Objectives

Modern actuarial models with strong business relevance such as price and loss reserve optimisation, customer segmentation, dynamic monitoring, risk and customer management require deep understanding of the underlying dependence of multidimensional risks.

The principal goal of this course is to provide a solid background of key building blocks for actuarial modeling of dependent risks with the main emphasis on copulas, multivariate dependence measures, risk measures, risk aggregation, models for multivariate extremes and measures of extremal dependences. The R-Project will provide an essential experimental platform for testing various models. Additional facultative materials include past projects on IFRS, price optimisation, portfolio cleaning, modelling of large losses.

This course is fully online. Details can be found in moodle. The final exam will also be online (similar to LM exam).

Depending on the evolution of the COVID-19 situation, adaptations of conditions concerning lectures and exams may be necessary.

Contents

1. Multivarite dependent risks and copulas
2. Dependence measures
3. Multivariate extrem value theory
4. Measures of extremal dependence
5. Risk aggregation & disaggregation
6. Projects on price optimisation, portfolio cleaning, customer future value, modelling of large losses (facultative reading)

References

1. Denuit, M., Dhaene, J., Goovaerts, M., and Kass, R. (2006) Actuarial Theory for Dependent Risks: Measures, Orders and Models. Wiley
2. Mikosch, T. (2006) Non-Life Insurance Mathematics: An Introduction with Stochastic Processes. 2nd Edt, Springer
3. Reiss, R-D., and Thomas, M. (2007) Statistical Analysis of Extreme Values: From Insurance, Finance, Hydrology and Other Fields. 3rd Edt, Birkhäuser

Evaluation

First attempt

Exam:

Written 2h00 hours

Documentation:

Allowed

Calculator:

Allowed

Evaluation:

Course Grade = Grade Final Exam (online)

Retake

Exam:

Written 2h00 hours

Documentation:

Allowed

Calculator:

Allowed

Evaluation:

Course Grade = Grade Final Exam

En raison de l’évolution sanitaire liée au COVID-19, les plans d’études peuvent connaître des adaptations en cours de semestre.