Opleidingen
69.016
resultaten
Econometrics 1
Leerdoelen
At the end of this course, students will be able to:
Specify the linear regression model (in matrix notation) with standard assumptions;
derive the LS estimators, their properties and the related t and F-tests;
analyse the quality of the LS estimators and the related t and F-tests in relation to the model specification and assumptions and possible errors in them;
give the model specification in case of nonlinear, interaction or categorical effects (including parameter instability) and apply tests for such effects;
adjust the LS method in case of invalid model assumptions (heteroscedasticity, autocorrelation and endogeneity) and apply specifications tests for such cases;
correctly apply and interpret diagnostic tests for checking underlying assumptions in the model;
apply econometric techniques to economic data using specialized computer software.
Inhoud
In this course the multiple regression model is developed with applications, in particular, to cross sectional data. The treatment makes extensive use of matrix algebra and multivariate statistical theory. Discussed are: the classic linear regression model, standard assumptions, properties of the LS estimators, fit, consequences of omitted or redundant variables, partial regression, multicollinearity, linear restrictions, prediction, asymptotic properties and variable transformations, dummy variables, test for parameter stability, test for normality, heteroscedasticity, serial correlation, endogeneity of explanatory variables and instrumental variables. Applications and simulations are carried out with the software packages EViews and Matlab.
Aanbevolen voorkennis
This course has no formal entry requirements, except valid enrollment. Yet, it is indispensable to have sufficient knowledge of statistics and linear algebra. The reason not to demand specific courses as formal entry requirements is to avoid exclusion of students who just did not pass one of the relevant preparatory courses. This course builds on a series of courses and makes use of the knowledge gained there. It is recommended that students have ready knowledge of:
Probability Theory and Statistics 1,
Probability Theory and Statistics 2
Probability Theory and Statistics 3
Mathematics 2: Linear Algebra
Mathematics 3: Linear Algebra and Unconstrained Optimization
Mathematics 4:Multivariable Analysis and Constrained Optimization
Introduction Econometrics
For minor students requirements set by the program director must be met.
Verplichte voorkennisWerkvorm
In weeks 1 to 6 there are weekly two two-hour lectures, one two-hour tutorial and one mandatory two-hour computer lab. The computer labs include weekly mandatory computer/theory tests. The computer tests are one-time only and cannot be retaken.
The exact dates of the sessions can be seen in UvA Timetable.
€1.200
Klassikaal
max 30
WO
Financial Accounting in Life Insurance
Leerdoelen
The primary goal of this course is to acquire a fundamental and critical understanding of financial accounting for a life insurer. The emphasis lays on the determination of the financial result of a life insurer over a certain period and the relation with the valuation of insurance liabilities and fixed cash-flow investments like bonds and loans.
With the knowledge acquired in this course the student has the ability to understand and critically judge the financial statement of a life insurer. Also, the student will be able to understand recent developments on the issue and actively participate in discussions about it.
Finally, the student will have sufficient skills to apply actuarial (valuation-) techniques to financial accounting issues and bring them into practice. This will be practiced by weekly cases to be solved by the student.
Inhoud
Basic actuarial techniques for life insurance will be recapitulated shortly with an emphasis on recursive methods for insurance liabilities as they are of great help in financial accounting for life insurance products.
A model of profit-sharing, based on a recursive formula, will be discussed.
Valuation methods of insurance liabilities and fixed cash-flow investments -like bonds and loans- will be studied. Valuation methods are important as they determine the distribution of the profit of an insurance contract over the lifetime of a policy.
Two valuation methods for liabilities will be distinguished that differ with respect to assumptions on interest and mortality: historical cost price valuation and valuation based on actual (“best estimate”) assumptions (market value). The first one (historical cost price) is the more traditional one in accounting, but recent accounting rules (IFRS 17) are based on market value. The consequences of both methods for financial accounting will be discussed and compared. The treatment of market value of insurance liabilities will be elementary though sufficient to understand the main consequences for financial accounting in life insurance.
