ECONOMICS | MODELLI ATTUARIALI PER LA GESTIONE DEI RISCHI ASSICURATIVI E ASSICURAZIONE DANNI
ECONOMICS MODELLI ATTUARIALI PER LA GESTIONE DEI RISCHI ASSICURATIVI E ASSICURAZIONE DANNI
| 0222210016 | |
| DIPARTIMENTO DI SCIENZE ECONOMICHE E STATISTICHE | |
| EQF7 | |
| ECONOMICS | |
| 2019/2020 |
| YEAR OF DIDACTIC SYSTEM 2018 | |
| PRIMO SEMESTRE |
| SSD | CFU | HOURS | ACTIVITY | |
|---|---|---|---|---|
| SECS-S/06 | 10 | 60 | LESSONS |
| Objectives | |
|---|---|
| THE COURSE CONSISTS OF TWO MODULES. THE FIRST AIMS TO STUDY THE NEW PROBLEMS THAT THE ACTUARY IS FACED WITH IN TERMS OF RISK MANAGEMENT, WITH ELEMNTS OF SOLVENCY. QUANTITATIVE MODELS TO MEASURE THE RISK FACED IN THEIR MATHEMATICAL APPROACH WILL BE STUDIED, WITH PARTICULAR ATTENTION TO THE TRANSLATION OF OPERATING RESULTS INTO A LANGUAGE THAT IS EASY TO UNDERSTAND EVEN FOR NON-TECHNICIANS. THE SECOND MODULE IS DEDICATED TO NON-LIFE INSURANCE, FOLLOWING AN APPROACH BASED ON UNCERTAINTY, AN ESSENTIAL ELEMENT OF THE INSURANCE BUSINESS. THEORETICAL MODELS AND QUANTITATIVE TOOLS ARE PRESENTED FOLLOWING A LOGIC AIMED AT THE APPLICABILITY AND PRACTICAL INTERPRETATION OF NUMERICAL RESULTS AND ALSO WITH CONSTANT ATTENTION TO STIMULATING SCIENTIFIC CURIOSITY. ALL THE TOPICS COVERED ARE PLACED IN DIFFERENT CONTEXTS WITH NUMEROUS NUMERICAL EXAMPLES. |
| Prerequisites | |
|---|---|
| MATHEMATICAL MODELS FOR ECONOMICS, FINANCIAL MATHEMATICS, LIFE INSURANCE MODELS, STATISTICS |
| Contents | |
|---|---|
| MODULE I: THE PROCESS OF RISK MANAGEMENT: EVALUATING, AVOIDING, REDUCTION, TRANSFER. RISK MEASURES: VALUE-AT-RISK, TAIL VAR. DYNAMIC RISK MEASURES. LECTURES: 10 HOURS RISK CAPITAL AND COST OF CAPITAL. TYPES OF RISK CAPITAL: ECONOMIC, RATING AND SOLVENCY. VALUING INSURANCE LIABILITIES. RISK CAPITAL MODELS. LECTURES: 10 HOURS SOLVENCY AND REGULATORY QUESTIONS. TRANSPARENCY. SOLVENCY. SOLVENCY II. LECTURES: 10 HOURS MODULE II: THE NUMBER OF CLAIMS AND THE POISSON DISTRIBUTION. LECTURES: 10 HOURS THE AMOUNT OF CLAIMS AND THE CLAIM SIZE DISTRIBUTION. REINSURANCE. CLAIMS WITH AN EXTENDED TIME HORIZON. CATASTROPHES. LECTURES: 10 HOURS PREMI. APPLICATION TO LONG TERM PROCESSES. LECTURES: 10 HOURS |
| Teaching Methods | |
|---|---|
| LECTURES IN CLASSROOM AND TALKS, EXERCISES |
| Verification of learning | |
|---|---|
| THE FINAL EXAM CONSISTS IN A WRITTEN AND AN ORAL VERIFICATION WITH VALUATION IN THIRTIETH AND A PROSPECTIVE THIRTY OUT OF THIRTY. EACH WRITTEN TEST IS PASSED WITH 18/30 AT LEAST AND IS PRELIMINARY FOR THE ORAL DISCUSSION. THE AIM OF THE VALUATION IS THE RECOGNITION OF THE EXPERTISE AND A GRADUATION OF THEM. DURING THE ACADEMIC YEAR THERE WILL BE 8 EXAM SESSIONS WITH WRITTEN AND ORAL TESTS. THE FINAL VALUATION OF THE COURSE WILL BE COMPUTED AS THE AVERAGE BETWEEN THE VALUATIONS OF EACH MODULE. THE STUDENT WILL BE VALUED WITH A 2 HOURS FINAL WRITTEN EXAM FOR EACH MODULE, WITH CLOSED OR OPEN ANSWER TESTS, AND WITH THE ORAL DISCUSSION. THE FINAL WRITTEN EXAM CONSISTS IN 5/10 QUESTIONS, VALUED ACCORDING TO THEIR WEIGHT IN THE GLOBAL EXAM ASSESSMENT. A WRITTEN TEST WILL BE GIVEN AT THE END OF EACH MODULE TEACHING PERIOD. IF THE STUDENT PASSES BOTH THESE TESTS, HE CAN AVOID THE FINAL WRITTEN EXAM. EACH TEST CONSISTS IN 3/8 QUESTIONS, VALUED ACCORDING TO THEIR WEIGHT IN THE GLOBAL EXAM ASSESSMENT. THE VALUATION OF THE WRITTEN EXAM WILL BE COMPUTED WITH THE RESULT OF THE ORAL DISCUSSION |
| Texts | |
|---|---|
| MODULE I: KRIELE, M., WOLF, J. - VALUE-ORIENTED RISK MANAGEMENT OF INSURANCE COMPANIES – SPRINGER, 2014 MODULE II: DAYKIN, C.D., PENTIKAINEN, T., PESONEN, M. – PRACTICAL RISK THEORY FOR ACTUARIES – CHAPMAN & HALL/CRC, 1999 |
| More Information | |
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