MF004 Mathematical Models in Finance

Faculty of Science
Spring 2016
Extent and Intensity
2/0. 2 credit(s) (příf plus uk k 1 zk 2 plus 1 > 4). Type of Completion: zk (examination).
Teacher(s)
Mgr. Martin Panák, 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
Tue 8:00–9:50 M2,01021
Course Enrolment Limitations
The course is offered to students of any study field.
Course objectives
The aim of the course is to learn and understamd different methods of the insurance policies. At the end of the course the student will be able to
-- apply the theory of parcial differential equations in actuarial mathematics.
-- apply the theory of Markov chains in actuarial mathematics.
-- suggest reasonable arguments for financial decisions of a concrete insurance company or bank.
Syllabus
  • Basic notions of actuarial mathematics.
  • Types of life insurance contracts.
  • Markov chains. Classification of the system states.
  • Bonus malus systems.
  • Kolmogorov's equations.
  • Classification of the second order partial differential equations.
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
Assessment methods
Two written tests during the semester, consisting of 5 problems each. 50% of total points is needed to pass. Oral examination.
Language of instruction
Czech
Further Comments
Study Materials
The course is taught once in two years.
The course is also listed under the following terms Autumn 2007 - for the purpose of the accreditation, Autumn 2009, Autumn 2011, Spring 2014, spring 2018, Spring 2020, Spring 2022, Spring 2024.
  • Enrolment Statistics (Spring 2016, recent)
  • Permalink: https://is.muni.cz/course/sci/spring2016/MF004