Mathematical Models of Risk and Their Applications
Informacje ogólne
Kod przedmiotu: | 130411-D |
Kod Erasmus / ISCED: |
11.2
|
Nazwa przedmiotu: | Mathematical Models of Risk and Their Applications |
Jednostka: | Szkoła Główna Handlowa w Warszawie |
Grupy: |
Courses for QME - bachelors Elective courses for QME - bachelors Przedmioty kierunkowe do wyboru SLLD-MIS |
Punkty ECTS i inne: |
3.00 (zmienne w czasie)
|
Język prowadzenia: | angielski |
Efekty uczenia się: |
Wiedza: Students after the course shall be able to: 1. describe risk using the concept of random variable and its distribution, 2. enumerate discrete and continuous probability distributions, commonly used for quantitative description of risk, 3. give examples of applications of discrete and continuous probability distributions, 4. provide examples of premium calculation principles and their properties, 5. provide examples of measures of risk and their properties, 6. characterize Value-at-Risk and Expected Shortfall, 7. describe the idea of Monte Carlo simulation methods, 8. describe the assumptions underlying collective risk model, 9. name the approximations used for loss distributions. Umiejętności: Students after the course shall be able to: 1. propose a suitable probability distribution for description of selected risks, 2. calculate key characteristics of selected probability distributions, 3. apply moment generating functions and cumulant generating functions in actuarial calculations, 4. calculate premiums and other actuarial quantities in insurance risk models, 5. apply various approximations to calculate VaR in risk models. Kompetencje społeczne: Students shall: 1. realize the necessity and possibility of managing risk as an indispensable element of activity of enterprises and financial institutions, 2. understand advantages and disadvantages of quantitative methods and models in insurance and finance. |
Zajęcia w cyklu "Semestr letni 2024/25" (jeszcze nie rozpoczęty)
Okres: | 2025-02-15 - 2025-09-30 |
Przejdź do planu
PN WT ŚR CZ PT |
Typ zajęć: |
Wykład, 30 godzin
|
|
Koordynatorzy: | (brak danych) | |
Prowadzący grup: | (brak danych) | |
Lista studentów: | (nie masz dostępu) | |
Zaliczenie: |
Przedmiot -
Ocena
Wykład - Ocena |
|
Skrócony opis: |
See semester study programme. |
|
Pełny opis: |
The course shall provide students with the knowledge of mathematical models and methods used in practice for assesment of insurance and financial risks. Students shall be able to apply mathematical models and methods to quantify risk of financial and insurance institutions, and be aware of advantages and disadvantage of the models/methods applied. Additionally, students shall master certain concepts in probability theory, like moment generating functions, cumulant generating functions, conditional expectation and conditional variance. The course consists of several lectures on probability methods and theoretical foundations of quantitative risk models with examples of their applications. The course provides a starting point for studying more advanced topics in actuarial science and financial engineering. The prerequisite of the course is the good knowledge of calculus and foundations of probability theory encompassing the notion of discrete and continuous random variables. |
|
Literatura: |
Literatura podstawowa: 1. R.Kass, M.Goovaerts, J.Dhaene, M.Denuit, Modern Actuarial Risk Theory - Using R, Springer, 2008; 2. A..J.McNeil, R. Frey, P. Embrechts, Quantitative Risk Management: Concepts, Techniques, and Tools, Princeton University Press, 2021. Literatura uzupełniająca: Artykuły z czasopism: Mathematical Finance, Finance and Stochastics, Insurance: Mathematics and Economics |
|
Uwagi: |
Kryteria oceniania: egzamin tradycyjny-pisemny: 70.00% inne: 30.00% |
Zajęcia w cyklu "Semestr zimowy 2024/25" (w trakcie)
Okres: | 2024-10-01 - 2025-02-14 |
Przejdź do planu
PN WT ŚR CZ PT |
Typ zajęć: |
Wykład, 30 godzin
|
|
Koordynatorzy: | (brak danych) | |
Prowadzący grup: | (brak danych) | |
Lista studentów: | (nie masz dostępu) | |
Zaliczenie: |
Przedmiot -
Ocena
Wykład - Ocena |
|
Skrócony opis: |
See semester study programme. |
|
Pełny opis: |
The course shall provide students with the knowledge of mathematical models and methods used in practice for assesment of insurance and financial risks. Students shall be able to apply mathematical models and methods to quantify risk of financial and insurance institutions, and be aware of advantages and disadvantage of the models/methods applied. Additionally, students shall master certain concepts in probability theory, like moment generating functions, cumulant generating functions, conditional expectation and conditional variance. The course consists of several lectures on probability methods and theoretical foundations of quantitative risk models with examples of their applications. The course provides a starting point for studying more advanced topics in actuarial science and financial engineering. The prerequisite of the course is the good knowledge of calculus and foundations of probability theory encompassing the notion of discrete and continuous random variables. |
