Inference, Market Consistent Valuation and Pricing in Life Insurance

Course content

Estimation, cashflows, policyholder behaviour and pricing using credibility theory in the Markov life insurance setup.

Education

MSc Programme in Actuarial Mathematics

Learning outcome

At the end of the course the student is expected to have:

Knowledge:
Knowledge about estimation, valuation, and pricing in the Markov life insurance setup.

Skills:
Skills to formulate, formalize, and solve theoretical and practical problems related to estimation, valuation, and pricing in the Markov life insurance setup.
Skills to implement procedures related to estimation, valuation, and pricing in the Markov life insurance setup in R.

Competences:
The course will strengthen the student's competences in navigating inside the Markov life insurance setup and develop the student's ability to formulate and handle new models inside this setup.

5 hours of lectures each week for 7 weeks. In addition to this a total of 2 x 2 hours of exercise classes where the students can work on their mandatory homework sets.

The student is recommended to have prior experience in programming using the language R, e.g. obtained through the bachelor programme in Actuarial Mathematics from the University of Copenhagen.

ECTS
7,5 ECTS
Type of assessment
Oral examination, 30 min.
No preparation time
Aid
Without aids
Marking scale
7-point grading scale
Censorship form
No external censorship
Several internal examiners.
Criteria for exam assessment

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


 

Single subject courses (day)

  • Category
  • Hours
  • Exam
  • 1
  • Lectures
  • 35
  • Theory exercises
  • 4
  • Preparation
  • 166
  • English
  • 206