# 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 TYPE OF ACTIVITY SECS-S/06 10 60 LESSONS OPTIONAL SUBJECTS
 MARILENA SIBILLO T VALERIA D'AMATO
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