Mathematical Models of Risk and Their Applications 130411-D
Wykład (WYK) Semestr zimowy 2024/25

Review of selected discrete and continuous random variables.

Light-tailed, fat-tailed and subexponential loss distributions.

Interpretation of parameters of loss distributions.

Mixtures of distributions.

Compound distributions.

Collective risk model and its simple characteristics.

Conditional expectation and conditional variance.

Premium principles.

Risk measures and their properties.

Value-at-Risk and Expected Shortfall.

Approximations to loss distributions.

Monte Carlo simulation methods.

Correlation coefficients and multivariate loss distributions.

Applications of mathematical formulas in practice and their interpretation.

Review of risk types in insurance and finance.