Sumários
Insurance derivatives and mean-variance theory
23 Setembro 2011, 10:00 • Walther Neuhaus
Reinsurance and insurance derivatives
Mean-variance theory for ALM
Practical exercises for lectures 1-3
Term structure models and risk measurement
22 Setembro 2011, 08:30 • Walther Neuhaus
Stochastic term structure models
Simulation of the term structure
Risk calibration and measurement
Introduction and interest rates
20 Setembro 2011, 12:00 • Walther Neuhaus
Introduction, why ALM
Basic interest rate theory
Yield curve, forward rates
Interest rate risk management
Matching and immunisation
Introduction and interest rates
20 Setembro 2011, 10:00 • Walther Neuhaus
Introduction, why ALM
Basic interest rate theory
Yield curve, forward rates
Interest rate risk management
Matching and immunisation