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Course: 2018/2019

Research in Actuarial Science

(17184)

Study: Master in Business and Finance (69)

EPE

Coordinating teacher: BALBAS DE LA CORTE, ALEJANDRO

Department assigned to the subject: Department of Business Administration

Type: Electives

ECTS Credits: 5.0 ECTS

Course: 2º

Semester: 1º

Students are expected to have completed

Usual contents of Mathematical Analysis, Probability Theory, Financial Economics, Insurance Pricing (life and non life).

Competences and skills that will be acquired and learning results.

Research methodologies in actuarial problems involving life insurance, non-life insurance and risk management.

Description of contents: programme

- Stochastic ruin models

- Stochastic longevity models

- Actuarial and financial risk management methods

- Computing the stochastic IBNR

- Pricing with Bayesian methods.

- Public and private pension plans

Learning activities and methodology

Lectures
Exercises
Study and discussion of several research papers

Assessment System

Final exam (60%)
Exercises (20%)
Research papers (20%)

% end-of-term-examination 60
% of continuous assessment (assigments, laboratory, practicals...) 40

The course syllabus and the academic weekly planning may change due academic events or other reasons.