Courses – Fakultet tehničkih nauka u Novom Sadu

Subject: Financial Engineering and Loss Reserving (17.0M547)

Type of studies	Title
Master Academic Studies	Mathematics in Engineering (Year: 2, Semester: Winter)

General information:

Category	Professional-applicative
Scientific or art field	Finansijska i aktuarska matematika Teorijska i primenjena matematika
ECTS	6

Mastering students with theoretical and applied knowledge in mathematics, risk theory and financial models that are needed to evaluate assets and liabilities, including a set of conceptual and practical computing tools, that are particularly important for the automatic execution of complex calculations on large data sets.

Acquired knowledge is the basis for understanding the valuation techniques of the assets and liabilities of the insurer. Students can apply appropriate methods and financial and mathematical models of risk assessment and loss reserving with software tools, as well as to analyze the solutions and make recommendations and decisions. These skills are also needed to co-operate with other financial professionals as well as a critical assessment of modern financial theory.

Data analysis and modeling basics. Mathematical models in insurance. Computer techniques in the actuarial.Financial models. Risk theory, risk measures and risk modeling. Stochastic and deterministic models. Valuation of assets. Liability valuation. Portfolio theory. The theory of ruin. Methods and models for determining loss reserving with the application. Artificial intelligence and actuarial models.

Lectures. Consultations. Assesment: combination of a computer based modelling assignment with actuarila tools and optional tasks with additional points. The part of the material (that makes logical unit) is seminar paper and obligatory orally presented. Part of the materials that makes logical unit can be taken as partial exam that are part of the exam. Partial exam is in written form. The oral part of the final exam is eliminatory.

Authors	Title	Year	Publisher	Language
McNeil et al.	Quantitative risk management	2005	Princeton and Oxford	English
Aven, T.	Quantitative Risk Assessment : The Scientific Platform	2011	Cambridge University Press, Cambridge	English

Course activity	Pre-examination	Obligations	Number of points
Oral part of the exam	No	Yes	15.00
Term paper	Yes	No	0.00
Lecture attendance	Yes	Yes	5.00
Written part of the exam - tasks and theory	No	Yes	40.00
Project task	Yes	Yes	40.00
Homework	Yes	No	0.00