€1.200
Klassikaal
max 30
WO
Stochastic Models in Life Insurance
Leerdoelen
After successful completion of this course:
The student understands and can apply stochastic formulations of mortality events.
The student understands and can analyse the effects of stochastic mortality on premiums and reserving in life insurance.
The student understands and can analyse the effects of dependent mortality events.
The student is acquainted with and can deploy stochastic Markov chain models in life insurance mathematics.
Inhoud
This course studies stochastic models in life insurance in discrete and continuous time. Stochastic survival functions are introduced, and the effect of uncertainty in reserving is formalized. Also, (in)dependence of mortality events is defined, and the effect of this in life insurance is studied. Finally, a Markov chain model is studied which facilitates the study of disability in life insurance. Chapters 14, 15, 16, 17, 18.1-18.4, 19.1, 19.2 of the book are used.
Studiemateriaal
Promislow, David S. Fundamentals of Actuarial Mathematics. Wiley, third edition, ISBN 978-1-118-78246-0 (c. €70). Second edition can be used. This book is the same as for the course Life Insurance Mathematics;
Toetsing en toetsdata
A written midterm (2 hours, 30%) and a written final exam (3 hours, 70%). The grade for the final exam needs to be at least 5.0 in order to pass this course. For the resit (3 hours, 100%), the result for the midterm does not count.
€1.200
Klassikaal
max 30
WO
Risk Theory
Leerdoelen
After successful completion of this course, students will be able to:
Understand the expected utility model as an economic model behind the insurance business;
use parametric distributions to model the frequency and sizes of claims in an insurance portfolio, estimate the parameters of these distributions and do random drawings from them;
calculate or approximate statistical characteristics of the total claim size in a portfolio, starting from a description of the risks in the portfolio;
understand the principles behind the ruin probability in the classical Poisson ruin process;
understand how simple R programs work and apply these programs to the studied theory; implement the techniques studied in R programs;
understand and analyse the mechanics of the Dutch bonus-malus system for car insurance.
Inhoud
Through utility theory an economic motivation of insurance is given. Individual and collective risk models for the total claims in an insurance portfolio are discussed. Ruin theory -which gives an insight into the stability of an insurer- is covered. The Dutch bonus-malus system is studied, including the Markov analysis needed for the determination of its asymptotic efficiency. The programming language R is used throughout to implement the various concepts and techniques studied in the course.
Aanbevolen voorkennis
This course has no subject-specific entry requirement. Having studied the courses Probability Theory and Statistics 2 and Probability Theory and Statistics 3 is recommended, not required.
Werkvorm
Weekly two two-hour lectures, one two-hour seminar and one two-hour computer practicum.
€1.200
Klassikaal
max 30
WO
Financial Mathematics for Insurance
Leerdoelen
Goals of this course include gaining knowledge and understanding of:
Pricing by replication;
equity options;
interest rate options;
hedging of embedded options;
insurance contracts and incomplete markets;
general market consistent pricing framework.
At the end of the course you should:
Understand the theoretical background of dynamic models needed for
market consistent valuation;
be able to apply the basic techniques to insurance products and retirement
provisions;
know which crucial assumptions underlie the theory, and realize when these
assumptions are problematic in practical problems.
Inhoud
In this course students learn the basic principles of asset pricing and risk mitigation on a market consistent basis. The underlying principle for this course is the notion that the market consistent value of an insurance or pension contract is based on the market value of the best possible replicating portfolio plus a possible add-on for the remaining (unhedgeable) residual risk. The course therefore provides an introduction to mathematical techniques which can be used in complete markets, such as those for equity and interest derivatives but also considers incomplete markets.
Werkvorm
Every week (during six weeks) one three-hour lecture and one three-hour tutorial.
