- WMMFMA41

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 : 40% of Participation et assiduité and 60% of Examen écrit (2h)

Resit : 30% of Participation et assiduité (reported score) and 70% of Examen écrit (1h30)

In the first session, the course unit grade (N1) is the weighted average of the continuous assessment (CC) and the final exam (ET1). The continuous assessment (CC) will take into account class participation and the submission of assignments on Teide. The final exam (ET1) will be a 2-hour individual written exam held in a standard classroom.

In the second session, assessment will be based on a 1.5-hour exam (ET2), with the continuous assessment grade carried over.

Authorized materials: one handwritten A4 summary sheet

Unauthorized materials: any other documents or equipment

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)