| CODE | SOR3411 | ||||||||||||||||
| TITLE | Risk Modelling in Insurance and Finance | ||||||||||||||||
| UM LEVEL | 03 - Years 2, 3, 4 in Modular Undergraduate Course | ||||||||||||||||
| MQF LEVEL | 6 | ||||||||||||||||
| ECTS CREDITS | 4 | ||||||||||||||||
| DEPARTMENT | Statistics and Operations Research | ||||||||||||||||
| DESCRIPTION | In this study-unit the modelling of the risk involved in the owning of a financial asset (such as shares or an insurance policy), or a portfolio of them is studied. To this end, the syllabus of this study-unit shall cover the following topics. - Claim Number and Claim Arrival Processes - Reinsurance - Ruin Theory - Risk Measures - Extreme Value Theory - Copulas and their applications to finance - Utility Theory Study-unit Aims: The aim is that of covering in a structured manner risk theory topics which have already been explored in student dissertations so that anyone who decides to pursue a thesis in this area will have an ideal study-unit to complement it. It will be available to students doing their undergraduate project with our department, and also people studying statistics as their secondary area. Learning Outcomes: 1. Knowledge & Understanding By the end of the study-unit the student will be able to: - understand theoretically and in practice various risk theory topics in insurance, finance and other areas. They will also be given the opportunity, through a project, to study in more detail a topic of their choice. 2. Skills By the end of the study-unit the student will be able to: - bridge the gap between theory in probability and stochastic processes and various practical applications in the finance and insurance industry, amongst other things. Main Text/s and any supplementary readings: - Artzner P. et al. (1999). Coherent Measures of Risk. Mathematical Finance Vol. 9, Issue 3, Pg. 203–228. - Cizek, P. (2005). Statistical Tools for Finance and Insurance. Springer. - Elizalde, A. (2005). Credit Risk Models I: Default Correlation in Intensity Models. CEMFI. - Elizalde, A. (2006). Credit Risk Models II: Structural Models. CEMFI. - Included in Frank Fabozzi’s Encyclopedia of Financial Models, Chp. 23 (Wiley, 2012). - Elliot, R. J. and Kopp, P.E. (2005). Mathematics of Financial Markets. Springer. - Mikosch, T. (2004). Non-Life Insurance Mathematics. Springer. - Promislow, S. D. (2010). Fundamentals of Actuarial Mathematics. Wiley. - Rolski, T. et al. (1999). Stochastic Processes for Insurance and Finance. Wiley Series in Probability and Statistics. |
||||||||||||||||
| ADDITIONAL NOTES | Pre-requisite/Co-requisite Study-unit: SOR3110 | ||||||||||||||||
| STUDY-UNIT TYPE | Lect, Ind Study, Project, Seminar and Tutorial | ||||||||||||||||
| METHOD OF ASSESSMENT |
|
||||||||||||||||
| LECTURER/S | David Paul Suda |
||||||||||||||||
|
The University makes every effort to ensure that the published Courses Plans, Programmes of Study and Study-Unit information are complete and up-to-date at the time of publication. The University reserves the right to make changes in case errors are detected after publication.
The availability of optional units may be subject to timetabling constraints. Units not attracting a sufficient number of registrations may be withdrawn without notice. It should be noted that all the information in the description above applies to study-units available during the academic year 2024/5. It may be subject to change in subsequent years. |
|||||||||||||||||