Master in Actuarial and Financial Science (Plan: 168 - Estudio: 224)
EPE
Coordinating teacher: BALBAS DE LA CORTE, ALEJANDRO
Department assigned to the subject: Business Administration Department
Type: Compulsory
ECTS Credits: 6.0 ECTS
Course: 2º
Semester: 1º
Requirements (Subjects that are assumed to be known)
Background on Mathematical analysis, probability Theory, Visual Basic and other Languages, Life Insurance and Pension Plans, Fixed Income, and Financial Markets.
Objectives
The main objective is the study of the most important and modern non-life actuarial models.
Next we will give the topics that the student must learn so as to get the main objective above
Content
- Premium principles
- Risk measurement and management
- Reinsurance
- Credibility theory
- Generalized linear models in insurance
Habilities:
- Risk analysis for existing products/portfolios and design of new products
- Risk management.
Attitude:
- Personal job
- Collaboration with other students.
FIRST PART: RISK, PREMIUM PRINCIPLE AND REINSURANCE
Risk measures
Frequency and severity
Premium principles
Reinsurance
SECOND PART: CREDIBILITY
Classical approach
Bülhmann approach
Bayesian approach
THIRD PART: REGRESSION
Generalized linear models
Regression of quantiles
Learning activities and methodology
Theoretical lectures
Practical sesions
Programming in several languages
Applications wit real life examples
Assessment System
% end-of-term-examination 60
% of continuous assessment (assigments, laboratory, practicals...) 40
