University of Ulm, Faculty of Mathematics and Economics - Department of Stochastics

Risk Theory II




Summer term 2004
Lecture: Tuesdays, 8-10 am. Lecture hall: H7
Homework session: Wednesdays, 4-6 pm. Lecture hall: H9


Lecture (2 hours/week)
Homework session (2 hours/week)


Undergraduate lectures
Probability Theory
Risk Theory I

Office hours: by appointment
Teaching assistant:Hendrik Schmidt
Office hours: by appointment

General Remarks



This course provides an introduction to the mathematical models of non-life insurance with emphasis on
  1. Premium calculation
  2. Reinsurance
  3. Risk reserves
  4. Ruin probabilities
Lectures will be held in English.

Homework assignments

Electronic credit system: SLC-access for students and graders



  1. Asmussen, S.
    Ruin probabilities.
    World Scientific, Singapore, 2000

  2. Beard, R.E., Pentikäinen, T., Pesonen, E.
    Risk Theory.
    Chapman and Hall, London - New York, 1984

  3. Bowers, N.L., Gerber, H.U., Hickman, J., Jones, D., Nesbitt, C.
    Actuarial Mathematics
    Society of Actuaries, Itasca, 1997

  4. Daykin, C.D., Pentikäinen, T., Pesonen, M.
    Practical Risk Theory for Actuaries
    Chapman & Hall, London, 1994

  5. Embrechts, P., Klüppelberg, C., Mikosch, T.
    Modelling extremal events
    Appl. Math., 33, Springer, Berlin, 1997

  6. Gerber, H.U.
    An Introduction to Mathematical Risk Theory
    Richard D. Irwin, Homewood, 1979

  7. Goovaerts, M.J., de Vylder, F., Haezendonck, J.
    Insurance premiums
    Elsevier, Amsterdam, 1984

  8. Heilmann, W.
    Grundbegriffe der Risikotheorie
    Verlag Versicherungswirtschaft, Karlsruhe, 1987

  9. Hipp, C., Michel, R.
    Risikotheorie: Stochastische Modelle und Statistische Methoden
    Schriftenreihe Angewandte Versicherungsmathematik, Heft 24, Verlag Versicherungswirtschaft, Karlsruhe, 1990

  10. Kaas, R., Goovaerts, M., Dhaene, J., Denuit, M.
    Modern actuarial risk theory
    Kluwer, Boston, 2001

  11. Klugman, S. A., Panjer, H. H., Willmot, G. E.
    Loss models. From data to decisions
    Wiley, 1998

  12. Mack, T.
    Schriftenreihe Angewandte Versicherungsmathematik, Heft 28, 2.Auflage, Verlag Versicherungswirtschaft, Karlsruhe, 2002

  13. Müller, A., Stoyan, D.
    Comparison methods for stochastic models and risks
    Wiley, 2002

  14. Rolski, T., Schmidli, H., Schmidt, V., Teugels, J.
    Stochastic Processes for Insurance and Finance
    J. Wiley & Sons, Chichester, 1998

  15. Schmidt, K.
    Lectures on risk theory
    Teubner, Stuttgart, 1996

  16. Wolfsdorf, K.
    Versicherungsmathematik. Teil 2: Theoretische Grundlagen, Risikotheorie, Sachversicherung
    Teubner, Stuttgart, 1988

Any questions? Just email us! Last update: May 18, 2004