COURSE - Models for the study of banking and insurance phenomena

Present some interpretative models of phenomena typical of the banking/insurance sector.

Recipients:

• Budget analysts
• Market analysts
• operators in the context of credit risk assessment or the determination of insurance premiums

Prerequisites:

The presentation of the topics will mainly be carried out with reference to examples taken from financial/insurance contexts.
For a fruitful understanding of the topics, it may be useful to know the methods of estimating the parameters of linear regression models.

Program:

Course Overview
Prof. Luigi Santamaria - Director of the Laboratory of Applied Statistics - Università Cattolica del Sacro Cuore
Prof. Diego Zappa - Università Cattolica del Sacro Cuore

Program:

• Review of linear models:
  Estimate
  Hypothesis testing of parameters
  Diagnostics
  forecast.
• Introduction to generalized linear models:
  Methods of estimation and inference on parameters
  Parameter interpretation and residue analysis
  the logistic, logit, loglinear models.
• Presentation of some case studies
  The presentation of the examples will be carried out in the computer room with the help of statistical software.

Referral texts

Dobson A.J., An introduction to generalized Linear Models 2nd ed., Chapman & Hall/CRC, 2002

Hossack I.B., Pollard J.H. and Zehnwirth B., Introductory statistics with applications in general insurance, Cambridge University Press, 2nd ed., 1999

Lyn T.C., Edelman D.B. and Crook J.N., Credit scoring and its applications, SIAM, 2002

Zappa D., Appunti di Statistica Assicurativa- Introduzione ai modelli lineari generalizzati, ISU, Milano 2003