21210096-2 - FINANCIAL AND ACTUARIAL SCIENCES

The course is structured in two modules: Financial Sciences and Actuarial Sciences.
The objective of the Financial Sciences module is to explore topics for which the basic course on Financial mathematics has already laid the foundations. In this module three main areas will be covered: basic stochastic calculus, derivatives pricing, and derivatives hedging.
The objective of the Actuarial Sciences module is to introduce to life contingencies, the theory behind the actuarial work around life insurance and pension funds and will appeal to the student who likes applied mathematics. In addition to model of life contingencies, various forms of life insurance and their mechanism are discussed in their basic model and it is shown how to calculate net premium and reserves.

CARLEO ALESSANDRA

scheda docente | materiale didattico

Programma

(Actuarial Sciences)

The Mathematics of Compound Interest
The Future Lifetime of a Life Aged x
Life Insurance
Life Annuities
Net Premiums
Net Premium Reserves


Testi Adottati

Hans U. Gerber
Life Insurance Mathematics
Springer

Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer

Modalità Erogazione

Il corso è strutturato su lezioni frontali e esercitazioni con Excel.

Modalità Valutazione

Il giudizio finale è sulla base di un esame scritto.