OVERVIEW

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.

AIMS AND CONTENT

LEARNING OUTCOMES

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

AIMS AND LEARNING OUTCOMES

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
   

PREREQUISITES

Students are supposed to be at MSc level, with at least basic knowledge of Calculus and Statistics.

TEACHING METHODS

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.

SYLLABUS/CONTENT

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)

RECOMMENDED READING/BIBLIOGRAPHY

 Classes materials will be made available on the Aulaweb site of the course.

TEACHERS AND EXAM BOARD

Exam Board

MARINA RESTA (President)

ESTER CESARINA LARI

MARINA RAVERA

LESSONS

LESSONS START

Sem: I

Class schedule

QUANTITATIVE METHODS FOR FUND ACTUARIAL PRICING

EXAMS

EXAM DESCRIPTION

Oral final examination.

ASSESSMENT METHODS

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.

Exam schedule

FURTHER INFORMATION