Class 17 - RISK MEASURES

29 Abril 2020, 11:00 • MARIA DE LURDES CARAÇAS CENTENO

6.        RISK MEASURES

6.1            Coherent risk measures

6.2            Value at Risk (VaR)

6.3            Tail Value at Risk (TVaR)

6.4            Conditional Tail Expectation (CTE)

6.5            Expected Shortfall (ES)

 

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Class 16 - PREMIUM PRINCIPLES

27 Abril 2020, 11:00 • MARIA DE LURDES CARAÇAS CENTENO

 

5.        PREMIUM PRINCIPLES

5.1            Some premium calculation principles

5.2            Properties

 

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Class 15 -Exercises

22 Abril 2020, 11:00 • MARIA DE LURDES CARAÇAS CENTENO

Exercises. 

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Class 14 - Discretization; NP approximation

20 Abril 2020, 11:00 • MARIA DE LURDES CARAÇAS CENTENO

Arithmetic Distributions.

The NP approximation.

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Claas 13- Recursive Method

15 Abril 2020, 11:00 • MARIA DE LURDES CARAÇAS CENTENO

 

4.4 The aggregate claim distribution

4.4.1 Introduction

4.4.2 Recursive method

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