|
|
|
||
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)
|
|
||
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)
|
|
||
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)
|
|
||
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)
|
|
||
Lecture+exercises. Last update: Mazurová Lucie, RNDr., Ph.D. (13.10.2021)
|
|
||
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)
|
|
||
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)
|
|
||
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)
|