In this course we will …

In this course we will describe, model and analyze complex and composite phenomena which comprise both insurance related and financial related risks. We will show how to make theoretical models operational by IT computing. The phenomena that we study represent “real life” problems that life insurance providers and pension funds are exposed to.

The teaching comprises a mixture of theory and exercises, including extensive computer based modeling for computational purposes.

In order to benefit from the course, students are strongly encouraged to put extensive effort into solving the exrecises. The syllabus is defined as theory covered in the classes.

There is no fixed textbook that matches the syllabus, but various references and notes will be provided during the course. As of Monday 13 February the theory in Bølvikens notes “Life and stat-dependant insurance” has been covered.

In the next couple of classes we will cover the theoretical foundation for financial risk. We will then move on to combining insurance and financial risks, which is the core of the course.

The specific content of the classes Monday 20 February is covered by the note “Aksjekurser som GBM.pdf” which is distributed on the course’s home site.