Course Lectures

• Financial Mathematics
• Life Insurance Mathematics
• Pension Fund Mathematics
• Survival Analysis
• Credit Scoring Models and Credit Rating for Banking
• Insurance Risk Models, and Value-at-Risk
• Financial Time Series Analysis
• Models of Portfolio Investments

Reseach Interest :

• Financial Engineering (Mathematics),
• Actuarial Science,
• Risk Analysis,
• Financial Time Series,
• Natural Disaster Insurance,
• Agricultural Insurance,
• Credit Scoring Models.

Research Summary:

The scope of my research concentration is Mathematics in Finance and Actuarial Science. In the field of Financial Mathematics, research has been conducted on the modeling of the portfolio optimization of the Mean-Value-at-Risk model. In this study a formula was developed to determine the optimum weight allocation vector of capital in an investment portfolio, if the maximum potential loss is measured based on Value-at-Risk. In the field of Econometrics including research on the effect of economic growth and population growth on increasing CO2 gas emissions using the optimization algorithm and the Cobb-Douglas model. This study aims to estimate the model parameters that describe the contribution of economic growth variables in a region (country) and population growth to an increase in CO2 emissions, where the model used is Cobb-Douglas, and parameter estimation is done using the optimization algorithm. Furthermore, the estimator model can be used to predict how much an increase in CO2 emissions, if in an area (country) experiences economic growth and population growth reaches a certain number.

In the field of Actuarial Science, including research on supply chain strategies for managing risk for health insurance by using Bayesian models. This research aims to measure the amount of aggregate claims risk, and determine a reasonable premium in the health insurance program. In the aggregate claim involves estimating the frequency distribution model of the claim, and the large distribution of claim values. Whereas a reasonable premium is a contribution value that is affordable for health insurance participants, but it also does not harm insurance companies. For the estimation of the parameters of the claim frequency distribution model, even the estimated parameters of the claim distribution model are performed using the Bayesian model. Etc.