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Actuarial Modelling

  • Enseignant(s): E.Hashorva
  • Titre en français: Modélisation Actuarielle
  • Cours donné en: anglais
  • Crédits ECTS: 6 crédits
  • Horaire: Semestre d'automne 2017-2018, 2.0h. de cours + 2.0h. d'exercices (moyenne hebdomadaire)
  •  séances
  • site web du cours site web du cours
  • Formation concernée: Maîtrise universitaire ès Sciences en sciences actuarielles

 

Objectifs

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

The principal goal of the course is to provide a solid background of key building blocks for actuarial modeling of dependent risks with the main emphasis on copulas, dependence measures, risk measures, risk aggregation and multivariate extremes. Various group-projects accompanying the course aim at introducing the students to challenging actuarial topics including price optimisation, customer future value, SST, portfolio cleaning, insurance risk measures, simulation of multivariate dependence structures, R-Library. The R-Project will provide an essential experimental platform for various statistical tasks and simulation exercises.

Contenus

  1. Multivarite dependent risks and copulas
  2. Risk measures, aggregation & disaggregation
  3. Multivariate extrem value theory
  4. Measures of extremal dependence

The following group-projects are also part of the course:

  • Swiss solvency test (SST)
  • IFRS
  • Portfolio cleaning
  • Price optimisation
  • Customer future value in insurance business
  • Modelling large losses of dependent portfolios
  • R-Library (copulas & dependent risks)

Références

  1. Denuit, M., Dhaene, J., Goovaerts, M., and Kass, R. (2006) Actuarial Theory for Dependent Risks: Measures, Orders and Models. Wiley
  2. Embrechts, P., Klüpelberg, C., and Mikosch, T. (1997) Modeling Extremal Events for Finance and Insurance. Springer
  3. Mikosch, T. (2006) Non-Life Insurance Mathematics: An Introduction with Stochastic Processes. 2nd Edt, Springer
  4. Reiss, R-D., and Thomas, M. (2007) Statistical Analysis of Extreme Values: From Insurance, Finance, Hydrology and Other Fields. 3rd Edt, Birkhäuser

Evaluation

1ère tentative

Examen:
Ecrit 3h00 heures
Documentation:
Non autorisée
Calculatrice:
Non autorisée
Evaluation:

final grade = 10% group-project + 90% grade final exam

Rattrapage

Examen:
Ecrit 3h00 heures
Documentation:
Non autorisée
Calculatrice:
Non autorisée
Evaluation:

final grade =100% grade retake exam



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