Магистратура 2022/2023

Актуарные расчеты

Статус: Курс по выбору (Стохастическое моделирование в экономике и финансах)

Направление: 38.04.01. Экономика

Кто читает: Департамент статистики и анализа данных

Где читается: Факультет экономических наук

Когда читается: 1-й курс, 1-3 модуль

Формат изучения: без онлайн-курса

Охват аудитории: для своего кампуса

Преподаватели: Морено Франко Гарольд Андрес

Прогр. обучения: Стохастическое моделирование в экономике и финансах

Язык: английский

Кредиты: 9

Контактные часы: 84

Course Syllabus

Abstract

Apart from the introduction into the standard actuarial theory, this course handles various methods of solving popular problems of life insurance that are relevant for actuarial practice, for instance, the Tiele equations in Markovian environment, CLT for order statistics in Demography, analysis of mortgate-link or index-linked insurance policies. In addition to basic topics which are compatible with official material of actuarial education in UK and other parts of the world, the course contains important material on topics that are relevant for recent 1 insurance and actuarial developments including the credibility theory, reserving, ranking of risks in life-insurance, modelling dependencies and the use of generalized linear models, as well as phase-type distributions with an eye on applications to the life insurance. The second part of the course concentrates on the different aspects of non-life insurance, it handles various methods of solving popular problems of non-live insurance that are relevant for actuarial practice, for instance, the rating of automobile insurance policies, premium principles and evaluation of contingencies in advanced ruin models. All methods, considered in this course, require only few assumptions about the probabilistic properties of the model, from which the data is obtained.