Quantitative Methods in Insurance and Finance 2400-PLSM038A
A general framework of the seminar is to be adopted to the scope of topics being chosen by students.
Winter semester
• Presentation of bibliographical resources (journals, textbooks and books) and available bibliographical databases in the field of insurance.
• Presentation of main sources of empirical and statistical data relevant for research on insurance.
• Demographic modelling in life insurance.
• Modelling of long-term changes in mortality.
• Life insurance: a survey of products and markets.
• Life policies and life annuities: a survey of actuarial methods for calculating premiums and reserves.
• Capital funded pensions: problems of capital accumulation and benefit payments.
• Non-life insurance: identification of risks and calculation of premiums and premium reserves.
• Loss reserving in non-life insurance.
• Application of Bayesian estimation to loss reserving.
• Application of GLM modelling and bootstrapping to insurance.
• Application of value at risk to insurance.
• Stochastic interest rates. The Wilkie’s model.
• Reinsurance. Catastrophe insurance. Securitization of insurance risks.
• Insurance Market regulation and supervision. Solvency II reform.
• Insurance accounting and reporting. Embedded value methodology.
Summer semester
Presentations of subsequent parts of the MA thesis:
• main research problem and goals to be achieve,
• research methodology and justification of research techniques,
• presentation of results and conclusions.
Type of course
Course coordinators
Learning outcomes
Seminar’s expected outcome is an ability to review and elaborate the scientific literature on the subject of quantitative methods in insurance and finance, in order to complete the MA thesis in compliance with required standards.
The MA essay should demonstrate the knowledge of the current research approaches presented in the literature and should report the original research attempt to extend the current state of knowledge.
The author should prove the formal abilities of writing and structuring scientific papers, citing the contribution of other authors and presenting results of own research.
The student should demonstrate a skill of a rigorous compliance with the one-year agenda of the complex MA undertaking.
KW01, KW02, KW03, KU01, KU02, KU03, KK01, KK02, KK03
Assessment criteria
Winter semester
Students are supposed to prepare two or three seminar presentations and to actively participate in discusions concerning the presentations of other students. The required outcome of the winter term is a decision on chosen subject of the MA thesis.
Summer semester
Students are supposed to prepare two or three seminar presentations to demonstrate the progress in research and in writing of MA essay.
Bibliography
Survey of actuarial journals:
Annals of Actuarial Science,
ASTIN Bulletin
British Actuarial Journal
Insurance: Mathematics and Economics
Journal of Risk and Insurance
A list of actuarial books, to be modified according to the scope of topics being chosen by students.
Actuarial Mathematics, Bowers, Gerber, Hickman, Jones, Nesbitt, Society of Actuaries 1986.
Life Insurance, Kenneth Black, Harold Skipper. Prentice Hall 1988
Ubezpieczenia majątkowe, Wojciech Otto. WNT 2002
Modern Actuarial Risk Theory, R.Kaas, M.Goovaerts, J.Dhaene, M.Denuit. Kluwer 2001.
Modern Actuarial Theory and Practice, P. Booth, at al., Chapman &Hall 1999.
Automobile Insurance. Actuarial Methods. Jean Lemaire. Kluwer 1996.
Foundations of Insurance Economics. George Dionne, Scott Harrington. Kluwer 1994.
Reinsurance Fundamentals. Ross Phifer. John Wiley 1996
Additional information
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: