OVERVIEW

The teaching unit offers topics in classical financial mathematics and actuarial mathematics.

AIMS AND CONTENT

LEARNING OUTCOMES

The teaching unit contributes at providing the students with mathematical tools to formalize and model financial transactions, both certain and random, as well as the main life insurance operations.

AIMS AND LEARNING OUTCOMES

At the end of the teaching unit, the student will be able to:

- Apply the main techniques of classical financial mathematics to the evaluation of financial transactions under standard conditions;

- Analyze and solve problems related to life insurance contracts using basic actuarial models;

- Calculate present and future values of financial flows in different capitalization regimes, given the required parameters

PREREQUISITES

Basic knowledge of general mathematics is required.

TEACHING METHODS

Students with disabilities, SLD or SEN

Students with disabilities, with SLD or with SEN are reminded that, to request exam accommodations, they must first upload their certification to the University website at servizionline.unige.it<https://servizionline.unige.it/>, in the “Students” section. The documentation will be checked by the University’s Services for the Inclusion of Students with Disabilities and with SLD.

At the beginning of the course, students are advised to contact the lecturer to agree on exam arrangements which, while respecting the learning objectives of the course, take individual learning needs into account.

To request compensatory tools or dispensatory measures, students with disabilities or SLD must fill in the dedicated Webform available athttps://unige.it/disabilita-dsa, at least 7 working days before the exam.

Students with SEN may instead send their request by e-mail to the lecturer, copying the Department Representative, Prof. Elena Lagomarsino, atinclusione.economia@unige.it<mailto:inclusione.economia@unige.it>, and the Inclusion Office atinclusione.studenti@info.unige.it<mailto:inclusione.studenti@info.unige.it>.

Requests from students will be assessed by the lecturer and may be approved or rejected.

SYLLABUS/CONTENT

Part I: Theory of financial laws. Uniform financial laws over time, laws additive with respect to capital, decomposable and separable laws. Main financial regimes. Simple interest. Compound capitalization, mixed and exponential conventions. Continuous capitalization. Commercial discount, rational discount, and compound discount. Present and discounted values. Capitalization and discount factors. Separability. Equivalent interest and discount rates. Nominal annual interest and discount rates convertible k times per year. Corresponding rates. Average rate. Part II: Discrete certain annuities and their evaluation. Introduction to continuous annuities and their evaluation. Part III: Amortization of a single loan and capital formation. Amortization and capital formation under compound capitalization. Amortization payments, principal and interest components. Extinguished and outstanding debt. Various amortization methods. Introduction to amortization and capital formation under continuous capitalization. Evaluation of single loans. Value, bare ownership, and usufruct. Part IV: Loans divided into securities. Securities with full capitalization. Securities with coupons redeemable at a certain maturity. Effective interest rate of the entire loan. Evaluation of divided loans. Price and yield of securities redeemable at a certain maturity. Volatility of a security. Part V: Term structure of interest rates. Part VI: Random financial transactions. Introduction to the choice among random financial transactions. Some life insurance operations. Premiums.

RECOMMENDED READING/BIBLIOGRAPHY

Specific information on the reference bibliography will be provided by the instructor at the beginning of the lessons and published on Aulaweb

TEACHERS AND EXAM BOARD

LESSONS

LESSONS START

Lessons will start in the first semester. For the exact date, please refer to the lesson calendar published on the Department website.

Class schedule

The timetable for this course is available here: Portale EasyAcademy

EXAMS

EXAM DESCRIPTION

The exam will be oral

ASSESSMENT METHODS

The exam will be oral with questions aimed at evaluating knowledge and skills, in particular:
- the ability to apply financial mathematics techniques to specific problems;
- clarity of exposition and correct use of terminology;
- the ability to analyze and solve basic actuarial problems

FURTHER INFORMATION

Please contact the instructor for further information not included in the teaching unit description.