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Selected Software Tools for Finance and Insurance - NMFM404

Title:	Vybraný software pro finance a pojišťovnictví
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2013 to 2018
Semester:	summer
E-Credits:	3
Hours per week, examination:	summer s.:2/0, Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	taught
Language:	English
Teaching methods:	full-time
Teaching methods:	full-time

Guarantor:	doc. RNDr. Michal Pešta, Ph.D.
Class:	M Mgr. FPM M Mgr. FPM > Povinné
Classification:	Mathematics > Financial and Insurance Math.
Pre-requisite :	NMSA407
Is interchangeable with:	NFAP007

Opinion survey results Examination dates Schedule Noticeboard

Annotation -

Last update: T_KPMS (14.05.2013)

Software (mostly R, but Mathematica as well) in finance and insurance. Modeling financial, economic, and insurance processes. Practical exercises and problems from finance and insurance, model testing, parameter estimation, prediction in stochastic models and their diagnostics. Computational intensive methods, copulae, and their application in finance and insurance. Practice with databases. Requirements: Basics of statistical modeling.

Aim of the course -

Last update: T_KPMS (14.05.2013)

Solving real problems from finance and insurance by using stochastic models and statistical software.

Literature - Czech

Last update: T_KPMS (14.05.2013)

[1] Peter Dalgaard: Introductory statistics with R. Birkhäuser, 2002.

[2] David W. Hosmer and Stanley Lemeshow: Applied Logistic Regression (Second edition). Wiley, 2000.

[3] John H. Maindonald, John Braun: Data analysis and graphics using R: an example-based approach (Third edition). Cambridge University Press, 2010.

[4] David Ruppert: Statistics and finance: an introduction. Springer, 2004.

[5] William N. Venables, Brian D. Ripley: Modern applied statistics with S. Birkhäuser, 2002.

Teaching methods -

Last update: T_KPMS (14.05.2013)

Lecture.

Syllabus -

Last update: T_KPMS (14.05.2013)

Software usage for the following applied methods in finance and insurance: generalized linear models, categorical data analysis, random effects models, panel/longitudinal data analysis, generalized estimating equations, bayes methods, bootstrap, Markov chain Monte Carlo, copulae, extreme observations and large claims analysis (GEV and POT methods).