Topics in Computational Actuarial Methods

Full course description

The goal of the course is to become familiar with computer based methods useful in actuarial science and financial engineering. The focus of the course will be on Monte Carlo Methods and the Bootstrap. After a general introduction to Monte Carlo Methods we will study variance reducing techniques such as importance sampling and control variates in more detail. To see how these techniques work in practice we will discuss how they can be used in actuarial applications like the calculation of risk measures. Similar, we will first give a general introduction to the Bootstrap. Next, we apply the Bootstrap to actuarial problems like estimation of Value-at-Risk or constructing confidence intervals for the number of claims made per year.