Advances in Life Insurance Mathematics

Course content

Policy Holder Behavior; Projections of Balances; Projections of Payments; Forward Rates; Prognistication; Variable Annuities.


MSc Programme in Actuarial Mathematics

Learning outcome

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

Knowledge about the topics listed under content.

Skills to formalize and solve problems within the topics listed under content.

Competences in; rational and arbitrary policy holder behavior; formalization of the situation in between; stochastic differential equations to formalize the dynamics of the balance of a pension scheme; valuation techniques from stochastic calculus; valuation problems arising from scenario-dependent policy holder behavior; valuation of variable annuities with options; prognistication conditional on a policy holders course of life.

Lectures, 5 per week for 7 weeks.

FinKont and Liv2

Academic qualifications equivalent to a BSc degree is recommended.

Continuous feedback during the course of the semester
Feedback by final exam (In addition to the grade)
7,5 ECTS
Type of assessment
Oral examination, 30 minutes
30 minutes oral examination without preparation.
All aids allowed
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
  • Lectures
  • 35
  • Exam
  • 1
  • Preparation
  • 170
  • English
  • 206