| CODE | SOR5411 | ||||||||
| TITLE | Topics in Risk Theory | ||||||||
| UM LEVEL | 05 - Postgraduate Modular Diploma or Degree Course | ||||||||
| MQF LEVEL | 7 | ||||||||
| ECTS CREDITS | 10 | ||||||||
| DEPARTMENT | Statistics and Operations Research | ||||||||
| DESCRIPTION | Students taking this unit study-will be covering the topics which follow: - Loss Distributions; - Bayesian Estimation; - Collective Risk; - Stochastic processes for modelling claims; - Reinsurance; - Credibility Theory; - Ruin theory; - Risk Measures; - Credit Risk Models; - Extreme Value Theory; - Quantile Estimation; - Pricing of Financial Derivatives. Study-Unit Aims: To cover, theoretically, advanced topics in risk theory and also to illustrate these topics through some examples. Learning Outcomes: 1. Knowledge & Understanding By the end of the study-unit the student will be able to have the knowledge and understanding of the covered topics from a theoretical perspective. 2. Skills By the end of the study-unit the student will be able to implement these techniques in practice, even in more complex real life situations. The student will also be acquainted with standard software for the implementation of these applications. Main Text/s and any supplementary readings: - Asmussen, S. and Albrecher, H. (2010) Ruin Probabilities 2nd Edition, World Scientific. - Bedford, T., Cooke, R., (2001) Probabilistic Risk Analysis, Cambridge. - Buhlmann H., (1970) Mathamtical Methods in Risk Theory, Springer-Verlag. - Klugman, S.A., Panjer, H.H. and Willmott, G.E. (2012) Loss Models: From Data to Decisions, 4th Edition, Wiley. - Mikosch, T. (2009) Non-Life Insurance Mathematics, Springer. - Promislow, S.D. (2011) Fundamentals of Actuarial Mathematics, Wiley. - Rasmussen, M., (2003) Quantitative Portfolio Optimisation, Asset Allocation and Risk Management, Palgrave. - Rolski, T., Schmidli, H., Schmidt, V. and Teugels, J. (2008) Stochastic Processes for Insurance and Finance, Wiley. |
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| ADDITIONAL NOTES | Pre-requisite Study-units: SOR3110 (or equivalent) | ||||||||
| STUDY-UNIT TYPE | Independent Study | ||||||||
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The University makes every effort to ensure that the published Courses Plans, Programmes of Study and Study-Unit information are complete and up-to-date at the time of publication. The University reserves the right to make changes in case errors are detected after publication.
The availability of optional units may be subject to timetabling constraints. Units not attracting a sufficient number of registrations may be withdrawn without notice. It should be noted that all the information in the description above applies to study-units available during the academic year 2023/4. It may be subject to change in subsequent years. |
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