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Prof. Cinzia Di Palo

Aims: This course aims at providing students with the basic knowledge of actuarial and financial aspects of mathematics, particularly with regard to the management of pension funds. Students should develop a thorough understanding of the basic concepts and technicalities and learn to apply them in real-world examples.

ECTS: 5

Prerequisites: Good knowledge of calculus and financial mathematics.

Contents:

- Basic concepts of probability theory (probability distributions, conditional probabilities, expected value, variance).

- Basics of risk identification, risk assessment, and risk management actions.

- Brief review on annuities. Life annuities under uncertainty. Survival functions and life tables. Premiums and reserves.

- Pension funds (characteristics, financing management and pension benefits calculation). Concepts of liability, unfunded liability and sustainability.

- Introduction to Asset Liability Management (ALM). ALM for pension funds by means of actuarial projections. Logical condition of equilibrium.

Textbooks:

Olivieri, Pitacco, Introduction to Insurance Mathematics. Technical and Financial Features of Risk Transfer, Springer, 2011.

Notes and further references will be provided during the lectures.

Teaching and examination methods: Lectures and exercises. Oral exam.

[Ultima modifica: mercoledì 30 novembre 2016]