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Mathematics in Finance and Insurance - NFAP004

Title:	Matematika ve financích a pojišťovnictví
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2018
Semester:	both
E-Credits:	6
Hours per week, examination:	4/0, Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	cancelled
Language:	Czech
Teaching methods:	full-time
Teaching methods:	full-time
Note:	you can enroll for the course in winter and in summer semester

Guarantor:	prof. RNDr. Tomáš Cipra, DrSc.
Classification:	Mathematics > Financial and Insurance Math.
Interchangeability :	NMFM205, NMFM437
Is incompatible with:	NFAP031, NFAP002
Is interchangeable with:	NFAP031

Opinion survey results Examination dates Schedule Noticeboard

Annotation -

Last update: G_M (02.06.2010)

Survey of modern methods of financial and insurance calculations applied in financial and insurance practice: types of interest compounding, annuities, systems of cash flows, investment rules, short-term and long-term securities, bonds, stocks and stock exchange indicators, derivative securities, financial risk, speculation on securities, portfolio theory, CAPM model, basic insurance principles, Life Tables, calculations in life insurance, pension insurance. In the summer semester, the course is in English.

Aim of the course -

Last update: T_KPMS (09.05.2008)

The students should master basic procedures of modern financial and insurance mathematics and solve simple problems of financial and insurance practice.

Literature - Czech

Last update: prof. RNDr. Tomáš Cipra, DrSc. (09.09.2013)

Cipra, T.: Matematika cenných papírů. Professional Publishing, Praha 2013.

Cipra, T.: Praktický průvodce finanční a pojistnou matematikou. Ekopress, Praha 2005.

Cipra, T.: Financial and Insurance Formulas. Springer, Heidelberg 2010.

Cipra, T.: Finanční ekonometrie. Ekopress, Praha 2008.

Cipra, T.: Kapitálová přiměřenost ve financích a solventnost v pojišťovnictví. Ekopress, Praha 2002.

Cipra, T.: Finanční a pojistné vzorce. Grada, Praha 2006.

Cipra, T.: Pojistná matematika: teorie a praxe. Ekopress, Praha 2006.

Cipra, T.: Zajištění a přenos rizik v pojišťovnictví. Grada, Praha 2004.

Cipra, T.: Penze: kvantitativní přístup. Ekopress, Praha 2012.

Cipra, T.: Penzijní pojištění a jeho výpočetní aspekty. HZ, Praha 1996.

Teaching methods -

Last update: G_M (27.05.2008)

Lecture.

Syllabus -

Last update: T_KPMS (13.05.2010)

1. Simple interest and discount, calendar conventions.

2. Discount securities (bills of exchange, T-bills, checking account).

3. Compound interest and discount, continuous and random compounding. Inflation.

4. Systems of cash flows and investment rules.

5. Annuities, perpetuities and deferred annuities.

6. Amortization of debt.

7. Bonds (types of bonds, bond pricing, yield curve, duration).

8. Stocks (stock pricing, stock analysis, rights issue).

9. Derivative securities (forwards, futures, swaps, options).

10. Speculation on securities, security exchanges, market indicators.

11. Financial risk and portfolio analysis, CAPM model.

12. Insurance classification.

13. Life Tables, commutation functions.

14. Calculation of life insurance premiums.

15. Pension insurance.