Sumários

Mean-Variance Analysis

27 Novembro 2025, 08:00 • TIAGO MARQUES FARDILHA

Mean-variance analysis for ALM: deduction of the minimum risk portfolio, optimal portfolio of risky assets and the optimal portfolio with a risk-free asset using Lagrangian constrained minima. Efficient frontier of risky assets. Expected values and variances of the portfolios above.

Loss Portfolio Transfer and Adverse Development Cover. Introduction to Modern Portfolio Theory.

20 Novembro 2025, 08:00 • TIAGO MARQUES FARDILHA

Definition of Loss Portfolio Cover and Adverse Development Cover. Effects on solvency requirements. Examples of concrete contract clauses and concrete run-off scenarios using R.

Introduction to Modern Portfolio Theory: Assumptions, notation and Laplace mininization. Example on constructing a correlation matrix on three currencies based on historical data.

Reinsurance: Main risks and grand example

13 Novembro 2025, 08:00 • TIAGO MARQUES FARDILHA

Discussion of main risks involved in Reinsurance. Example using R on modeling number and severity of claims of a line of business. Example of a reinsurance contract on that line of business, using quota share and excess of loss with a loss corridor clause.

Reinsurance - risks, types and examples

6 Novembro 2025, 08:00 • TIAGO MARQUES FARDILHA

Definitions of reinsurance. Types of reinsurance: proportional (quota share and surplus) and non-proportional (exces of loss and stop loss). Risks in reinsurance contracts (from the point of view of the reinsured), including sunset clauses and loss corridors. Example on a loss corridor clause.

Risk measures. Introduction to reinsurance.

30 Outubro 2025, 08:00 • TIAGO MARQUES FARDILHA

Value at Risk and Tail Value at Risk: Characterization, advantages and disadvantages. Example using R.

Coherent risk measures. Spectral risk measures.

Introduction to reinsurance: Definition and examples. Motivation. Different types of reinsurance.