€1.200
Klassikaal
max 30
WO
Risk Management for Insurers and Pensions
Leerdoelen
This course provides an in-depth treatment of the principles of (quantitative) risk management for insurers and pensions. The course focuses first on the joint measurement, modelling and allocation of financial and insurance risks. Next, the course treats the design of risk mitigation strategies and of asset allocation strategies from a long term perspective.
Participants who complete this course will have an integrative view of risk management. Participants will be able to address risk management and asset allocation issues from a broad perspective. More specifically participants have:
Acquired an up-to-date overview of the theory and key principles of integrated (quantitative) risk management for insurers and pensions;
familiarised themselves with the current state-of-the-art of the academic literature on integrated (quantitative) risk management for insurers and pensions;
trained their practical (quantitative) risk modelling skills and know how to implement the prime intergrated risk management techniques in practical examples. (The implementation of the techniques is conducted in R.)
Inhoud
The course covers the following topics:
Introduction to risk management and Asset Liability Management (ALM);
risk measurement;
risk aggregation;
solvency and economic capital allocation;
solvency regulation;
modelling of financial time series with ALM in view;
extreme value theory;
risk mitigation strategies;
optimal portfolio choice and strategic asset allocation from the long term investors' perspective and ALM.
Aanbevolen voorkennis
This course leans heavily on probability and statistics. Furthermore, a working knowledge of R is expected beforehand.
Werkvorm
Weekly one three-hour lecture and one two-hour interactive tutorial/computer class.
€1.200
Klassikaal
max 30
WO
Verzekerings- en Pensioenrecht
Leerdoelen
Doel van de colleges is de student kennis te laten opdoen van het algemeen privaatrecht, het verzekeringsrecht, het fiscaal recht, het pensioenrecht en het toezichtrecht, zulks zoveel mogelijk ter voorbereiding op een eventuele baan in het bedrijfsleven als actuaris.
Inhoud
Het lesprogramma is als volgt:
Introductie in het algemeen privaatrecht: de verzekeringsovereenkomst is een privaatrechtelijk contract. Om deze rechtsfiguur privaatrechtelijk te kunnen plaatsen is elementaire kennis noodzakelijk van 'het algemeen vermogensrecht'. De student verkrijgt kennis over juridische vaardigheden alsmede over de onderwerpen inleiding verbintenissenrecht, de totstandkoming van een overeenkomst, wilsgebreken, inhoud van de overeenkomst en remedies en onrechtmatige daad;
introductie in het verzekeringsrecht. Verschillende verzekeringsrechtelijke onderwerpen komen aan bod;
levensverzekeringsrecht, waarbij met name de wilsrechten van de verzekeringnemer en de invloed van het personen- en familierecht op het levensverzekeringsrecht aan bod komt. Ook de wetgeving die op de verzekeraar van toepassing is (WFT) wordt beknopt behandeld;
fiscale aspecten van levensverzekeringen en pensioenen;
hoofdlijnen van het toezichtrecht;
hoofdlijnen van het pensioenrecht: aan bod komen de Pensioenwet, de verplichtstelling en de rechten en plichten van deelnemer, werkgever en pensioenuitvoerder.
Verplichte voorkennis
Proficiency in Dutch as the course is taught in Dutch.
Werkvorm
Wekelijks drie uur hoorcollege van verschillende experts en twee uur werkcollege.
€1.200
Klassikaal
max 30
WO
Asset Liability Management - Cases
eerdoelen
In this hands-on seminar the students will learn about practical implementation of an Asset Liability Management study focusing on the match between investment policies and liabilities. It involves theoretical aspects such as asset dynamics and liability modelling, numerical aspects like Monte Carlo simulation as well as practical communication and team working skills.
Inhoud
The following topics are addressed:
Modelling the market value of liabilities including options and guarantees;
optimisation of the strategic asset allocation when liabilities are present;
generating an economic scenario set;
hedging in an incomplete insurance market;
current issues in the field of ALM.
Aanbevolen voorkennis
The course leans heavily on the MSc courses Risk Management for Insurers and Pensions and Financial Mathematics for Insurance.
