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Course, academic year 2024/2025
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Some topics on insurance and financial mathematics - NMFM601
Title: Vybrané partie z pojišťovnictví a finanční matematiky
Guaranteed by: Department of Probability and Mathematical Statistics (32-KPMS)
Faculty: Faculty of Mathematics and Physics
Actual: from 2023
Semester: winter
E-Credits: 3
Hours per week, examination: winter s.:2/0, Ex [HT]
Capacity: unlimited
Min. number of students: unlimited
4EU+: no
Virtual mobility / capacity: no
State of the course: taught
Language: Czech, English
Teaching methods: full-time
Guarantor: doc. RNDr. Ing. Miloš Kopa, Ph.D.
Teacher(s): doc. RNDr. Ing. Miloš Kopa, Ph.D.
Class: Pravděp. a statistika, ekonometrie a fin. mat.
Classification: Mathematics > Financial and Insurance Math.
Is interchangeable with: NFAP040, NFAP041
Annotation -
Econometrics and financial processes modelling, Levy processes. Dynamic financial decision problems, dynamic and stochastic programming problems. Modern metods of risk measuring and managing. A course for PhD students.
Last update: T_KPMS (25.04.2016)
Aim of the course -

The aim is to study and analyze advanced special problems of modern financial and insurance mathematics within doctoral studies.

Last update: T_KPMS (06.05.2014)
Course completion requirements -

The course is completed by an exam in the oral form.

Last update: Kopa Miloš, doc. RNDr. Ing., Ph.D. (24.10.2019)
Literature -

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

R. Cont, P. Tankov: Financial Modelling with Jump Processes. Chapman, 2004

H. Föllmer, A. Schied: Stochastic Finance: An Introduction in Discrete Time. Walter de Gruyter, 2002

A. J. McNeil, R. Frey, P. Embrechts: Quantitative Risk Management. Princeton University Press, 2005

G. Ch. Pflug, W. Römisch: Modeling, Measuring and Managing Risk. World Scientific, 2007

R. C. Merton: Continuous-Time Finance. John Wiley & Sons, 1992

A. Shapiro, D. Dentcheva , A. Ruszczyński : Lectures on stochastic programming. Modeling and theory. MPS/SIAM Series on Optimization 9, 2009.

M. V. Wüthrich, M. Mertz: Stochastic Claims Reserving Methods in Insurance. Wiley, Chichester 2008

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

Lecture.

Last update: T_KPMS (06.05.2014)
Requirements to the exam -

The exam requirements correspond to the sylabus and studied literature.

Last update: Kopa Miloš, doc. RNDr. Ing., Ph.D. (24.10.2019)
Syllabus -

Advanced econometric problems and financial processes.

Dynamic financial decision and optimization problems.

Modern methods of modelling, measuring and managing risks.

Last update: T_KPMS (06.05.2014)
Entry requirements -

Only for doctoral study (PhD).

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