ECTS - University of Pisa
Scheda programma d'esame
QUANTITATIVE METHODS FOR INSURANCE
EMANUELE VANNUCCI
Academic year2016/17
CourseBANKING FINANCE FINANCIAL MARKETS
Code352PP
Credits6
PeriodSemester 1
LanguageItalian

ModulesAreaTypeHoursTeacher(s)
METODI QUANTITATIVI PER LE ASSICURAZIONISECS-S/06LEZIONI42
EMANUELE VANNUCCI unimap
Programma non disponibile nella lingua selezionata
Learning outcomes
Knowledge
The student who successfully completes the course will have the ability to match the main issues about actuarial topics both in life and in non life insurance. The student will be introduced to the evaluation in stochastic scenarios both for pricing and for managing insurance products. Many mathematical tools will be applied in the course; the main are: distribution functions, numeric integration, utility funcions, Markov chains, numericale simulation.
Assessment criteria of knowledge
In the written exam (2 hours), the student must demonstrate his/her ability in solving numerical exercises related to the main topics of the course. In the oral exam the student must be able to explain some teorethical details of the issues analysed in the course.

Methods:

  • Final oral exam
  • Final written exam
Teaching methods

Delivery: face to face

Learning activities:

  • attending lectures
  • individual study

Attendance: Advised

Teaching methods:

  • Lectures
  • laboratory
Syllabus
Pricing and reserving of life insurance products. Utility function and insurance. The model of the aggregate claim: the sum of a random number of random variables. Claims reserving. Risk management with reinsurance treaties. Ex ante and ex post pricing: the case of RCA.
Bibliography
Recommended reading includes the following works: Pitacco E. (1992), Lezioni di Tecnica Attuariale delle assicurazioni libere sulla vita. Lint, Trieste. Daboni L. (1993), Lezioni di Tecnica Attuariale delle assicurazioni contro i danni. Lint, Trieste.
Updated: 14/11/2016 17:27