Search result: Catalogue data in Autumn Semester 2019

Number	Title	Type	ECTS	Hours	Lecturers
Mathematics Master
Electives For the Master's degree in Applied Mathematics the following additional condition (not manifest in myStudies) must be obeyed: At least 15 of the required 28 credits from core courses and electives must be acquired in areas of applied mathematics and further application-oriented fields.
Electives: Applied Mathematics and Further Application-Oriented Fields ¬
Selection: Financial and Insurance Mathematics In the Master's programmes in Mathematics resp. Applied Mathematics 401-3913-01L Mathematical Foundations for Finance is eligible as an elective course, but only if 401-3888-00L Introduction to Mathematical Finance isn't recognised for credits (neither in the Bachelor's nor in the Master's programme). For the category assignment take contact with the Study Administration Office (www.math.ethz.ch/studiensekretariat) after having received the credits.
401-3925-00L	Non-Life Insurance: Mathematics and Statistics	W	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 sciences. 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 Individual Claim Size Modeling 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
Prerequisites / Notice	The exams ONLY take place during the official ETH examination period. 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.
401-3922-00L	Life Insurance Mathematics	W	4 credits	2V	M. Koller
Abstract	The classical life insurance model is presented together with the important insurance types (insurance on one and two lives, term and endowment insurance and disability). Besides that the most important terms such as mathematical reserves are introduced and calculated. The profit and loss account and the balance sheet of a life insurance company is explained and illustrated.
Learning objective
401-3928-00L	Reinsurance Analytics	W	4 credits	2V	P. Antal, P. Arbenz
Abstract	This course provides an introduction to reinsurance from an actuarial perspective. The objective is to understand the fundamentals of risk transfer through reinsurance and models for extreme events such as natural or man-made catastrophes. The lecture covers reinsurance contracts, Experience and Exposure pricing, natural catastrophe modelling, solvency regulation, and insurance linked securities
Learning objective	This course provides an introduction to reinsurance from an actuarial perspective. The objective is to understand the fundamentals of risk transfer through reinsurance and the mathematical approaches associated with low frequency high severity events such as natural or man-made catastrophes. Topics covered include: - Reinsurance Contracts and Markets: Different forms of reinsurance, their mathematical representation, history of reinsurance, and lines of business. - Experience Pricing: Modelling of low frequency high severity losses based on historical data, and analytical tools to describe and understand these models - Exposure Pricing: Loss modelling based on exposure or risk profile information, for both property and casualty risks - Natural Catastrophe Modelling: History, relevance, structure, and analytical tools used to model natural catastrophes in an insurance context - Solvency Regulation: Regulatory capital requirements in relation to risks, effects of reinsurance thereon, and differences between the Swiss Solvency Test and Solvency 2 - Insurance linked securities: Alternative risk transfer techniques such as catastrophe bonds
Content	This course provides an introduction to reinsurance from an actuarial perspective. The objective is to understand the fundamentals of risk transfer through reinsurance and the mathematical approaches associated with low frequency high severity events such as natural or man-made catastrophes. Topics covered include: - Reinsurance Contracts and Markets: Different forms of reinsurance, their mathematical representation, history of reinsurance, and lines of business. - Experience Pricing: Modelling of low frequency high severity losses based on historical data, and analytical tools to describe and understand these models - Exposure Pricing: Loss modelling based on exposure or risk profile information, for both property and casualty risks - Natural Catastrophe Modelling: History, relevance, structure, and analytical tools used to model natural catastrophes in an insurance context - Solvency Regulation: Regulatory capital requirements in relation to risks, effects of reinsurance thereon, and differences between the Swiss Solvency Test and Solvency 2 - Insurance linked securities: Alternative risk transfer techniques such as catastrophe bonds
Lecture notes	Slides and lecture notes will be made available.
Prerequisites / Notice	Basic knowledge in statistics, probability theory, and actuarial techniques
401-3927-00L	Mathematical Modelling in Life Insurance	W	4 credits	2V	T. J. Peter
Abstract	In life insurance, it is essential to have adequate mortality tables, be it for reserving or pricing purposes. The course provides the tools necessary to create mortality tables from scratch. Additionally, we study various guarantees embedded in life insurance products and learn to price them with the help of stochastic models.
Learning objective	The course's objective is to provide the students with the understanding and the tools to create mortality tables on their own. Additionally, students should learn to price embedded options in life insurance. Aside of the mere application of specific models, they should develop an intuition for the various drivers of the value of these options.
Content	Following main topics are covered: 1. Guarantees and options embedded in life insurance products. - Stochastic valuation of participating contracts - Stochastic valuation of Unit Linked contracts 2. Mortality Tables: - Determining raw mortality rates - Smoothing techniques: Whittaker-Henderson, smoothing splines,... - Trends in mortality rates - Stochastic mortality model due to Lee and Carter - Neural Network extension of the Lee-Carter model - Integration of safety margins
Lecture notes	Lectures notes and slides will be provided
Prerequisites / Notice	The exams ONLY take place during the official ETH examination period. The course counts towards the diploma of "Aktuar SAV". Good knowledge in probability theory and stochastic processes is assumed. Some knowledge in financial mathematics is useful.

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