Advances in Life Insurance Mathematics
Course content
Selection of topics related to modeling, valuation, and pricing in multi-state life insurance and pensions with a strong connection to the research of the present century. Topics may include but are not limited to: cashflows, policyholder behavior, estimation, market consistent valuation, projection and computation of bonus, higher order moments, implementation of procedures in R.
MSc Programme in Actuarial Mathematics
At the end of the course the student is expected to have:
Knowledge:
Knowledge about selected topics related to modeling, valuation, and
pricing in the Markov life insurance setup.
Skills:
Skills to formulate, formalize, and solve theoretical and practical
problems related to modeling, valuation, and pricing in the Markov
life insurance setup.
Skills to implement procedures related to modeling, 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 course literature will primarily consist of research papers from primarily actuarial journals, which will be made available on Absalon.
Stochastic Processes in Life Insurance (LivStok)
Academic qualifications equivalent to a BSc degree is recommended.
The student is also 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.
The students will recieve either oral or written feedback in connection with their two mandatory homework sets.
- ECTS
- 7,5 ECTS
- Type of assessment
-
Oral examination, 30 minutesWithout preparation.
- 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
- Lectures
- 35
- Preparation
- 166
- Theory exercises
- 4
- Exam
- 1
- English
- 206
Kursusinformation
- Language
- English
- Course number
- NMAK19005U
- ECTS
- 7,5 ECTS
- Programme level
- Full Degree Master
- Duration
-
1 block
- Placement
- Block 2
- Schedulegroup
-
B
- Capacity
- No limit
- Studyboard
- Study Board of Mathematics and Computer Science
Contracting department
- Department of Mathematical Sciences
Contracting faculty
- Faculty of Science
Course Coordinator
- Jamaal Ahmad (6-746b776b6b764a776b7e7238757f386e75)
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Courseinformation of students