SubjectsSubjects(version: 920)
Course, academic year 2022/2023
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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 2022
Semester: winter
E-Credits: 8
Hours per week, examination: winter s.:4/2, C+Ex [HT]
Capacity: unlimited
Min. number of students: unlimited
Virtual mobility / capacity: no
State of the course: taught
Language: Czech, English
Teaching methods: full-time
Additional information:
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 -
Last update: RNDr. Jitka Zichová, Dr. (27.04.2018)
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.
Aim of the course -
Last update: T_KPMS (14.05.2013)

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.

Course completion requirements -
Last update: RNDr. Lucie Mazurová, Ph.D. (13.10.2021)

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.

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

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.

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


Requirements to the exam -
Last update: RNDr. Lucie Mazurová, Ph.D. (10.10.2017)

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

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

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

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

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

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