Courses Master Display 2019-2020

Course Description To PDF
Course title Topics in Computational Actuarial Methods
Course code EBS4020
ECTS credits 4,0
Assessment Whole/Half Grades
Period
Period Start End Mon Tue Wed Thu Fri
3 14-1-2020 25-1-2020 C
Level Advanced
Coordinator Eric Beutner
For more information: e.beutner@maastrichtuniversity.nl
Language of instruction English
Goals
To provide an understanding of mathematical models useful in actuarial science and their implementation.
Description
The goal of the course is to become familiar with computer based methods useful in actuarial science and financial engineering. The focus of the course will be on Monte Carlo Methods and the Bootstrap. After a general introduction to Monte Carlo Methods we will study variance reducing techniques such as importance sampling and control variates in more detail. To see how these techniques work in practice we will discuss how they can be used in actuarial applications like the calculation of risk measures. Similar, we will first give a general introduction to the Bootstrap. Next, we apply the Bootstrap to actuarial problems like estimation of Value-at-Risk or constructing confidence intervals for the number of claims made per year.
Literature
Research articles and slides of the course.
Prerequisites
Probability Theory and Mathematical Statistics.
Teaching methods PBL / Lecture / Groupwork
Assessment methods Final Paper / Participation
Evaluation in previous academic year For the complete evaluation of this course please click "here"
This course belongs to the following programmes / specialisations
Master Econometrics and Operations Research - Actuarial Sciences Compulsory Skill(s)
Master Econometrics and Operations Research - No specialisation Elective Skill(s)
SBE Exchange Master Master Exchange Skills
SBE Non Degree Courses Master Skills