RMI 9080 - Actuarial Analytics

3 Credit Hours
Description
The course presents advanced computational and statistical techniques in analyzing actuarial and financial data and uses the statistical R software to demonstrate how to apply these techniques to solve practical problems in risk management such as risk estimation, backtest, capital allocation, fund management, etc. Statistical methodologies include linear predictive model with AR-GARCH errors and persistent predicting variables, generalized linear model, copula model, extreme value theory, quantile regression, bootstrap method, and statistical learning.