Master 2022/2023

Actuarial Сalculus

Type: Elective course (Stochastic Modeling in Economics and Finance)

Area of studies: Economics

Delivered by: Department of Statistics and Data Analysis

Where: Faculty of Economic Sciences

When: 1 year, 1-3 module

Mode of studies: offline

Open to: students of one campus

Instructors: Harold A. Moreno-Franco

Master’s programme: Stochastic Modelling in Economics and Finance

Language: English

ECTS credits: 9

Contact hours: 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.