Kursussøgning, efter- og videreuddannelse – Københavns Universitet

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Kursussøgning, efter- og videreuddannelse

Stochastic Processes in Life Insurance (LivStok)

Practical information
Study year 2016/2017
Block 1
Programme level Full Degree Master
Course responsible
  • Jesper Lund Pedersen (6-716c7a776c794774687b6f35727c356b72)
Phone: +45 35 32 07 75, office: 04.3.11
  • Department of Mathematical Sciences
Course number: NMAA05115U

Course content

  • Counting processes
  • Markov processes
  • Semi-Markov processes
  • Martingale methods in life insurance
  • Inference for models of counting processes

Learning outcome

Stochastic processs and methods applied in life insurance models.

At the end of the course, the students are expected to be able to

  • Apply theorems on stochastic processes of bounded variation, including theorems on counting processes,
  • Markov chains, integral processes, martingales.
  • Analyse Markov chain models and derive Thiele differential equation for reservs using martingale methods.
  • Analyse extended models and derive differential equations for reservs.
  • Analyse statistical parametric life history models.
  • Analyse statistical nonparametric life history models.


To make the student operational and to give the student knowledge in application of stochastic processes in life insurance.

Recommended prerequisites

Bacproj-akt. Vidsand1 no later than at the same time. Otherwise similar prerequisites.

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MSc Programme in Actuarial Mathematics
MSc Programme in Mathematics-Economy


Study Board of Mathematics and Computer Science

Course type

Single subject courses (day)


1 block


---- SKEMA LINK ----

Teaching and learning methods

5 hours of lectures per week for 7 weeks.


No limit




Lecture notes


Category Hours
Lectures 35
Preparation 170
Exam 1
English 206


Type of assessment

Oral examination, 30min
30-minute oral exam without time for preparation.


The student may bring notes to the oral exam, but they are only allowed to consult these in the first minute after they have drawn a question. After that, all notes must be put away. 

Marking scale

7-point grading scale

Criteria for exam assessment

The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome.

Censorship form

No external censorship
Several internal examiners


As the ordinary exam. If the two mandatory assignments have not been approved during the course the non-approved project(s) must be handed in no later than two weeks before the beginning of the re-exam week. The assignments must be aproved before thr re-exam.

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