Risk Theory and Risk Management

  1. Introduction to Risk,Nature of Risks, Types of Risks, Management of Risk 
  2. Risk models, probability and consequences of ruin, Cramer-Lundberg model, Premium principles, Bayesian statistics, Credibility Theory. 
  3. Advanced Risk Models, including dynamic optimal reinsurance strategies. 
  4. Mean-variance portfolio theory, Utility theory; risk aversion. 
  5. Capital asset pricing model; discussion of the efficient market hypothesis. 
  6. Risk measures: Value- at- Risk, Tail Value Risk; properties of risk measures. 
  7. Multivariate models for market risk: aggregate risk, loss distributions; multivariate normal distributions, a normal variance mixture distributions. 
  8. Copulas: definition; Sklars theorem; Archimedean copulas; dependence  
  9. Credit risk management; types of model; Merton model; Markov chain model for credit ratings; exposure upon default; dependence between default events.