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Risk Modeling in Insurance

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Stochastic processes: Morkov chains in discrete and continuous time, Poisson process, Brownian motion, Markov processes, martingales.

Stochastic modelling: loss distributions, aggregate loss distributions, models of risk, risk process, credibility theory, reinsurance, stochastic reserving methods.

Risk management in insurance industry. Measuring and modelling of risk: VaR, simulation. Measuring, modelling and managing credit risk.

Difference equations, univariate time series models, vector autoregression, cointegrated vector autoregression. Simultaneous equations regressions model.

Nosilci predmeta

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  • Govorilne ure
  • sreda ob 11.00 v RZ-206
 
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