Study: Master in Actuarial and Financial Sciences (224)
Coordinating teacher: BALBAS DE LA CORTE, ALEJANDRO
Department assigned to the subject: Department of Business Administration
ECTS Credits: 6.0 ECTS
Students are expected to have completed
Background on Mathematical analysis, probability Theory, Visual Basic and other Languages, Life Insurance and Pension Plans, Fixed Income, and Financial Markets.
Competences and skills that will be acquired and learning results.
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
- Premium principles
- Risk measurement and management
- Credibility theory
- Generalized linear models in insurance
- Risk analysis for existing products/portfolios and design of new products
- Risk management.
- Personal job
- Collaboration with other students.
Description of contents: programme
FIRST PART: RISK, PREMIUM PRINCIPLE AND REINSURANCE
Frequency and severity
SECOND PART: CREDIBILITY
THIRD PART: GENERALIZED LINEAR MODELS
Beyond linear regression
Applications in insurance pricing
Applications in risk management
Learning activities and methodology
Programming in several languages
Applications wit real life examples
% end-of-term-examination 60
% of continuous assessment (assigments, laboratory, practicals...) 40
Ohlsson and Johansson. Non-life insurance pricing with generalized linear models. Springer. 2010