Module Details |
The information contained in this module specification was correct at the time of publication but may be subject to change, either during the session because of unforeseen circumstances, or following review of the module at the end of the session. Queries about the module should be directed to the member of staff with responsibility for the module. |
Title | FINANCIAL AND ACTUARIAL MODELLING IN R | ||
Code | MATH377 | ||
Coordinator |
Dr J Yslas Altamirano Mathematical Sciences Jorge.Yslas-Altamirano@liverpool.ac.uk |
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Year | CATS Level | Semester | CATS Value |
Session 2021-22 | Level 6 FHEQ | Second Semester | 15 |
Aims |
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1.To give a set of applicable skills used in practice in financial and insurance institutions. To introduce students to specific programming techniques that are widely used in finance and insurance. 2.To provide students with a conceptual introduction to the basic principles and practices of the programming language R and to give them experience of carrying out calculations introduced in other modules of their programmes. 3.To develop the abilities to set standard financial and insurance models in order to manage the risk of the cash flow of financial and insurance companies, reserve, portfolio etc. 4.To develop the awareness of statistical and numerical limitations of financial and actuarial models and to know about modern approaches to tackle these limitations. |
Learning Outcomes |
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(LO1) To be able to import Excel files into R. |
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(LO2) To know how to create and compute standard functions and how to plot them. |
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(LO3) To be able to define and compute probability distributions and to be able to apply their statistical inference based on specific data sets and/or random samples. |
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(LO4) To know how to apply linear regression. |
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(LO5) To be able to compute aggregate loss distributions/stochastic processes and to find the probability of ruin. |
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(LO6) To know how to apply Chain Ladder and other reserving methods. |
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(LO7) To know how to price general insurance products. |
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(LO8) To be able to compute binomial trees. |
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(LO9) To know how to apply algorithms for yield curves. |
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(LO10) To be able to apply the Black-Scholes formula. |
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(LO11) To know how to develop basic Monte Carlo simulations. |
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(S1) Numeracy |
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(S2) Problem solving skills |
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(S3) Communication skills |
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(S4) IT skills |
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(S5) Organisational skills |
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(S6) Commercial awareness |
Syllabus |
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1. Fundamentals. 3.1 General insurance pricing 4.1 Market portfolio and CAPM |
Recommended Texts |
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Reading lists are managed at readinglists.liverpool.ac.uk. Click here to access the reading lists for this module. |
Pre-requisites before taking this module (other modules and/or general educational/academic requirements): |
Co-requisite modules: |
Modules for which this module is a pre-requisite: |
Programme(s) (including Year of Study) to which this module is available on a required basis: |
Programme(s) (including Year of Study) to which this module is available on an optional basis: |
Assessment |
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EXAM | Duration | Timing (Semester) |
% of final mark |
Resit/resubmission opportunity |
Penalty for late submission |
Notes |
Final Assessment open book and remote Standard UoL penalty applies for late submission. This is not an anonymous assessment. Assessment Schedule (When) :Semester 2 | 1 hour time on task | 50 | ||||
CONTINUOUS | Duration | Timing (Semester) |
% of final mark |
Resit/resubmission opportunity |
Penalty for late submission |
Notes |
class test Standard UoL penalty applies for late submission. This is an anonymous assessment. Assessment Schedule (When) :Semester 2 | around 60-90 minutes | 50 |