|
Literatura: |
Literatura podstawowa: 1. R.Kass, M.Goovaerts, J.Dhaene, M.Denuit, Modern Actuarial Risk Theory - Using R, Springer, 2008; 2. A..J.McNeil, R. Frey, P. Embrechts, Quantitative Risk Management: Concepts, Techniques, and Tools, Princeton University Press, 2021. Literatura uzupełniająca: Artykuły z czasopism: Mathematical Finance, Finance and Stochastics, Insurance: Mathematics and Economics |
|
Uwagi: |
Kryteria oceniania: egzamin tradycyjny-pisemny: 70.00% inne: 30.00% |
Zajęcia w cyklu "Semestr letni 2023/24" (zakończony)
Okres: | 2024-02-24 - 2024-09-30 |
Przejdź do planu
PN WT ŚR CZ PT |
Typ zajęć: |
Wykład, 30 godzin
|
|
Koordynatorzy: | (brak danych) | |
Prowadzący grup: | (brak danych) | |
Lista studentów: | (nie masz dostępu) | |
Zaliczenie: |
Przedmiot -
Ocena
Wykład - Ocena |
|
Skrócony opis: |
See semester study programme. |
|
Pełny opis: |
The course shall provide students with the knowledge of mathematical models and methods used in practice for assesment of insurance and financial risks. Students shall be able to apply mathematical models and methods to quantify risk of financial and insurance institutions, and be aware of advantages and disadvantage of the models/methods applied. Additionally, students shall master certain concepts in probability theory, like moment generating functions, cumulant generating functions, conditional expectation and conditional variance. The course consists of several lectures on probability methods and theoretical foundations of quantitative risk models with examples of their applications. The course provides a starting point for studying more advanced topics in actuarial science and financial engineering. The prerequisite of the course is the good knowledge of calculus and foundations of probability theory encompassing the notion of discrete and continuous random variables. |
|
Literatura: |
Literatura podstawowa: 1. R.Kass, M.Goovaerts, J.Dhaene, M.Denuit, Modern Actuarial Risk Theory - Using R, Springer, 2008; 2. A..J.McNeil, R. Frey, P. Embrechts, Quantitative Risk Management: Concepts, Techniques, and Tools, Princeton University Press, 2021. Literatura uzupełniająca: Artykuły z czasopism: Mathematical Finance, Finance and Stochastics, Insurance: Mathematics and Economics |
|
Uwagi: |
Kryteria oceniania: egzamin tradycyjny-pisemny: 70.00% inne: 30.00% |
Zajęcia w cyklu "Semestr zimowy 2023/24" (zakończony)
Okres: | 2023-10-01 - 2024-02-23 |
Przejdź do planu
PN WT ŚR CZ PT |
Typ zajęć: |
Wykład, 30 godzin
|
|
Koordynatorzy: | (brak danych) | |
Prowadzący grup: | (brak danych) | |
Lista studentów: | (nie masz dostępu) | |
Zaliczenie: |
Przedmiot -
Ocena
Wykład - Ocena |
|
Skrócony opis: |
See semester study programme. |
|
Pełny opis: |
The course shall provide students with the knowledge of mathematical models and methods used in practice for assesment of insurance and financial risks. Students shall be able to apply mathematical models and methods to quantify risk of financial and insurance institutions, and be aware of advantages and disadvantage of the models/methods applied. Additionally, students shall master certain concepts in probability theory, like moment generating functions, cumulant generating functions, conditional expectation and conditional variance. The course consists of several lectures on probability methods and theoretical foundations of quantitative risk models with examples of their applications. The course provides a starting point for studying more advanced topics in actuarial science and financial engineering. The prerequisite of the course is the good knowledge of calculus and foundations of probability theory encompassing the notion of discrete and continuous random variables. |
|
Literatura: |
Literatura podstawowa: 1. R.Kass, M.Goovaerts, J.Dhaene, M.Denuit, Modern Actuarial Risk Theory - Using R, Springer, 2008; 2. A..J.McNeil, R. Frey, P. Embrechts, Quantitative Risk Management: Concepts, Techniques, and Tools, Princeton University Press, 2021. Literatura uzupełniająca: Artykuły z czasopism: Mathematical Finance, Finance and Stochastics, Insurance: Mathematics and Economics |
|
Uwagi: |
Kryteria oceniania: egzamin tradycyjny-pisemny: 70.00% inne: 30.00% |
Właścicielem praw autorskich jest Szkoła Główna Handlowa w Warszawie.