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Identical coursesActuarial and Financial Valuation Principles (B-KUL-D0N57A)
Aims
The goal of this course is to make students familiar with reading and understanding current literature and current research topics in actuarial science and financial mathematics. This goal is achieved by studying in dept some recent research papers. Attention is not only given to the research results themselves, but also on how to interpret these results, what are the assumptions behind the presented models, in what context can these results be used, what are the limitations of the models, etc.
After having followed this course, students are expected to be able (to a certain extent):
- to read and understand actuarial and financial research papers,
- to comment on the strengths and the weaknesses of a given actuarial or financial model.
- to formulate an answer to the question whether or not a particular actuarial or financial model is appropriate in a given context.
Previous knowledge
Students are required to have an operational knowledge of mathematics and probability theory. At least, they should be familiar with the material covered in the following international standard texts (or equivalents):
- Chiang, A.C. and Wainwright, K. (2005). Fundamental Methods of Mathematical Economics, 4th edition, McGraw-Hill Education.
- Ross, S.M. (2009). A First Course in Probability, 8th edition, Pearson.
Students should also be familiar with life insurance and with mathematical finance. At least, they should be familiar with the material coverd in the following texts (or equivalents):
- Dickson, D.C.M; Hardy, M.R. and Waters, H.R. (2009). Actuarial Mathematics for Life Contingent Risks, Cambridge University Press. Chapters 1 to 7.
- Baxter, M. and Rennie, A. (1996). Financial Calculus: An Introduction to Derivative Pricing, Cambridge University Press.
Is included in these courses of study
Activities
6 ects. Actuarial and Financial Valuation Principles (B-KUL-D0N57a)
Content
In the last couple of decades actuarial and financial research has made an enormous progress. Nowadays one encounters many models and techniques that can be considered as being typically actuarial and financial. In this course some (overview) papers on recently developed actuarial and financial models and techniques for life- and/or non-life insurance will be studied. Attention is paid to the underlying assumptions of the actuarial and financial models and how to evaluate their applicability in practice. The recently developed techniques and models that will be considered are not only attractive from a theoretical point of view, but they may also be effective in solving problems occurring in the insurance and/or financial practice.
Possible research topics:
- Herd behavior in stock markets.
- Fair Valuation of insurance liabilities.
- Decentralized risk sharing and P2P insurance.
Course material
A number of recent actuarial and financial scientific papers (to be announced).
Evaluation
Evaluation: Actuarial and Financial Valuation Principles (B-KUL-D2N57a)
Explanation
The exam is open book.
* During the exam only the material that is used during the classes (the presentations of theory, proofs and solutions of exercises) can be consulted. It is not allowed to make any notes on the material that can be consulted during the exam. Additional notes made by the students are not allowed.
* The open book exam consists of a series of theoretical and/or numerical exercises.
* The questions are set up such that they do not only evaluate whether the student has understood the material, but also whether he/she can apply the material in a creative way to solve specific problems in a financial or actuarial context.
* The student is allowed to use a simple non-graphical calculator.
* The level of the exam questions is in correspondence with the exercises that were made or indicated in class.