Risorse bibliografiche
Risorsa bibliografica obbligatoria
Risorsa bibliografica facoltativa
Scheda Riassuntiva
Anno Accademico 2018/2019
Scuola Scuola di Ingegneria Industriale e dell'Informazione
Insegnamento 052506 - INSURANCE & ECONOMETRICS
Docente Rroji Edit
Cfu 10.00 Tipo insegnamento Monodisciplinare

Corso di Studi Codice Piano di Studio preventivamente approvato Da (compreso) A (escluso) Insegnamento

Obiettivi dell'insegnamento

The aim of the course is double: with respect to the Insurance part, the aim is to make students familiar with actuarial mathematics, applied to both life insurances and damage insurances. With respect 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

know basic and advanced concepts of actuarial mathematics;
know 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 raising from creating an insurance contract;
find proper modeling assumption to analyze a 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 two main topics:
-insurance markets
On the insurance markets part, we will address some modelization issues that make the market different from the banking market and we will deal with the Solvency II regulation. We will address the issue of pricing life products and the definition of reserves. We then consider the main features of damage insurances, and the differents w.r.t. life insurances.
The econometrics part is intended to supply the students with 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 models and cointegration. We address heteroskedastic (ARCH-GARCH) models for market volatility to be applied to portfolio hedging problems. We will consider factor models for large portfolios and the principal component approach.


Students are required to know the following topics:

- basic statistical tools;
- coding in Matlab.

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 at the end of the semester. Project artifacts 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 artifacts (documentation, code, …). 

The oral exam is mandatory, and it could result in a maximum increase of the final mark of 5/30 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 a financial time series;
- ability to judge the main source of financial risks raising from creating an insurance contract;
- ability to express mathematical and financial concepts in a clear and rigorous way.


Risorsa bibliografica obbligatoriaW. Greene, Econometric Analysis , Editore: Pearson
Risorsa bibliografica facoltativaR. Tsay, Financial Time Series, Editore: Wiley Finance
Risorsa bibliografica facoltativaJ. Hamilton, Time Series Analysis, Editore: Princeton University Press
Risorsa bibliografica facoltativaD. Ruppert, S. Matheson, Statistics and Data Analysis for Financial Engineering, Editore: Springer
Risorsa bibliografica facoltativaDickson, Hardy, Waters, Actuarial Mathematics for Lige Contingent Risks, Editore: Cambridge

Forme didattiche
Tipo Forma Didattica Ore di attività svolte in aula
Ore di studio autonome
Laboratorio Informatico
Laboratorio Sperimentale
Laboratorio Di Progetto
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
schedaincarico v. 1.6.5 / 1.6.5
Area Servizi ICT