2 hours lecture+1 hour exercise (6 ECTS)
Participants should be familiar with the principles of financial economics and with financial models. Familiarity with Risk Theory is an advantage but not a prerequisite.
The aim of the course is to discuss topics from the recent journal literature in the area of insurance and quantitative finance. The general focus of the course is on the differences and relations between finance and insurance. The lecture will in most parts be based on recent journal papers of which a list will be provided.
The contents of this course may change from year to year, depending on recent developments. Some examples of subjects are the following:
- Optimal Control Theory
- Allocation of risk capital
- Decision under uncertainty
- Risk measures
- Pricing in incomplete markets
- Pricing of insurance products
Students are expected to participate actively in lectures and tutorials.
selected journal papers