Semesterside for STK3505 - H?st 2025

• Timeplan i TP
• Pensum/litteratur i Leganto
• Eksamen: Tid og sted

Lectures

• Introduction
• Lecture 1. Time value of money
• Lecture 2. Variable interest/returns
• Lecture 3. Monte Carlo simulation

• Lecture 4. General insurance
• Lecture 5. More on general insurance
• Lecture 6. Life insurance
• Lecture 8. Basic financial derivatives

Data for the exercises

• Belgian fire losses

• New York equity indexes

Compulsory assignment

• Compulsory assignment

Exercises

• Exercises 1. Time value of money
• Solutions-Exercises 1. Time value of money
• Exercises 2. Monte Carlo + Distributions

• Exercises 3. Monte Carlo + Estimation
• Exercises 4. Non life insurance: compound Poisson, reinsurance
• Exercises 5. Life insurance: 2 states

Supplementary Material

• Kernel Density Estimation

• Acceptance-Rejection simulation