RISK MEASURES

8 Maio 2019, 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)

 

---

PREMIUM PRINCIPLES

6 Maio 2019, 11:00 • MARIA DE LURDES CARAÇAS CENTENO

 

5.        PREMIUM PRINCIPLES

5.1            Some premium calculation principles

5.2            Properties

 

---

Exercises

29 Abril 2019, 11:00 • MARIA DE LURDES CARAÇAS CENTENO

Exercises. 

---

Exercises

24 Abril 2019, 11:00 • MARIA DE LURDES CARAÇAS CENTENO

Exercises

---

Approximations

10 Abril 2019, 11:00 • MARIA DE LURDES CARAÇAS CENTENO

The NP approximation. The Translated Gamma approximation

---