Topics in Life Insurance (Liv2)
The course builds on Markov models in life insurance with special emphasis on techniques related to mathematical finance. This relates to insurance products which also contain investment parts which are priced under market conditions. They include unit linked (or equity linked) insurance and classical products with guarantees and dividend and bonus options.
Review of Markov processes and bond market/interest theory is an integrated part of the course, and a number of special models exemplify the main theory of insurance policies with payments linked to capital gains.
MSc Programme in Actuarial Mathematics
At the end of the course the student is expected to have:
Knowledge about life insurance models involving financial risk, term structure theory, surplus and bonus, market reserves in life insurance, cash dividends and unit-link insurance.
Skills to build adequate Markovian models for market values in life insurance under different bonus strategies, to derive and solve partial differential equations for their solution and to express the solutions in terms of matrices.
Competences in; defining payment streams in financial insurance models; specializing the general models to concrete insurance contracts involving both diversifiable and financial risks; defining hedging schemes; defining and relating different versions of market values of cashflows within a general bond market; discussing the influenze a stock market has on the market values; analysing elementary unit-link products and relating these to insurance and bonus; utility theory.
4 hours of lectures plus 2 hours of exercises.
LivStok and FinKont or similar.
Academic qualifications equivalent to a BSc degree is recommended.
- 7,5 ECTS
- Type of assessment
Oral examination, 30 minutesNo time for preparation, but the exam question will be published weeks before the exam. The student is expected to pick out and present relevant definitions, theorems and proofs regarding the topics of the particular exam question in hand (duration 20 min). After the presentation questions within curriculum will be asked.
- Without aids
- Marking scale
- 7-point grading scale
- Censorship form
- External censorship
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)
- Theory exercises
- Course number
- 7,5 ECTS
- Programme level
- Full Degree Master
1 block7 weeks
- Block 3
- No limit
The number of seats may be reduced in the late registration period
- Study Board of Mathematics and Computer Science
- Department of Mathematical Sciences
- Faculty of Science
- Mogens Bladt (5-4a74696c7c4875697c7036737d366c73)
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