Topic outline

• General
  
  

  General

  • Annunci Forum
  • The introductory lecture of the "Data science for Insurance" course will be on Thursday, March 3, in Aula Disegno (Ed. C5), 4pm. 

    The code of the Team in MT is yf8n75u. 

• PART 1 (start: 3-03-22)
  
  

  PART 1 (start: 3-03-22)

  • Syllabus - PART 1 File PDF document

    The syllabus refers to the first part of the course (24 h).

  • Introduction to the course (PART 1) File PDF document
  • Risk, Risk Factors and Loss Distributions File PDF document
  • Risk Measures File PDF document
  • R lab 1 - Rmd file (Updated 10-04-22) Text file
  • R lab 2 File Text file
  • Rmd file: ARMA-GARCH modeling of financial returns Text file
  • Copulas (part I) - updated File PDF document
  • Copulas - part II File PDF document
  • Copula estimation and goodness of fit File Text file

    An example with real data from S&P500 components.

  • Code for slides on copulas File Text file
• Quizzes, open questions and final project template
  
  

  Quizzes, open questions and final project template

  • Self-assessment tests Quiz

    This quiz is intended to give students the opportunity to test and consolidate their knowledge for exam preparation and will not count towards the final grade. 
    

  • Final project example File Text file

    This file is intended to provide students with a general structure for the final project to be discussed in the oral exam session. The data to analyse and the way the specific steps in the statistical modelling are presented is left to the students, but the project must include both the univariate and the copula modelling implemented with R. The final report can be an html document, a .pdf file or other.     
         
  • Open questions File PDF document

    Examples of open questions on financial time series, copula models, risk measures. 

    The exam will include two open questions and a set of TRUE/FALSE questions. 

• Topic 3
  
  

  Topic 3
• Topic 4
  
  

  Topic 4
• Topic 5
  
  

  Topic 5
• Topic 6
  
  

  Topic 6
• Topic 7
  
  

  Topic 7
• Topic 8
  
  

  Topic 8
• Topic 9
  
  

  Topic 9
• Topic 10
  
  

  Topic 10