Pension Systems

Course content

Demographic modeling, mortality models and forecasting, financial risks, intergenerational risk sharing, individual vs collective systems, defined contribution and defined benefit pension systems, funded vs pay-as-you-go systems.


MSc Programme in Actuarial Mathematics

Learning outcome


  • Basic demographic concepts such as the demographic balancing equation, life tables, age specific rates, and stable population theory.
  • Danish demographic data sources.
  • The Lee-Carter model for mortality forecasting.
  • An understanding of the defining design characteristics of different pension systems, including funded vs pay-as-you-go systems, individual vs collective systems, and key sources of risk.


Skills: The ability to 

  • Model and analyze pension systems at an aggregate scale based on (simple) models for capital markets, longevity, and demographics implemented in R.
  • Present a qualitative and quantitative assessment of a given pension system.



  • Formulate, justify and implement (simple) models for capital markets, longevity and demographics in R based on publicly available data sources.
  • Understanding and relating concepts of pension system design, such as funded vs pay-as-you-go systems, individual vs collective systems, different levels of risk sharing, e.g. financial, biometric, and intergenerational.
  • Simulating, analyzing, and comparing different pension system designs.

4 hours of lectures and 3 hours of exercises per week for 7 weeks.

The course literature will primarily consist of research papers, which will be made available on Absalon.

Continuous Time Finance or similar

Academic qualifications equivalent to a BSc degree in Actuarial Mathematics is recommended.

The student is expected to be familiar with R for statistical data analysis.

Continuous feedback during the course of the semester

Students receive written feedback regarding the compulsory group project. The students receive oral feedback at the exercise classes.

7,5 ECTS
Type of assessment
Written assignment, 3 days
All aids allowed
Marking scale
7-point grading scale
Censorship form
No external censorship
One internal examiner
Criteria for exam assessment

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

Single subject courses (day)

  • Category
  • Hours
  • Lectures
  • 28
  • Preparation
  • 97
  • Theory exercises
  • 21
  • Project work
  • 30
  • Exam
  • 30
  • English
  • 206