- Docente: Sabrina Mulinacci
- Credits: 6
- SSD: SECS-S/06
- Language: English
- Teaching Mode: Traditional lectures
- Campus: Bologna
- Corso: Second cycle degree programme (LM) in Quantitative Finance (cod. 8854)
Learning outcomes
At the end of the course the student masters the main concepts of actuarial mathematics, starting with the main measures of risk analysis. The student will be exposed to the main techniques of evaluation of portfolios of losses for the analysis of portfolios of catastrophe insurance policies.
Course contents
- Models for the Claim Number Variable: the Poisson distribution, the mixed Poisson distribution
- Probability distributions for single claims size: heavy tailed distributions and subexponential distributions
- The Panjer recursion scheme
- Approximation of the distribution of the total claim amount: central limit theorem and the case of subexponential distributions
- Mortality tables
- Expected present values of life insurance policies and annuities
- Premium calculation: the equivalence principle, classical premium calculation principles and quantiles pricing
- Ruin theory: renewal processes and Lundberg ruin theory
Readings/Bibliography
- Lecture Notes provided by the teacher
For further readings:
- M.V. Wuthrich: Non-Life Insurance: Mathematics & Statistics", https://papers.ssrn.com/sol3/papers.cfm?abstract id=2319328
- T. Mikosch (2009): "Non-life Insurance Mathematics", Springer
- D.C.M. Dickson, M.R. Hardy and H.R. Waters: "Actuarial Mathematics for Life Contingent Risks", Cambridge University Press
- A. Olivieri, E. Pitacco: "Introduction to Insurance Mathematics", Springer
Teaching methods
Traditional black-board or tablet based classes. Every week a list of exercises is assigned to students in order to apply the theory presented. Every lecture will be recorded and made available on Virtuale.
Assessment methods
The written exam consists of two exercises (one on non-life insurance and one on life insurance). During the written exam students are not allowed to use books or notes. Students with a score greater or equal to 15 out of 33 are admitted to the mandatory oral exam part that consists of three theoretical questions each on one of the topics of the course (non-life insurance, life insurance, ruin theory).
Teaching tools
Blackboard
Office hours
See the website of Sabrina Mulinacci