Unit INSURANCE
- Course
- Finance and quantitative methods for economics
- Study-unit Code
- GP002902
- Location
- PERUGIA
- Curriculum
- Data science for finance and insurance
- Teacher
- Andrea Bellucci
- CFU
- 12
- Course Regulation
- Coorte 2022
- Offered
- 2023/24
- Type of study-unit
- Obbligatorio (Required)
- Type of learning activities
- Attività formativa integrata
MOD. I - ACTUARIAL MATHEMATICS
| Code | GP002911 |
|---|---|
| Location | PERUGIA |
| CFU | 6 |
| Teacher | Mauro Pagliacci |
| Teachers |
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| Hours |
|
| Learning activities | Caratterizzante |
| Area | Matematico, statistico, informatico |
| Academic discipline | SECS-S/06 |
| Type of study-unit | Obbligatorio (Required) |
| Language of instruction | Italian |
| Contents | 1 General aspects and theoretical basis of insurance contracts 2 Pricing of premium and reserves in non-life insurance. 3 Pricing of premium and reserves in life insurance. 4. Pensions and pension funds. Student seminars on topics to be agreed with the teacher on: Multistate models, Multiple life insurance, Automobile insurance, Pension funds, Reinsurance, Modelling extremal events, Embedded value, Solvency II |
| Reference texts | Hans U. Gerber, Life insurance mathematics, III ed, Springer 1997. Annamaria.Oivieri , Ermanno Pitacco, Introduction to insurance mathematics – Technical and financial features, Springer 2011 Erwin Straub, Non-life insurance mathematics, Springer 1988 |
| Educational objectives | The aim of the course is to introduce the valuation techniques of the main insurance contracts |
| Prerequisites | Financial mathematics and probability |
| Teaching methods | The course is carried out through lessons for the theoretical part with the addition of the evaluation of life insurance contracts in the computer room. Some topics are carried out through seminars agreed between the teacher and small groups of students |
| Learning verification modality | The exam consists of a test in the computer room followed by an oral interview. |
| Extended program | 1 General aspects and theoretical basis. Legal, social, economic, financial and mathematical aspects of insurance contracts. Introduction to the insurance market. Recalls on the von Neumann and Morgenstern Theorem, on the properties of utility functions and on the certainty equivalent. Insurance contracts and the theory of utility. Full and partial coverage policies. The equivalence premium. Safety loading and net premium.. Maximum acceptable load. The quadratic approximation of utility fuction in insurance 2 Non-life insurance Non-life insurance: general information. Technical basis: the random variables reimbursement and number of claims. Risk premium, claim frequency, loss severity. Technical reserves: premium reserve and claims reserve. Management of the premium and technical reserves. Estimation of the claims reserve: the run-off triangles and the chain ladder method. Liability insurance: general liability and objective parameters of the automobile insurance. Determination of the equivalence premium and the tariff premium in automobile insurance. Customization of rates. The insurance company. An approach through the player's ruin theorem. Coinsurance and reinsurance. 3 Life insurance Introduction to life insurance. Outline of the legal foundations. Characteristics of a life insurance policy. Insurance: term insurance, whole life, pure endowments, endowments and life annuities. The equivalence premium , the net premium and tariff premium. The random variables future lifetime and curtate future lifetime of an individual of age x. Survival function. Live tables. Probabilities related to the survival of an individual of age x. Force of mortality. Mortality intensity. Life expectancy for an individual of age x. Determination of the net single premium for whole life insurance, term insurance, pure endowments, endowments and life annuities Determination of the annual net premium. A general type of life insurance: valuation formula. The spreadsheet for the evaluation of insurance contracts. The net premium reserve: Fouret's recursive formula. Risk premium and savings premium. Management of the risk and savings premium. Uploads for expenses, tariff premiums and reserves. Reference to the Zillmer’s reserve. Profits and retrocessions to policyholders: mortality profit and interest income. Homans formula. Allocation of mortality and interest income. Other useful. Some new trends in life insurance finance. Life insurance products with financial components: call decomposition and put decomposition. 4 Pension plans Introduction to social insurance. Social security. Mutuality and solidarity. Single and collective actuarial balance. Remuneration method. The three pillars of retirement provision. Supplementary pension. Additional pension. The management of pension funds. Pay-as-you-go and funded system. Fund reserve. A pension fund with guaranteed minimum. 5 The new risk management techniques in insurance. Student’s seminar on: Multistate models, Multiple life insurance, Automobile insurance, Pension funds, Reinsurance, Modelling extremal events, Embedded value, Solvency II. |
MOD. II -INSURANCE ACCOUNTING
| Code | GP002912 |
|---|---|
| Location | PERUGIA |
| CFU | 6 |
| Teacher | Andrea Bellucci |
| Teachers |
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| Hours |
|
| Learning activities | Caratterizzante |
| Area | Aziendale |
| Academic discipline | SECS-P/07 |
| Type of study-unit | Obbligatorio (Required) |