Compulsory prerequisites required: Asset Pricing and risk analysis.
It is highly recomended a basic knowedge of financial mathemathics
The course aims to present the financial and actuarial tools necessary for the management of insurance contracts in the life and non-life sectors.
At the end of the course the students will have a knowledge of:
a) the different nature of risk and
the appropriate quantitative methodologies for its quantification;
b) the tools necessary to evaluate the insurance premia and to understand the liability side of an insurance company's balance sheet;
c) the principles of risk analysis and risk management: individual risk versus risk pooling; risk retention versus risk transfer;
Risk and insurance. Risk pooling. The premium (fair, pure and tariff). Single premium and periodic premium loading for expense. The balance sheet structure of an insurance company. Regulatory Capital Requirements: Solvency and Minimum capital requirement.
Life insurance: characteristics of a life insurance policy. Mortality tables. Probabilities related to the survival of an individual of age x. Force of mortality. Mortality dynamics. Pricing for pure endowment, life annuities, term insurance, whole life insurance contacts. The mathematical reserve. Unit linked policies. Participating policies.
Non-life insurance: classification and peculiarities. Distributions for the number of claims. Individual claim size modelling. Approximations for compound distribution: normal, translated gamma and lognormal. Technical reserves: premium reserve and claims reserve.
Risk transfer: the basics of reinsurance.
The relevant ratios: Risk retention, Loss Ratio, Expense Ratio, Combined ratio
Frontal lectures with practical sessions to familiarize with the techniques presented to stimulate the participation and class discussion
The evaluation will be 25% on assignments, 25% on project and 50% on an oral examination
In case of provisions of the competent authority on containment and management of epidemiological emergency, the teaching may be subject to changes from what is declared in the syllabus in order to make the course and examinations in line with the regulations.