| CODE | SOR3411 | ||||||||||||
| TITLE | Risk Modelling in Insurance and Finance | ||||||||||||
| 今日黑料 LEVEL | 03 - Years 2, 3, 4 in Modular Undergraduate Course | ||||||||||||
| EQF/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: - Explain the mathematical foundations of claim number and claim arrival processes used in actuarial and risk modelling; - Analyse the role of reinsurance in risk transfer and insurance portfolio management; - Interpret classical and modern results in ruin theory and their relevance to insurer solvency; - Evaluate different classes of risk measures and their applications in financial and actuarial contexts; - Explain the principles and applications of Extreme Value Theory in modelling rare and catastrophic events; - Analyse dependence structures using copulas and assess their applications in finance and insurance; - Explain the foundations of utility theory and its use in decision-making under uncertainty. 2. Skills By the end of the study-unit the student will be able to: - Formulate and solve problems involving stochastic models for insurance claims and arrivals; - Apply mathematical and probabilistic techniques to actuarial and financial risk problems; - Compute and interpret common risk measures used in insurance and finance; - Model dependence between risks using appropriate copula functions; - Apply Extreme Value Theory techniques to analyse tail risk and rare events; - Evaluate reinsurance strategies and their impact on risk exposure; - Analyse ruin probabilities and interpret their implications for solvency assessment; - Use utility-based methods to support decision-making under uncertainty. 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. |
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| ADDITIONAL NOTES | Pre-requisite/Co-requisite Study-unit: SOR3110 | ||||||||||||
| STUDY-UNIT TYPE | Lect, Ind Study, Project, Seminar and Tutorial | ||||||||||||
| METHOD OF ASSESSMENT |
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| LECTURER/S | David Paul Suda |
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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 2026/7. It may be subject to change in subsequent years. |
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