Mario Valentin Wüthrich: Catalogue data in Autumn Semester 2023 |
| Name | Prof. Dr. Mario Valentin Wüthrich |
| Address | Wüthrich, Mario V. (Tit.-Prof.) ETH Zürich, HG F 42.2 Rämistrasse 101 8092 Zürich SWITZERLAND |
| Telephone | +41 44 632 33 90 |
| mario.wuethrich@math.ethz.ch | |
| URL | http://www.math.ethz.ch/~wmario |
| Department | Mathematics |
| Relationship | Adjunct Professor |
| Number | Title | ECTS | Hours | Lecturers | |||||||||||||||||||||||
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| 401-3925-00L | Non-Life Insurance: Mathematics and Statistics  | 8 credits | 4V + 1U | M. V. Wüthrich | |||||||||||||||||||||||
| Abstract | The lecture aims at providing a basis in non-life insurance mathematics which forms a core subject of actuarial science. It discusses collective risk modeling, individual claim size modeling, approximations for compound distributions, ruin theory, premium calculation principles, tariffication with generalized linear models and neural networks, credibility theory, claims reserving and solvency. | ||||||||||||||||||||||||||
| Learning objective | The student is familiar with the basics in non-life insurance mathematics and statistics. This includes the basic mathematical models for insurance liability modeling, pricing concepts, stochastic claims reserving models and ruin and solvency considerations. | ||||||||||||||||||||||||||
| Content | The following topics are treated: Collective Risk Modeling Claim Counts Models Individual Claim Size Modeling Censoring and Truncation Approximations for Compound Distributions Ruin Theory in Discrete Time Premium Calculation Principles Tariffication Generalized Linear Models and Neural Networks Bayesian Models and Credibility Theory Claims Reserving Solvency Considerations | ||||||||||||||||||||||||||
| Lecture notes | M.V. Wüthrich, Non-Life Insurance: Mathematics & Statistics http://ssrn.com/abstract=2319328 | ||||||||||||||||||||||||||
| Literature | M.V. Wüthrich, M. Merz. Statistical Foundations of Actuarial Learning and its Applications https://link.springer.com/book/10.1007/978-3-031-12409-9 | ||||||||||||||||||||||||||
| Prerequisites / Notice | The exams ONLY take place during the official ETH examination period (no semester end exams), and only in person exams (i.e. no remote exams). This course will be held in English and counts towards the diploma of "Aktuar SAV". For the latter, see details under www.actuaries.ch. Prerequisites: knowledge of probability theory, statistics and applied stochastic processes. | ||||||||||||||||||||||||||
| Competencies |
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| 401-5910-00L | Talks in Financial and Insurance Mathematics | 0 credits | 1K | B. Acciaio, P. Cheridito, D. Possamaï, M. Schweizer, J. Teichmann, M. V. Wüthrich | |||||||||||||||||||||||
| Abstract | Research colloquium | ||||||||||||||||||||||||||
| Learning objective | |||||||||||||||||||||||||||
| Content | Regular research talks on various topics in mathematical finance and actuarial mathematics | ||||||||||||||||||||||||||