SubjectsSubjects(version: 945)
Course, academic year 2023/2024
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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
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 -
Last update: T_KPMS (30.04.2015)
Investigation and discussion of methods proposed to determine the solvency capital requirement. A course for PhD students.
Aim of the course -
Last update: T_KPMS (06.05.2014)

Acquaintance with the topic of risk quantification in financial reporting.

Course completion requirements - Czech
Last update: prof. RNDr. Tomáš Cipra, DrSc. (14.06.2019)

Ústní zkouška

Literature - Czech
Last update: prof. RNDr. Tomáš Cipra, DrSc. (04.01.2016)

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.

Teaching methods -
Last update: T_KPMS (06.05.2014)

Lecture.

Requirements to the exam - Czech
Last update: RNDr. Jitka Zichová, Dr. (14.06.2019)

Základní znalosti teorie pravděpodobnosti a matematické statistiky včetně partií věnovaných základům teorie rizika.

Syllabus -
Last update: T_KPMS (30.04.2015)

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.

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

Only for doctoral study (PhD).

 
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