Ing Ind - Inf (Mag.)(ord. 270) - MI (487) MATHEMATICAL ENGINEERING - INGEGNERIA MATEMATICA
052506 - INSURANCE & ECONOMETRICS
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.
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.
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.
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
Tipo Forma Didattica
Ore di attività svolte in aula
Ore di studio autonome
Laboratorio Di Progetto
Informazioni in lingua inglese a supporto dell'internazionalizzazione
Insegnamento erogato in lingua
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