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
Ing Ind - Inf (Mag.)(ord. 270) - MI (487) MATHEMATICAL ENGINEERING - INGEGNERIA MATEMATICA*AZZZZ052506 - INSURANCE & ECONOMETRICS

 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-econometrics.  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.

 Prerequisiti
 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.

 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. Ruppert, S. Matheson, Statistics and Data Analysis for Financial Engineering, Editore: Springer Dickson, Hardy, Waters, Actuarial Mathematics for Lige Contingent Risks, Editore: Cambridge

 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
 schedaincarico v. 1.6.5 / 1.6.5 Area Servizi ICT 24/10/2020