Academic Year 2018/2019
- 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
- The claim amount and heavy tailed distributions
- The Panjer recursion scheme
- Stima della distribuzione delle perdite cumulate
- Mortality tables
- Premia of Life insurance policies and annuities
- Notes on longevity risk models: Lee-Carter
- Ruin theory
Readings/Bibliography
- Lecture Notes provided by the teacher
For further readings:
- 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
Classes
Assessment methods
Non mandatory graded homework during the course. The mandatory exam is a written exam organized as follows: three theoretical questions (one on non-life insurance, one on life insurance and one on ruin theory) and two exercises (one on non-life insurance and one on life insurance).
For students that have done the homework, the final grade is the weighted average of the score of the homework and the score of the written exam, with weights 0.2 and 0.8, respectively. For these students the oral exam is optional.
For students that haven't done the homework, the oral exam is mandatory.
Teaching tools
None
Office hours
See the website of Sabrina Mulinacci