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## Actuarial Modelling

• Teacher(s): E.Hashorva
• Course given in: English
• ECTS Credits: 6 credits
• Schedule: Autumn Semester 2018-2019, 2.0h. course + 2.0h exercices (weekly average)
•  séances
•  course website
• Related programme: Master of Science (MSc) in Actuarial Science

### Objectives

Modern actuarial models with strong business relevance such as price and loss reserve optimisation, customer segmentation, dynamic monitoring, risk and customer management require deep understanding of the underlying dependence of multidimensional risks.

The principal goal of this course is to provide a solid background of key building blocks for actuarial modeling of dependent risks with the main emphasis on copulas, multivariate dependence measures, risk measures, risk aggregation, models for multivariate extremes and measures of extremal dependences. The R-Project will provide an essential experimental platform for testing various models. Additional facultative materials include past projects on IFRS, price optimisation, portfolio cleaning, medelling of large losses.

### Contents

1. Multivarite dependent risks and copulas
2. Dependence measures
3. Multivariate extrem value theory
4. Measures of extremal dependence
5. Projects on price optimisation, portfolio cleaning, customer future value, modelling of large losses (facultative reading)
6. Risk aggregation & disaggregation

### References

1. Denuit, M., Dhaene, J., Goovaerts, M., and Kass, R. (2006) Actuarial Theory for Dependent Risks: Measures, Orders and Models. Wiley
2. Mikosch, T. (2006) Non-Life Insurance Mathematics: An Introduction with Stochastic Processes. 2nd Edt, Springer
3. Reiss, R-D., and Thomas, M. (2007) Statistical Analysis of Extreme Values: From Insurance, Finance, Hydrology and Other Fields. 3rd Edt, Birkhäuser

### Evaluation

#### First attempt

Exam:
Written 3h00 hours
Documentation:
Not allowed
Calculator:
Not allowed
Evaluation:

Note: Two progress exams will take place during the lectures or the exercise sessions (in different dates). Absences in those exams can be excused under the same rules applicable to the final exam. If the absence is excused, the exam can be given in a later date. In special cases an exception can be granted, whereby the weight in the marking will be added to the final exam.

#### Retake

Exam:
Written 3h00 hours
Documentation:
Not allowed
Calculator:
Not allowed
Evaluation: