Mean-variance Analysis

28 Novembro 2024, 08:00 • TIAGO MARQUES FARDILHA

Mean-variance analysis. Optimal portfolio of risky assets with return requirement. Optimal portfolio with a risk-free asset. Optimum asset allocation with hedge.

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Mean variance analysis

21 Novembro 2024, 08:00 • TIAGO MARQUES FARDILHA

Review of Lagrangean minimization. Optimum asset allocation. Minimum Variance Portfolio. Example using historical data on three currencies.

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Reinsurance Examples

14 Novembro 2024, 08:00 • TIAGO MARQUES FARDILHA

Simulating number of claims of a portfolio of insurance policies using the central limit theorem. Simulating the claim severity using a fitted lognormal distribution vs. resampling from the original data. Simulating a case of quota share reinsurance with loss corridor, combined with excess of loss reinsurance on individual claims. Discussion of the final project.

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Reinsurance

7 Novembro 2024, 08:00 • TIAGO MARQUES FARDILHA

Reinsurance: Contract types and form of recovery; premium calculation; quota share and excess of loss; loss corridor; Commutation and finite reinsurance; risks to be aware in connection to reinsurance.

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Risk Measures

31 Outubro 2024, 08:00 • TIAGO MARQUES FARDILHA

Value at Risk. Tail Value at Risk. Coherent risk measures. Spectral Risk measures.

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