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Financial Modelling in Life Insurance - NFAP051

Title:	Finanční modelování v životním pojištění
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2014 to 2017
Semester:	winter
E-Credits:	3
Hours per week, examination:	winter s.:2/0, Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	not taught
Language:	Czech
Teaching methods:	full-time

Guarantor:	prof. RNDr. Tomáš Cipra, DrSc.
Class:	DS, finanční a pojistná matematika
Classification:	Mathematics > Financial and Insurance Math.
Interchangeability :	NMFM613
Is incompatible with:	NMFM613
Is interchangeable with:	NMFM613

Opinion survey results Examination dates Schedule Noticeboard

Annotation -

Valuation of insurance liabilities, modelling of the insureds' participation in profits, determination of premium reserves using stochastic models of interest rates and of the return from financial placement. A course for PhD students.

Last update: T_KPMS (23.05.2007)

Aim of the course -

To learn the applications of advanced probabilistic models in the risk management of a life insurance company.

Last update: G_M (06.06.2008)

Literature - Czech

P. Mandl: Pravděpodobnostní dynamické modely. Academia, Praha 1985.

H.H. Panjer (ed.): Financial economics with applications to investment, insurance and pensions. The Actuarial

Foundation, Schaumburg Ill. 1998.

D. Brigo, F. Mercurio: Interest Rate Models. Theory and Practice. Springer-Verlag, Berlin-Heidelberg 2001.

T. Cipra: Matematika cenných papírů. Professional Publishing, Praha 2013.

T. Cipra: Penze: kvantitativní přístup. Ekopress, Praha 2012.

Last update: Cipra Tomáš, prof. RNDr., DrSc. (09.09.2013)

Teaching methods -

Lecture.

Last update: G_M (27.05.2008)