Actuarial Modelling
- Enseignant(s): E.Hashorva
- Titre en français: Modélisation Actuarielle
- Cours donné en: anglais
- Crédits ECTS: 6 crédits
- Horaire: Semestre d'automne 2020-2021, 2.0h. de cours + 2.0h. d'exercices (moyenne hebdomadaire)
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séances
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site web du cours
- Formation concernée: Maîtrise universitaire ès Sciences en sciences actuarielles
ObjectifsModern 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. Contenus
Références
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