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B020933 - RISK THEORY AND SOLVENCY MODELS - MOD.A
Main information
Teaching Language
Course Content
Suggested readings
Learning Objectives
Prerequisites
Teaching Methods
Further information
Type of Assessment
Course program
Academic Year 2018-19
Coorte 2017 - Second Cycle Degree in FINANCE AND RISK MANAGEMENT
Course year
Second year - First Semester
Belonging Department
Economics and Management (DISEI)
Course Type
Single education field course
Scientific Area
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Credits
9
Teaching Hours
72
Teaching Term
13/09/2018 ⇒ 07/12/2018
Attendance required
No
Type of Evaluation
Final Grade
Course Content
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Course program
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Lectureship
Mutuality
Course teached as:
B028050 - INSURANCE AND RISK MODELS
Second Cycle Degree in FINANCE AND RISK MANAGEMENT
B028050 - INSURANCE AND RISK MODELS
Second Cycle Degree in FINANCE AND RISK MANAGEMENT
Teaching Language
The course will be taught in English. There may be teaching materials in other European languages.
Course Content
The course will introduce the students to the definition, the measurement and the management of insurance risk, in particular life and non-life.
Suggested readings (Search our library's catalogue)
A. Olivieri, E. Pitacco "Introduction to Insurance Mathematics" Springer Ed., 2010.
C.D. Daykin, T. Pentikainen, M. Pesonem "Practical Risk Theory for Actuaries", Chapman & Hall, 1994.
C.D. Daykin, T. Pentikainen, M. Pesonem "Practical Risk Theory for Actuaries", Chapman & Hall, 1994.
Learning Objectives
The course will introduce the students to the definition, the measurement and the management of different types of life and non-life policies and to the measurement of the reserves.
Prerequisites
Preliminary skills:
- QUANTITATIVE RISK MANAGEMENT
- COMPUTATIONAL FINANCE
- QUANTITATIVE FINANCE AND DERIVATIVES
- QUANTITATIVE RISK MANAGEMENT
- COMPUTATIONAL FINANCE
- QUANTITATIVE FINANCE AND DERIVATIVES
Teaching Methods
The course includes lecture lessons, classroom activities and laboratory activities. The students will be assigned group work. Seminars are also provided.
Lecture lessons: total 72 hours.
Laboratory activity: total 20 hours.
Seminars: Total 4 hours.
Lecture lessons: total 72 hours.
Laboratory activity: total 20 hours.
Seminars: Total 4 hours.
Further information
Students acquire specific skills on insurance risk analysis that have been particularly appreciated by key economic operators in recent years facilitating their placement after the degree.
Type of Assessment
Written and oral test.
These tests are aimed at verifying: 1) the knowledge acquired regarding the concepts, models and tools that were the subject of the course; 2) the following skills developed by the student: ability to apply the acquired knowledge, ability to draw conclusions, communication skills and use of an appropriate language, understanding and learning skills.
The written test consists of two parts on Life and Non-Life; each part with two exercises on the various subjects of the course. Duration of the test: one hour and thirty minutes for each part. Weight 50% of the vote. If the written test is sufficient, access to the oral interview on both parties. Weight 50% of the vote.
These tests are aimed at verifying: 1) the knowledge acquired regarding the concepts, models and tools that were the subject of the course; 2) the following skills developed by the student: ability to apply the acquired knowledge, ability to draw conclusions, communication skills and use of an appropriate language, understanding and learning skills.
The written test consists of two parts on Life and Non-Life; each part with two exercises on the various subjects of the course. Duration of the test: one hour and thirty minutes for each part. Weight 50% of the vote. If the written test is sufficient, access to the oral interview on both parties. Weight 50% of the vote.
Course program
Life insurance: modeling the lifetime.
Life tables.A mortality law.
Life insurance: pricing
Life insurance products. Single premium. Periodic premiums. Loading for expenses.
Life insurance: reserving.
The policy reserve. Risk and savings. Expected profits. Reserving for expenses.
Reserves and profits in a life insurance portfolio.
The portfolio reserve. The total profit. Expected annual profits for the portfolio.
Finance in life insurance.
Adjusting benefits. Participating policies.
Unit-linked policies. With-profit policies. Index-linked policies. UL policies. Variable annuities.
Non-life insurance: pricing and reserving.
Non-life products. Loss and claim amount. The equivalence premium. The net premium. The expenses-loaded premium. Statistical data for the equivalence premium. Stochastic modeling of the aggregate claim amount. Risk classification and experience-rating.
Technical reserves. Deterministic models for claim reserves. The Chain-Ladder method.
Life tables.A mortality law.
Life insurance: pricing
Life insurance products. Single premium. Periodic premiums. Loading for expenses.
Life insurance: reserving.
The policy reserve. Risk and savings. Expected profits. Reserving for expenses.
Reserves and profits in a life insurance portfolio.
The portfolio reserve. The total profit. Expected annual profits for the portfolio.
Finance in life insurance.
Adjusting benefits. Participating policies.
Unit-linked policies. With-profit policies. Index-linked policies. UL policies. Variable annuities.
Non-life insurance: pricing and reserving.
Non-life products. Loss and claim amount. The equivalence premium. The net premium. The expenses-loaded premium. Statistical data for the equivalence premium. Stochastic modeling of the aggregate claim amount. Risk classification and experience-rating.
Technical reserves. Deterministic models for claim reserves. The Chain-Ladder method.