Risk Models

  • Hanspeter Schmidli
Part of the Springer Actuarial book series (SPACT)


We consider a risk in a single time period. The most popular collective models are reviewed. We discuss reinsurance and show how to calculate the risk characteristics under proportional as well as excess of loss reinsurance. Via Panjer’s algorithm, we learn a method to calculate the distribution in a stable way. We will see how to approximate the distribution of a compound sum, and how to calculate the premia. We introduce risk measures known from mathematical finance, and review a representation for coherent risk measures.

Copyright information

© Springer International Publishing AG, part of Springer Nature 2017

Authors and Affiliations

  1. 1.Institute of MathematicsUniversity of CologneCologneGermany

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