no
State of the course: not taught
Language: Czech
Teaching methods: full-time
Guarantor: prof. RNDr. Tomáš Cipra, DrSc.
Class: Pravděp. a statistika, ekonometrie a fin. mat.
Classification: Mathematics > Financial and Insurance Math.
Is interchangeable with: NFAP050
Annotation -
Investigation and discussion of methods proposed to determine the solvency capital requirement. A course for PhD students.
Last update: T_KPMS (30.04.2015)
Aim of the course -

Acquaintance with the topic of risk quantification in financial reporting.

Last update: T_KPMS (06.05.2014)
Course completion requirements -

Oral exam.

Last update: Zichová Jitka, RNDr., Dr. (17.05.2024)
Literature - Czech

T. Cipra: Riziko ve financích a pojišťovnictví: Basel III a Solvency II. Ekopress, Praha 2015.

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

P. Booth, R. Chadburn, S. Habermann et al.: Modern Actuarial Theory and Practice. 2. vydání. Chapman & Hall/CRC,

Londýn 2004.

Aktuální informace o stavu projektu Solvency II poskytované Evropskou komisí a o SST.

Last update: Cipra Tomáš, prof. RNDr., DrSc. (04.01.2016)
Teaching methods -

Lecture.

Last update: T_KPMS (06.05.2014)
Requirements to the exam -

Basic knowledge of probability, statistics and risk theory.

Last update: Zichová Jitka, RNDr., Dr. (17.05.2024)
Syllabus -

Investigation and discussion of methods proposed to determine the solvency capital requirement in the EU Solvency II Project, Swiss Solvency Test and in other insurance supervision systems.

Last update: T_KPMS (30.04.2015)
Entry requirements -

Only for doctoral study (PhD).

Last update: Cipra Tomáš, prof. RNDr., DrSc. (24.04.2018)
 
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