MF004 Mathematical Models in Finance

Faculty of Science
Spring 2022
Extent and Intensity
2/0/0. 2 credit(s) (příf plus uk k 1 zk 2 plus 1 > 4). Type of Completion: zk (examination).
Teacher(s)
Reza Dastranj, MSc (lecturer)
doc. RNDr. Martin Kolář, Ph.D. (lecturer)
Guaranteed by
prof. RNDr. Ivanka Horová, CSc.
Department of Mathematics and Statistics – Departments – Faculty of Science
Supplier department: Department of Mathematics and Statistics – Departments – Faculty of Science
Timetable
Mon 18:00–19:50 M4,01024
Course Enrolment Limitations
The course is offered to students of any study field.
Course objectives
The aim of the course is to learn and understand different methods of insurance policies. At the end of the course, the student will be able to
-- apply mathematical models in actuarial mathematics.
-- suggest reasonable arguments for financial decisions of a concrete insurance company or bank.
Learning outcomes
After passing the course a student: will master basic probabilistic distributions used in automobile insurance;
will master of several data processing approaches;
will be able to suggest a proper model given relevant data.
Syllabus
  • Introduction to non-life insurance pricing.
  • GLM in non-life insurance pricing.
  • Machine learning techniques in non-life insurance pricing.
  • Bonus malus systems.
Literature
  • KLUGMAN, Stuart A., Harry H. PANJER and Gordon E. WILLMOT. Loss models : from data to decisions. 4th ed. Hoboken, N.J.: John Wiley & Sons, 2012, xiv,511 s. ISBN 9781118315323. info
  • KLUGMAN, Stuart A. Bayesian statistics in actuarial science : with emphasis on credibility. Boston: Kluwer Academic Publishers, 2010, xii, 236. ISBN 9789048157907. info
  • DENUIT, Michel. Actuarial modelling of claim counts : risk classification, credibility and bonus-malus systems. Hoboken, N.J.: John Wiley & Sons, 2007, xxvii, 356. ISBN 9780470026779. info
  • PROMISLOW, S. David. Fundamentals of actuarial mathematics. Chichester: John Wiley & Sons, 2006, xix, 372. ISBN 0470016892. info
  • Modern actuarial risk theory. Edited by R. Kaas. Boston, Mass.: Kluwer Academic, 2002, xviii, 328. ISBN 0792376366. info
  • BOWERS, Newton L. Actuarial mathematics. 2nd ed. Schaumburg, Ill.: Society of Actuaries, 1997, xxvi, 753. ISBN 0938959468. info
Teaching methods
lectures, home assignments, data processing using R language
Assessment methods
Project processing, oral examination.
Language of instruction
Czech
Further comments (probably available only in Czech)
Study Materials
The course is taught once in two years.
Teacher's information
The lessons are usually in Czech or in English as needed, and the relevant terminology is always given with English equivalents.

The target skills of the study include the ability to use the Englis language passively and actively in their own expertise and also in potential areas of application of mathematics.

Assessment in all cases may be in Czech and English, at the student's choice.

The course is also listed under the following terms Autumn 2007 - for the purpose of the accreditation, Autumn 2009, Autumn 2011, Spring 2014, Spring 2016, spring 2018, Spring 2020, Spring 2024.
  • Enrolment Statistics (Spring 2022, recent)
  • Permalink: https://is.muni.cz/course/sci/spring2022/MF004