Checking date: 19/04/2024

Course: 2024/2025

Statistical methods for finance and insurance
Bachelor in Statistics and Business (Plan: 400 - Estudio: 203)

Coordinating teacher: GRANE CHAVEZ, AUREA

Department assigned to the subject: Statistics Department

Type: Electives
ECTS Credits: 6.0 ECTS


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. 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. 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

Extraordinary call: regulations
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
Additional Bibliography
  • 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..
  • Peña, D.. Fundamentos de Estadística.. Alianza Universidad Textos, 2008..

The course syllabus may change due academic events or other reasons.