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Actuarial models

Course Code :2001WETACM
Study domain:Mathematics
Academic year:2019-2020
Semester:2nd semester
Contact hours:60
Credits:6
Study load (hours):168
Contract restrictions: No contract restriction
Language of instruction:Dutch
Exam period:exam in the 2nd semester
Lecturer(s)Adrien Leb├Ęgue

3. Course contents *

This course is complimentary with the course "Mathematical Models in Economics" taught in the Bachelor. The course "Actuarial models" is built on 3 main themes, namely risk measures (definitions, properties, VaR, Tail-VaR, coherent risk measures), ordering of risks (stochastic dominance, stoploss order, convex order, properties) and copulas (Sklar's theorem, bivariate copulas, archimedian copulas, properties, measures of concordance).

Half of the classes is used to introduce and discuss these topics by means of interactive lectures. The remaining time is meant for reading of scientific publications; the articles are chosen by the lecturer, prepared individually by the students and discussed in group afterwards starting from presentations by the students.