STOCHASTIC FINANCE 2 [ LACTU2240 ]
5.0 crédits ECTS
30.0 h
2q
| Teacher(s) |
Ars Pierre ;
Devolder Pierre ;
|
| Language |
English
|
Place
of the course |
Louvain-la-Neuve
|
| Main themes |
The first part is devoted to the application of option theory to the value of life insurance contracts (contract with a guaranteed rate or unit linked contracts). The second part is an introduction to stochastic optimal control and its actuarial applications.
|
| Aims |
The aim of this course is to apply the methods of stochastic finance in insurance and pension funds. At the end of the course, the students must be able to apply the concepts of quantitative finance to various concrete problems of insurance
|
| Content |
Content
The following topics will be developed:
Part 1 / STOCHASTIC METHODS OF VALUATION
1. Classical actuarial valuation
2. Deflators, discounting and fair value
3. Life insurance with participation
4. Unit linked insurance
5. Look back options and pricing
6. Valuation of the surrender option
7. Option on annuity
PART 2 / STOCHASTIC CONTROL
1. Presentation of the financial market
2. Introduction to stochastic control
3. Dynamic optimization in continuous time
4. Introduction to Malliavin calculus
5. Actuarial applications
Methods
In-class activities
X0 Lectures
X0 Exercices/PT
At home activities
X0 Exercices to prepare the lecture
X0 Paper work
|
| Other information |
Evaluation : Class participation and written examination, in French
Support : Slides provided through icampus
|
Cycle et année
d'étude |
> Master [120] in Business engineering
> Master [120] in Business Engineering
> Master [120] in Actuarial Science
> Certificat d'université : Finance quantitative et ALM
|
Faculty or entity
in charge |
> LSBA
|
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