Checking date: 20/04/2023

Course: 2023/2024

Stochastic models in finance and insurance
(13774)
Bachelor in Finance and Accounting (2008 Study Plan) (Plan: 144 - Estudio: 201)

Coordinating teacher: GRANE CHAVEZ, AUREA

Department assigned to the subject: Statistics Department

Type: Electives
ECTS Credits: 6.0 ECTS

Course:
Semester:

Objectives
The central aim of this subject is to understand the basic principles, tools and applications of Statistics needed for risk analysis in Finances and Actuarial Sciences. SPECIFIC KNOWLEDGE COMPETENCES: After successfully finishing the course, the student will be able: -To understand and to apply Terchnical Statistical Analysis to study the stock market -To understand Warrant's chacarcteristics and behavior. -To learn the basic actuarial notions -To run the calculus of a car insurance rate and the value of technical provisions. ADDITIONAL COMPETENCES: Skills: -Capacity to analyze and syntesize real situations by means of quantitative models -Logical and relational abilities Attitudes: -To offer quantitative solutions to complex problems -The use of mathematical language and techniques to give a formal description of problems.
Description of contents: programme
PART I: STATISTICAL METHODS FOR FINANCE 1. Technical and graphical stock-market analysis 1.1 Introduction 1.2 Dow Theory 1.3 Graphics 1.4 Trends 1.5 Stock-market chart formations 2. Statistical tools for the technical analysis 2.1 Moving averages 2.2 Technical indicators and oscillators 3. Warrants 3.1 Derivatives 3.2 Warrants: definition 3.3 Warrants: characteristics 3.4 Warrants: the price 3.5 Variables affecting the time value 3.6 Greeks 3.7 Tools for warrant analysis 3.8 Selection of a warrant: the underlying asset 3.9 Selection of a warrant: the expiration date 3.10 Selection of a warrant: the strike 3.11 Delta sensitivity relation PART II: STATISTICAL METHODS FOR INSURANCE 4. Insurance preliminary definitions 4.1 Management basics 4.2 Elements of an Insurance contract 4.3 Insurance types 5. Non-life insurance 5.1 Frequency distribution and average cost 5.2 Risk factors 5.3 Parameters and methodology 6. Life Insurance 6.1 Types 6.2 Mortality tables 6.3 Generational mortality tables: projection methods 7. Provisions 7.1 Classification 7.2 Statistical methods for provisions calculation 7.3 Determining technical provisions: Grossing up, Link Ratio and Chain-Ladder
Learning activities and methodology
Tutorial classes are scheduled for 15th week.
Assessment System
• % end-of-term-examination 60
• % of continuous assessment (assigments, laboratory, practicals...) 40
Calendar of Continuous assessment
Basic Bibliography
• Andrew M. Chisholm. Derivatives Demystified. John Wiley & Sons. 2011
• Barry C. Arnold, N. Balakrishnan, Jose-Maria Sarabia Alegria. Advances in Mathematical and Statistical Modeling. Biometrics. 2009
• Dale S. Borowiak, ¿Arnold F. Shapiro. Financial and Actuarial Statistics: An Introduction. CRC Press. 2013
• Erik Barker. Indicators and Oscillators in Excel. Borsa e Mercati. 2013
• Pavel Cizek, Wolfgang Karl Härdle, Weron. Statistical Tools for Finance and Insurance. Springer Science & Business Media B.V. / Books. 2011