Ing Ind - Inf (Mag.)(ord. 270) - MI (487) MATHEMATICAL ENGINEERING - INGEGNERIA MATEMATICA
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A
ZZZZ
052506 - INSURANCE & ECONOMETRICS
Obiettivi dell'insegnamento
The aim of the course is twofold. As concerns the Insurance part, the aim is to introduce students to actuarial mathematics with particular attention given to life insurance. Some statistical tools used in non life insurance are also presented. In the part of the course devoted to Econometrics, the aim is to make students able to analyze financial time series in a complete and proper way.
Risultati di apprendimento attesi
Lectures and coding sessions will allow students to acquire the following competences:
- Knowledge and understanding
basic and advanced concepts of actuarial mathematics; basic and advanced concepts of econometrics.
- Ability in applying knowledge and understanding
know how to compute the fair premium of an insurance contract; know how to analyze in a proper way a financial time series.
- Making judgements
be able to judge the main financial risks in insurance contracts; find proper modeling assumptions to analyze financial time series.
- Communication skills
to be able to express mathematical and financial concepts in a clear and rigorous way.
Argomenti trattati
The aim of this course is to cover the following main topics: -life and non-life insurance -financial econometrics .
On the insurance part, we will address some modelization issues that make this market different from standard financial markets. Particular attention will be devoted to the novelties introduced from the Solvency II regulation. We will address the issue of pricing life insurance products and the definition of reserves. We then consider the main features of non-life insurance, and highlight the difference w.r.t. life insurance.
The part on econometrics is intended to supply the students with the basic econometric tools for financial time series modeling. Stationary processes and the Wold theorem will be described to pursue ARMA models selection, estimation and forecast. We will introduce unit root processes, vector autoregressive models and concepts like Granger casuality and cointegration. We will address heteroskedastic (ARCH-GARCH) models in discrete time. We will consider factor models for large portfolios and statistical methods like the principal component and the independent component analysis.
Prerequisiti
Students are required to know the following topics:
- basic statistical tools; - coding in Matlab and in R.
Modalità di valutazione
The exam consists of: a) a project on the insurance part; b) a project on the econometrics part; c) an oral exam on both the insurance and the econometrics part. For both projects, the maximum mark is 30/30. In order to be admitted to the oral exam the average mark of the two projects must be at least 12/30. The objective of projects is to let students work in groups, applying the approaches and principles taught in class. Projects will be assigned during the semester. Project outputs are expected to be released at fixed deadlines that will be defined by the time the project will be assigned. The evaluation of projects will be based on the produced outputs (documentation, code, …).
The oral exam is mandatory, and it could result in a maximum increase of the final mark of 3/30 points.
The exam has the goal of checking whether the student has acquired the following skills: - knowledge of basic and advanced concepts of actuarial mathematics; - knowledge of the EU regulamentation for Insurance markets; - knowledge of basic and advanced concepts of econometrics; - ability to compute the fair premium of an insurance contract, as well as its profit for the insurance company; - ability to analyze in a proper way financial time series; - ability to judge the main sources of financial risk in insurance contracts; - ability to express mathematical and financial concepts in a clear and rigorous way.
Bibliografia
W. Greene, Econometric Analysis , Editore: Pearson
R. Tsay, Financial Time Series, Editore: Wiley Finance
J. Hamilton, Time Series Analysis, Editore: Princeton University Press
D. Dickson, M. Hardy and H. Waters, Actuarial Mathematics for Lige Contingent Risks, Editore: Cambridge
A. Olivieri and E. Pitacco, Introduction to Insurance Mathametics, Editore: Springer, Anno edizione: 2015
Software utilizzato
Nessun software richiesto
Forme didattiche
Tipo Forma Didattica
Ore di attività svolte in aula
(hh:mm)
Ore di studio autonome
(hh:mm)
Lezione
70:00
105:00
Esercitazione
30:00
45:00
Laboratorio Informatico
0:00
0:00
Laboratorio Sperimentale
0:00
0:00
Laboratorio Di Progetto
0:00
0:00
Totale
100:00
150:00
Informazioni in lingua inglese a supporto dell'internazionalizzazione
Insegnamento erogato in lingua
Inglese
Disponibilità di materiale didattico/slides in lingua inglese
Disponibilità di libri di testo/bibliografia in lingua inglese
Possibilità di sostenere l'esame in lingua inglese
Disponibilità di supporto didattico in lingua inglese
Inglese