Handbook

Recent occurrences of significant losses in the financial and insurance markets associated with catastrophic events such as heatwaves, floods, cyclones, bushfires, and earthquakes have intensified the need for a systematic approach to modelling, measuring, and managing catastrophe risks. Culprits behind catastrophe risks include frequency, severity, and dependence. This course introduces students to advanced statistical and actuarial models for a variety of risks in financial institutions such as banks, insurance/reinsurance companies, and superannuation funds. Traditional and newly emerging risks encountered therein will be studied, with a special focus on extreme losses, extreme dependence, and loss aggregation over time. Topics covered include: risk measures; multivariate models; copulas and dependence; financial time series; extreme value theory; market credit and operational risk. Students will be implementing the models using computer software.