Checking date: 04/06/2021

Course: 2021/2022

Statistical methods for finance and insurance
(13719)
Study: Bachelor in Statistics and Business (203)

Coordinating teacher: D AURIA , BERNARDO

Department assigned to the subject: Department of Statistics

Type: Compulsory
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.
Skills and learning outcomes
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
• Gil Fana, J.A., Heras Martínez, A. y Vilar Zanón.. Matemática de los seguros de vida.. Mapfre, 1999..
• Latorre Llorens, L.. Teoría del Riesgo y sus Aplicaciones a la Empresa Aseguradora.. Mapfre, 1992..
• Lozano Aragües, R.. Análisis práctico de la normativa patrimonial de las entidades aseguradoras.. CES (Centro de Estudios del Seguro), 1999..
• Marín, J.M. y Rubio, G.. Economía Financiera.. Antoni Bosch, 2001..
• Meneu, V., Jorda, M.P. y Barreira, T.. Operaciones financieras en el mercado español.. Ariel, 1994..
• Nieto de Alba, U. y Vegas Asensio, J.. Matemática Actuarial.. Mapfre, 1993..