- 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
The written exam consists of two exercises (one on non-life insurance and one on life insurance). Students with a score greater or equal to 15 out of 30 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