The class is aimed to provide the student with basic mathematical techniques of portfolio management, as well as with actuarial methods for the estimation of benefits in pension plans.
The main objective of the course is to provide students with the knowledge and mastery of main quantitative techniques used for financial derivatives pricing, and for the valuation of actuarial items, in the light of the most recent European legislation and principles international accounting
The course is aimed at providing students with the knowledge and mastery at the application level of the main quantitative techniques used for portfolio management and for the assessment of actuarial positions in the light of the most recent European legislation and accounting principles International
Students are supposed to be at MSc level, with at least basic knowledge of Calculus and Statistics.
Lessons held by the instructor, as well as cases study.
Students who have valid certification of physical or learning disabilities and who wish to discuss possible accommodations or other circumstances regarding lectures, coursework and exams, should speak both with the instructor and with Professor Serena Scotto (scotto@economia.unige.it), the Department's disability liaison.
PROGRAM / CONTENTS
Part I,: Portfolio management: a Review.The Markowitz allocation scheme. CAPM and APT. Beyond Markowitz. Practical applications.
Part II: Managing Pension Schemes: General remarks. Methods for calculating pension plans: actuarial and financial aspects. Main funding methods with particular emphasis on the method: Projected Unit Credit (PUC).: The PUC in the context of international accounting discipline (IAS 19)
Classes materials will be made available on the Aulaweb site of the course.
Ricevimento: Office hours will be provided by the instructor directly during the lessons in the winter semester. The instructor can be always contacted by email at the address: marinaDOTrestaATunigeDOTit
MARINA RESTA (President)
ESTER CESARINA LARI
MARINA RAVERA
Sem: I
QUANTITATIVE METHODS FOR FUND ACTUARIAL PRICING
Oral final examination.
The student must be prepared for an oral test consisting of both theoretical questions and simple practical exercises that the applicant can eventually solve by means of a non-graphic calculator.
Questions and exercises are assigned in such a way to cover all the program subjects. In detail, theoretical questions are aimed to evaluate the students' comprehension level of the taught subjects. On the other hand, the exercises are thought to evaluate the students' capability in applying the acquired competences.
Further details about how to get ready for the exam, as well as about the required level of depth for each subject will be given during classes time.
Attendance
Not mandatory
