Kies de Nederlandse taal
Course module: 35V5A2-B-6
Risk Theory
Course info
Course module35V5A2-B-6
Credits (ECTS)6
CategoryBA (Bachelor)
Course typeCourse
Language of instructionEnglish
Offered byTilburg University; Tilburg School of Economics and Management; TiSEM: Econometrics and OR; Econometrics & Operations;
Is part of
B Econometrics and Operations Research
H.E.G. Ahmed
Other course modules lecturer
Lecturer G.W.P. Charlier
Other course modules lecturer
prof. dr. J.H.J. Einmahl
Other course modules lecturer
Academic year2019
Starting block
SM 1
Course mode
Registration openfrom 19/08/2019 up to and including 24/01/2020

The goal of this course is to provide concepts and techniques to model and monitor the risk associated with an insurance portfolio.

Recommended Prerequisites

Probability and Statistics
Such a portfolio typically consists of a large number of risks that are identically distributed. For the insurer, it is of utmost importance to have accurate tools to measure the aggregate risk. Valuable concepts in this context are the Surplus at Risk (SaR) and the probability of ruin. We will consider several techniques to calculate or approximate these measures. Clearly, the insurer can affect the aggregate risk through reinsurance and premium setting. We will look at several reinsurance strategies and premium principles. Particular attention will be devoted to credibility theory and IBNR techniques. Finally, we will show how insurers can deal with catastrophic risk.
Type of instructions
2 hours lecture a week; 2 hours tutorial biweekly
Type of exams
written exam (90%); assignment (10%).
there is a resit for the exam (90%); the assignment (10%) has no resit.

Compulsory Reading
  1. Kaas, Goovaerts, Dhaene en Denuit, Modern Actuarial Risk Theory, Kluwer, 2008, 2nd edition.
  2. Slides 'Analysis of Extremes'.
Course available for exchange students
Conditions of admission apply
Contact person
prof. dr. J.H.J. Einmahl
Timetable information
Risk Theory
Written test opportunities
Written test opportunities (HIST)
Schriftelijk / WrittenEXAM_01SM 1117-12-2019
Schriftelijk / WrittenEXAM_01SM 1217-06-2020
Required materials
Recommended materials


Final grade

Kies de Nederlandse taal