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Risk modeling in finance and insurance 15 credits

About the course

This course aims to provide knowledge in both the theoretical foundation and the practical application of quantitative methods used in finance and insurance.

The course begins with a study of the statistical properties of financial time series together with one- and multidimensional models that are used for analysing and simulating such series.

Thereafter, risk modelling in life and non-life insurance are studied. In this setting, among other things, risk measures, life length theory, interest rate sensitivity, and distributions for the number of events and their amounts are studied, as well as calculations of risk capital according to Solvens 2,and how risk capital is calculated in accordance with the risk framework Solvency 2. Finally, machine learning methods are applied on practical problems within finance and insurance.

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