Non-Life Insurance Mathematics

Non-Life Insurance Mathematics

Apl. Prof. Dr. Frederik Herzberg

 

Summary

This lecture course covers the fundamental concepts and results of non-life insurance (i.e. property and casualty insurance):

• Standard models of non-life insurance
• Risk reduction by pooling risks
• Ruin theory
• Calculations of premiums I: risk measures
• Calculations of premiums II: credibility theory
• Loss reserving
• Basics of reinsurance

 

Time & Venue

Lectures

Monday, 2:15-3:45pm
Hörsaal III (building E2 5)

Starting on Monday, 30 October.

Tutorial

There will be a weekly one-hour tutorial. Time & venue to be announced in the second week of the semester.

 

Recommended Prerequisites

• Stochastics I
• Stochastics II

 

References

Principal text:

• Lecture notes by Prof. H. Zähle plus some additions
  (successively published after the lectures under → Materials)

Supplementary:

• H.-W. Goelden et al., Schadenversicherungsmathematik. Springer, 2016
• Thomas Mikosch, Non-Life Insurance Mathematics (2nd ed.). Springer, 2009
• Hanspeter Schmidli, Risk Theory. Springer 2017

Further reading:

• Klaus D. Schmidt, Versicherungsmathematik, 2. Aufl. Springer 2006
  (a basic introductory textbook in German, covering elementary life insurance as well)
• Thomas Mack: Schadenversicherungsmathematik, 2. Aufl. VVW 2002
• Hans Bühlmann, Mathematical Methods in Risk Theory. Springer 1970/2005
  (reprint of a classic text which is not only of historical interest)

    Course reference shelf, kindly provided by the Campus-Bibliothek für Informatik und Mathematik