Risk Models (MR-CA)

Área

AC Matemática > UC Mestrados

Activa nos planos curriculares

Actuarial Science > Actuarial Science > 2º Ciclo > Unidades Curriculares Obrigatórias > Risk Models

Nível

2º Ciclo (M)

Tipo

Não Estruturante

Regime

Semestral

Carga Horária

Aula Teórica (T): 0.0 h/semana

Aula TeoricoPrática (TP): 3.5 h/semana

Trabalho Autónomo: 122.5 h/semestre

Créditos ECTS: 6.0

Objectivos

The student is expected:
- To use statistical methods to define and estimate models adequate to model claims behaviour or other relevant aspects of the actuarial work.
- To understand the assumptions implicit in each statistical technique.
- To recognize which assumptions and statistical technique are appropriate to solve a given problem.

Programa

- Review of Basic statistical concepts
- Non-parametric estimation
- Frequentist estimation
- Bayesian estimation
- Model Selection
- Simulation and Bootstrap

Metodologia de avaliação

The curricular unit will be taught by mean of theoretical-practical lectures using slides to underline the main points and using a computer to solve some examples. Student's autonomous work is a main point of teaching methodologies. Students must also solve a set of exercises. The final grade, on the scale of 0 to 20, is assigned on the basis of a written exam (70%) and an exam using the computer (30%) based on EXCEL and R.

Bibliografia

Principal