London, United Kingdom

Quantitative Modelling Techniques for Finance and Actuarial Sciences (Level 3)

online course
when 5 July 2021 - 23 July 2021
language English
duration 3 weeks
credits 7.5 EC
fee GBP 2165

The implementation of sound quantitative actuarial models is a vital task to assess risk in insurance, finance and other industries and professions. This course provides a self-contained introduction to both theoretical and practical implementation of various quantitative modelling techniques applicable to finance and insurance. We combine diverse quantitative disciplines, from probability to statistics, from actuarial science to quantitative finance. Students will be able to apply the acquired knowledge to evaluate various insurance products.

Course leader

Dr Niloufar Abourashchi, Dr Codina Cotar, Dr Matina Rassias

Target group

This is a Level 3 module. Students should have completed a minimum of two years of undergraduate study in a quantitative subject at the time of joining the UCL Summer School.

Course aim

Upon successful completion of this module, students will:

Describe and apply the principles of actuarial modelling in an insurance framework
Describe the general principles of stochastic processes, and their classification into different types
Define and apply Markov chains and Markov processes
Describe the concept of survival models; Describe the estimation method for life time distributions
Derive maximum likelihood estimators for the transition intensities in models of transfers between states with piecewise constant transition intensities; Describe how to estimate transition intensities depending on age, exactly or using the census approximation

Credits info

7.5 EC
7.5 ECTS / 4 US / 15 UCL

Fee info

GBP 2165: Students who study for 6 weeks (2 modules) benefit from a built-in tuition fee discount.
GBP : Students are welcome to apply for accommodation at a UCL summer residence.

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