SubjectsSubjects(version: 953)
Course, academic year 2023/2024
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Mathematics in Finance and Insurance - NMFM205
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: winter
E-Credits: 6
Hours per week, examination: winter s.:4/0, Ex [HT]
Capacity: unlimited
Min. number of students: unlimited
4EU+: no
Virtual mobility / capacity: no
State of the course: taught
Language: Czech
Teaching methods: full-time
Teaching methods: full-time
Guarantor: prof. RNDr. Tomáš Cipra, DrSc.
Class: M Bc. FM
M Bc. FM > Povinné
M Bc. FM > 2. ročník
Classification: Mathematics > Financial and Insurance Math.
Pre-requisite : {One 1st year course in Analysis or Calculus}
Incompatibility : NMFM437, NMFM438
Is incompatible with: NMFM438, NMFM437
Is interchangeable with: NMFM438, NFAP004, NMFM437
Annotation -
Required course for bachelor's program in Financial mathematics. Survey of modern methods of financial and insurance calculations applied in financial and insurance practice.
Last update: G_M (15.05.2012)
Aim of the course -

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

Last update: G_M (24.04.2012)
Course completion requirements -

Exam:

1. Possibility of written exam test: 5 numerical examples covering the course; only one term for this test in the end of semester; a correction is possible by means of an oral exam.

2. Otherwise the oral exam with requirements corresponding to the syllabus of the course.

Last update: Zichová Jitka, RNDr., Dr. (02.05.2023)
Literature - Czech

Cipra, T.: Praktický průvodce finanční a pojistnou matematikou. Ekopress, Praha 2015 (2.vydání) (také anglicky: Practical Guide to Financial and Insurance Mathematics. Ekopress, Praha 2020).

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

Cipra, T.: Finanční a pojistné vzorce. Grada Publishing, Praha 2006 (také anglicky: Financial and Insurance Formulas. Springer, Heidelberg 2010).

Cipra, T.: Finanční ekonometrie. Ekopress, Praha 2013 (2.vydání).

Cipra, T.: Riziko ve financích a pojišťovnictví: Basel III a Solvency II. Ekopress, Praha 2015.

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.

Last update: Cipra Tomáš, prof. RNDr., DrSc. (04.09.2023)
Teaching methods -

Lecture.

Last update: G_M (24.04.2012)
Requirements to the exam -

1. Possibility of written exam test: 5 numerical examples covering the course; only one term for this test in the end of semester; a correction is possible by means of an oral exam.

2. Otherwise the oral exam with requirements corresponding to the syllabus of the course.

It is probable that a part of exams will be possible in a distance form. It depends on the actual situation and you will be informed on all changes in time.

Last update: Zichová Jitka, RNDr., Dr. (02.05.2023)
Syllabus -

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, real interest rate.

4. Time value of money. Systems of cash flows. 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, stock indices.

11. Financial risk. Portfolio analysis. Diversification. CAPM model.

12. Insurance classification.

13. Life Tables, commutation functions.

14. Basic calculation in life insurance.

15. Basic calculation in non-life insurance.

16. Pension insurance.

Last update: Cipra Tomáš, prof. RNDr., DrSc. (04.09.2023)
Entry requirements -

Basic knowledge of mathematical statistics and theory of probability.

Last update: Cipra Tomáš, prof. RNDr., DrSc. (24.04.2018)
 
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