Number of hours
- Lectures 18.0
- Projects -
- Tutorials -
- Internship -
- Laboratory works -
- Written tests -
ECTS
ECTS 3.0
Goal(s)
This course aims to study risk measures and their use in portfolio optimization, and to study the so-called variable annuities (GMXB).
Responsible(s)
Christophe DUTANG
Content(s)
Risk measure
Notation
Usual risk measures
Order induced by risk measure
Portfolio optimization
Pricing variable annuities
Actuarial notation
Typical guarantees
Explicite pricing
Numerical method for pricing
Advanced topics
PSAF, IPD
Test
Evaluation : 50% of Participation et assiduité and 50% of Examen Ecrit (2h)
Resit : 30% of Participation et assiduité (reported score) and 70% of Examen Ecrit (1h30)
Calendar
The course exists in the following branches:
- Curriculum - Financial Engineering - Semester 9
Additional Information
Course ID : WMMFMA41
Course language(s): 
You can find this course among all other courses.
Bibliography
Règlementation Bale III, Bank for international Settlements (2017)
Mathématiques de l’assurance non-vie Tome 1, Charpentier & Denuit (2004)
Actuariat & finance: derivatives, quantitative models and risk management, Boudreault & Renaud (2019)