Measurement of Non-Life Risk

Brief description

Concept of risk transfer in insurance (non-life risk); Methods and models for the estimation of the damage probabilities of single or of collective claims (logistic regression, intensity models, etc.); Models for the amount of damage; VaR for single contracts or portfolios based on the damage probabilities and sizes; Introduction to Extreme Value Analysis EVA; Back testing and stress testing

Mode of delivery

face to face

Type

compulsory

Planned learning activities and teaching methods

Interactive teaching (lecture and discussion)

Assessment methods and criteria

This course is based on continuous assessment (30%) and a final project to be uploaded on the Moodle platform (70%). The continuous assessment consists of three home assignments to be uploaded before the respective deadlines.

Prerequisites and co-requisites

FOEC10, FUFI10, FUMS10, MUME10, PRDA10, TSAN10

Infos

Degree programme

Quantitative Asset and Risk Management (Master)

Cycle

Master

ECTS Credits

2.00

Language of instruction

English

Curriculum

Part-Time

Academic year

2024

Semester

2 SS

Incoming

Yes

Learning outcome

After the successful completion of the course students are able to master the various different computational approaches to estimate risk determinants for non-life risk (damage probabilities and amount of damage). They can estimate the loss distribution for non-life risks which allows them to estimate risk measures such as the Value at Risk. They are also able to test the quality of already implemented risk measurement models (back-testing) and they can conduct stress tests that analyse the impact of scarce extreme events.

Course code

0613-09-01-BB-EN-11

Measurement of Non-Life Risk