| FINANCIAL AND ACTUARIAL SCIENCES
(obiettivi)
The course is structured in two modules: Financial Sciences and Actuarial Sciences.
The objective of the Financial Sciences module is to explore topics for which the basic course on Financial mathematics has already laid the foundations. In this module three main areas will be covered: basic stochastic calculus, derivatives pricing, and derivatives hedging.
The objective of the Actuarial Sciences module is to introduce to life contingencies, the theory behind the actuarial work around life insurance and pension funds and will appeal to the student who likes applied mathematics. In addition to model of life contingencies, various forms of life insurance and their mechanism are discussed in their basic model and it is shown how to calculate net premium and reserves.
|
|
Codice
|
21210096 |
|
Lingua
|
ENG |
|
Tipo di attestato
|
Attestato di profitto |
| Modulo: FINANCIAL AND ACTUARIAL SCIENCES
(obiettivi)
The course is structured in two modules: Financial Sciences and Actuarial Sciences.
The objective of the Financial Sciences module is to explore topics for which the basic course on Financial mathematics has already laid the foundations. In this module three main areas will be covered: basic stochastic calculus, derivatives pricing, and derivatives hedging.
The objective of the Actuarial Sciences module is to introduce to life contingencies, the theory behind the actuarial work around life insurance and pension funds and will appeal to the student who likes applied mathematics. In addition to model of life contingencies, various forms of life insurance and their mechanism are discussed in their basic model and it is shown how to calculate net premium and reserves.
|
|
Codice
|
21210096-1 |
|
Lingua
|
ENG |
|
Tipo di attestato
|
Attestato di profitto |
|
Crediti
|
6
|
|
Settore scientifico disciplinare
|
SECS-S/06
|
|
Ore Aula
|
40
|
|
Attività formativa
|
Attività formative caratterizzanti
|
Canale Unico
|
Docente
|
CARLEO ALESSANDRA
(programma)
(Actuarial Sciences)
The Mathematics of Compound Interest
The Future Lifetime of a Life Aged x
Life Insurance
Life Annuities
Net Premiums
Net Premium Reserves
(testi)
(ACTUARIAL SCIENCES)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer
Hans U. Gerber
Life Insurance Mathematics
Springer
|
|
Date di inizio e termine delle attività didattiche
|
Dal 01/03/2022 al 31/05/2022 |
|
Modalità di erogazione
|
Tradizionale
|
|
Modalità di frequenza
|
Non obbligatoria
|
|
Metodi di valutazione
|
Prova scritta
Prova orale
|
|
Docente
|
RUSSO FLAVIO
|
|
Date di inizio e termine delle attività didattiche
|
Dal 01/03/2022 al 31/05/2022 |
|
Modalità di frequenza
|
Non obbligatoria
|
|
|
| Modulo: FINANCIAL AND ACTUARIAL SCIENCES
(obiettivi)
The course is structured in two modules: Financial Sciences and Actuarial Sciences.
The objective of the Financial Sciences module is to explore topics for which the basic course on Financial mathematics has already laid the foundations. In this module three main areas will be covered: basic stochastic calculus, derivatives pricing, and derivatives hedging.
The objective of the Actuarial Sciences module is to introduce to life contingencies, the theory behind the actuarial work around life insurance and pension funds and will appeal to the student who likes applied mathematics. In addition to model of life contingencies, various forms of life insurance and their mechanism are discussed in their basic model and it is shown how to calculate net premium and reserves.
|
|
Codice
|
21210096-2 |
|
Lingua
|
ENG |
|
Tipo di attestato
|
Attestato di profitto |
|
Crediti
|
3
|
|
Settore scientifico disciplinare
|
SECS-S/06
|
|
Ore Aula
|
20
|
|
Attività formativa
|
Attività formative caratterizzanti
|
Canale Unico
|
Docente
|
GHENO ANDREA
(programma)
FINANCIAL SCIENCES
Wiener Processes and Ito’s Lemma
The Black-Scholes-Merton Model
Greek Letters
Volatility Smiles
Basic Numerical Procedures
Exotic Options
(testi)
FINANCIAL SCIENCES
Hull, J. (2018) Options, futures and other derivatives, Pearson
|
|
Date di inizio e termine delle attività didattiche
|
Dal 01/03/2022 al 31/05/2022 |
|
Modalità di erogazione
|
Tradizionale
|
|
Modalità di frequenza
|
Non obbligatoria
|
|
Metodi di valutazione
|
Prova scritta
Prova orale
|
|
|
|
Università Roma Tre