Werkvorm
One three-hour lecture / interactive presentation / discussion per week (compulsory). One two-hour tutorial per week. The tutorials consist of practical work on ALM and guidance for the programming language R. A laptop with R installed is necessary for this.
Collection of recent academic papers, available on Canvas;
compulsory background material: Hull, J.C. (2011). Options, Futures and other Derivatives: Global Edition . Pearson, 8th edition, ISBN: 9780273759072 (c. €90).
Toetsing en toetsdata
The examination consists of:
Final examination (written examination, open questions, 60%, 3 hours);
cases (in groups, 40%).
The separate grades for the final examination and the cases must be at least a 5.0 to pass the course. The resit has the same format as the final examination. In case of a resit the results for the cases remain valid (in the academic year in which the course is taken). Failing the cases part means failing the course.
For examination dates, please go to UvA Timetable and the UvA Economics and Business academic calendar.
€1.200
Klassikaal
max 30
WO
Non-Life Insurance: Statistical Techniques
Leerdoelen
After successful completion of this course students will be able to:
Understand the theory and motivation behind Generalized Linear Models (GLMs), state the basic components of a GLM and apply GLMs to actuarial problems;
understand the theory and motivation behind IBNR models, list some commonly used IBNR models and understand their connection to GLMs and apply them to actuarial problems;
understand the basics of credibility theory and its applications to actuarial problems;
implement the studied concepts and techniques in R.
Inhoud
In this course many statistical techniques that can be applied in non-life insurance are studied. The first is Generalized Linear Models. GLMs are regression models in which the error is allowed, for example Poisson or gamma instead of Gaussian, and in which the volatility may depend on the mean. Such models have many actuarial applications. Also IBNR models are studied. Their purpose is to predict future payments on claims regarding events that have occurred in the past but are not yet (fully) known to the insurer. Another topic is the credibility theory which can be described as using least squares theory to predict claims for sectors of a portfolio, using both sector and company data. Apart from the theory the implementation of the techniques in R is studied and practised.
Aanbevolen voorkennis
The student might want to refresh his/her knowledge about basic linear regression as well as the material in Ch. 1-4+6 of the textbook Modern Actuarial Risk Theory-Using R. Basic knowledge about probability & statistics as well as a working knowledge of the software R, are expected beforehand.
AanmeldenWerkvorm
Three-hour lectures and three-hour computer classes each week.
€1.200
Klassikaal
max 30
WO
Non-Life Insurance: Statistical Techniques
Leerdoelen
After successful completion of this course students will be able to:
Understand the theory and motivation behind Generalized Linear Models (GLMs), state the basic components of a GLM and apply GLMs to actuarial problems;
understand the theory and motivation behind IBNR models, list some commonly used IBNR models and understand their connection to GLMs and apply them to actuarial problems;
understand the basics of credibility theory and its applications to actuarial problems;
implement the studied concepts and techniques in R.
Inhoud
In this course many statistical techniques that can be applied in non-life insurance are studied. The first is Generalized Linear Models. GLMs are regression models in which the error is allowed, for example Poisson or gamma instead of Gaussian, and in which the volatility may depend on the mean. Such models have many actuarial applications. Also IBNR models are studied. Their purpose is to predict future payments on claims regarding events that have occurred in the past but are not yet (fully) known to the insurer. Another topic is the credibility theory which can be described as using least squares theory to predict claims for sectors of a portfolio, using both sector and company data. Apart from the theory the implementation of the techniques in R is studied and practised.
Aanbevolen voorkennis
The student might want to refresh his/her knowledge about basic linear regression as well as the material in Ch. 1-4+6 of the textbook Modern Actuarial Risk Theory-Using R. Basic knowledge about probability & statistics as well as a working knowledge of the software R, are expected beforehand.
AanmeldenWerkvorm
Three-hour lectures and three-hour computer classes each week.
€1.200
Klassikaal
max 30
WO