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Quantitative Modelling Techniques for Finance and Actuarial Sciences (Level 3)

Key Information

Module code
ISSU0083
Taught during
Session One
Module leader
Dr Codina Cotar, Dr Matina Rassias, Dr Niloufar Abourashchi
Pre-requisites
Yes. Please refer to module pre-requisites below.
Assessment method
Quiz (20%), Exam (80%)
Download syllabus (PDF)

Module overview

The implementation of sound quantitative actuarial models is a vital task to assess risk in insurance, finance and other industries and professions. This course provides a self-contained introduction to both theoretical and practical implementation of various quantitative modelling techniques applicable to finance and insurance. We combine diverse quantitative disciplines, from probability to statistics, from actuarial science to quantitative finance. Students will be able to apply the acquired knowledge to evaluate various insurance products.

Learning outcomes

Upon successful completion of this module, students will:

  • Describe and apply the principles of actuarial modelling in an insurance framework
  • Describe the general principles of stochastic processes, and their classification into different types
  • Define and apply Markov chains and Markov processes
  • Describe the concept of survival models; Describe the estimation method for life time distributions
  • Derive maximum likelihood estimators for the transition intensities in models of transfers between states with piecewise constant transition intensities; Describe how to estimate transition intensities depending on age, exactly or using the census approximation

Module prerequisites

This is a level three module (equivalent to third year undergraduate). In addition to the standard UCL Summer School entry criteria, applicants will be expected to have completed a minimum of two years of undergraduate study in a quantitative subject at the time of joining the UCL Summer School

Module hours

Classes (usually three or four hours per day) take place on the Bloomsbury campus from Monday to Friday any time between 9am and 6pm.

Assessment

  • Online quiz (20%)
  • Final exam (80%)

Module leader

Application information

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