General information
Below you find a list of the lectures that our group offers in the winter term 2022/23.
If you would like to participate in a project seminar (see registration form) or reading course during the winter term, please inform the respective person in charge by e-mail. Dates will be agreed upon together with the participants.
If you are interested in writing a thesis in our group, just get in touch with your favored supervisor.
Probability Concepts for Financial Markets
Contents
- Modeling of discrete-time financial markets
- Review and extensions of concepts from probability: Conditional expectation, martingales, stopping times, change of measure
- Binomial model
- Pricing of financial products in discrete-time financial markets
- European options
- American options
- Basics of portfolio optimization
Frequency of occurrence
The intensive course takes place every semester in the last week before the lecture period starts.
Here you find the KIS entry: Probability Concepts for Financial Markets (compact course)
Here you find the OLAT course: TUK Probability Concepts for Financial Markets WS 22/23
Non-Life Insurance Mathematics
Contents
- Convolution and transforms
- Claim size distributions
- Individual risk model
- Collective risk models:
- Claim number process
- Poisson process
- Renewal processes
- Total claim size distribution
- Risk Process
- Ruin theory and ruin probabilities
- Premium calculation
- Experience rating:
- Bayes estimation
- Linear Bayes estimation (Bühlmann and Bühlmann-Straub model)
- Reserves
- Reinsurance and risk sharing
Frequency of occurrence
The lecture is offered every year in the winter term.
Here you find the KIS entry: Non-Life Insurance Mathematics (lecture)Non-Life Insurance Mathematics (tutorial)
Here you find the OLAT course: TUK Non-Life Insurance Mathematics WS 22/23
Interest Rate Theory
Contents
- Basics of interest modelling (Bonds and linear products, swaps, caps and floors, bond options, rate of interest options, interest rate term structure curve, interest rates (short rates and forward rates))
- Heath-Jarrow-Morton framework (simple example: Ho-Lee model, general HJM drift condition, one- and multidimensional modelling)
- Short rate models (general one factor-modelling, term structure equation, affine modelling of interest rate structure, Vasicek-, Cox-Ingersoll-Ross- and further models, option pricing model, model calibration )
- Defaultable bonds (Merton model)
Frequency of occurrence
The lecture is offered every year in the winter term.
Here you find the KIS entry: Interest Rate Theory (lecture)
Here you find the OLAT course: TUK Interest Rate Theory WS 22/23
Risk Measures with Applications to Finance and Insurance
Contents
- Preferences and expected utility
- Axiomatic introduction of risk measures
- Robust representation of convex and coherent risk measures
- Examples: Value at Risk, Average Value at Risk, Short case, worst case
- Extensions: Semi Dynamic, dynamic, distribution-free risk measures
- Estimation of risk measures
- Rating systems:
- Score-based ratings
- Utility based ratings of financial products
- Risk-classes for insurance products
- Credit risk: Structural models and reduced form models
- Applications:
- Risk-based insurance premiums
- Portfolio optimization under risk constraints
- Credit derivatives
Frequency of occurrence
The lecture takes place irregularly.
Here you find the KIS entry: Risk Measures with Applications to Finance and Insurance (lecture)
Here you find the OLAT course: TUK Risk Measures with Applications to Finance and Insurance WS 22/23
Seminars and Reading Course
Our group offers the following additional courses in the winter term 2022/23:
Project Seminar: Advanced Modelling in Actuarial and Financial Mathematics
Dates
Please contact Prof. Dr. Ralf Korn by e-mail. Dates will then be agreed upon together with the participants.
Reading Course: Advanced Topics in Actuarial and Financial Mathematics
Dates
Please contact Prof. Dr. Ralf Korn by e-mail. Dates will then be agreed upon together with the participants.
Here you find the KIS entry: Reading Course "Advanced Topics in Actuarial and Financial Mathematics"
Here you find the OLAT course: TUK Reading Course „Advanced Modelling in Financial and Actuarial Mathematics“ WS 22/23