A short course at the Department of Mathematics

Ermanno Pitacco

Ermanno Pitacco
(Università di Trieste)
Personal website
Bio Ermanno Pitacco is full professor of Actuarial Mathematics and Life Insurance Technique in the University of Trieste, and academic director of the Master in Insurance and Risk Management in the MIB School of Management in Trieste. He is an actuary and a member of several actuarial associations and committees, among which the Actuarial Association of Europe, the AFIR/ERM Section of the International Actuarial Association (ICA) and the Mortality Working Group of the ICA. He is editor of the Springer Actuarial Series, and coeditor or associate editor of several journals in the field of actuarial mathematics and insurance. Main fields of scientific interest are: life and health insurance mathematics, longevity risk, portfolio valuations. He authored or co-authored papers and textbooks in the field of actuarial mathematics and actuarial techniques. He was awarded with the 1996 INA prize for Actuarial Mathematics from Accademia Nazionale dei Lincei, and the 2011 Bob Alting von Geusau Memorial Prize, together with Annamaria Olivieri, for the best paper published in the ASTIN Bulletin on an AFIR related topic: "Stochastic Mortality: the Impact on Target Capital".

Aims and Prerequisites

This couse aims at introducing technical and financial aspects of the insurance business, with a special emphasis on the actuarial valuation of insurance products.

The course has been planned assuming as target students:

  • advanced undergraduate and master students in Mathematics and Data Science, having attended courses providing basic notions of Financial Mathematics (interest rates, compound interest, present values, accumulations, annuities, etc.);
  • advanced undergraduate and master students in Economics, Business and Finance, with basic competence in Probability (probability distributions, conditional probabilities, expected value, variance, etc);
  • professionals and technicians operating in insurance and pension areas, whose job may regard investments, risk analysis, financial reporting, and so on, hence implying communication with actuarial professionals and managers.

Content

  1. Stochastic Models (by Prof. Stefano Bonaccorsi)
    1. Markov Processes
    2. Semi-Markov Processes
  2. Actuarial Mathematics: an Introduction.
    1. Actuarial mathematics: origin, scope, evolution
    2. The mulltistate approach
  3. Multiple State Models For Life And Other Contingencies: the Time-Continuous Approach
    1. Evolution of a risk: states, transitions, cash-flows
    2. Applications to insurances of the person
    3. The time-continuous Markov model
    4. The semi-Markov model
    5. Splitting of states
    6. Finding transition probabilities
    7. Increment-decrement tables
  4. Actuarial Values
    1. Premiums, reserves, expected profits
    2. Parametric models for mortality and disability
    3. Examples: life insurance, life annuities, disabilty insurance
    4. Representing the disability process
    5. Distributions of random present values
  5. Multiple State Models For Life And Other Contingencies: the Time-Discrete Approach
    1. Time-discrete models vs time-continuos models
    2. The time-discrete Markov model
    3. Examples

References

  • S. Haberman and E. Pitacco (1999), Actuarial Models for Disability Insurance, Chapman and Hall / CRC (Chaps. 1, 2, 3)
  • E. Pitacco and A. Olivieri (1997), Introduzione alla teoria attuariale delle assicurazioni di persone, Pitagora Editrice, Bologna.

Schedule

  • Monday 2019/02/11 09.00-13.00 (Stefano Bonaccorsi) Room A208
  • Friday 2019/02/15 15.00-19.00 (Ermanno Pitacco) Room A208
  • Monday 2019/02/18 09.00-11.30 (Ermanno Pitacco) Room A102
  • Monday 2019/02/18 11.30-13.00 (Ermanno Pitacco) Room A105
  • Friday 2019/02/22 15.00-19.00 (Ermanno Pitacco) Room A108

Details

  • For further information, please contact Prof. Stefano Bonaccorsi
  • Call: PDF
  • Poster: PDF
  • Venue: Polo Scientifico e Tecnologico F. Ferrari – Room A208 for the first class
  • Language: English
  • Credits:
    • for students of the Department of Mathematics: 3CFU
    • for students of other Departments information should ask to their corresponding organization structure
  • Admission: Course open to max 30 LM students (+ PhD Students)
  • How to apply: Fill the form you find here
  • Deadline: 14 December 2018 23:59 (Italian time)

Admission list

Exams

  • 20 March, 8:30-10:30 @ Povo 1, room A218
  • 05 April, 16:30-18:30 @ Povo 1, room A219

Material (Restricted access, user: SPAS2019)