Topics in Life Insurance (Liv2)

Course content

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. 

Education

MSc Programme in Actuarial Mathematics
MSc Programme in Mathematics-Economics

Learning outcome

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.

Oral
Continuous feedback during the course
ECTS
7,5 ECTS
Type of assessment
Oral examination, 30 minutes
Type of assessment details
No 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.
Aid
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)

  • Category
  • Hours
  • Lectures
  • 28
  • Preparation
  • 163
  • Theory exercises
  • 14
  • Exam
  • 1
  • English
  • 206

Kursusinformation

Language
English
Course number
NMAA06052U
ECTS
7,5 ECTS
Programme level
Full Degree Master
Duration

1 block

7 weeks
Placement
Block 3
Schedulegroup
A
Capacity
No limit
The number of seats may be reduced in the late registration period
Studyboard
Study Board of Mathematics and Computer Science
Contracting department
  • Department of Mathematical Sciences
Contracting faculty
  • Faculty of Science
Course Coordinator
  • Mogens Bladt   (5-456f646777437064776b316e7831676e)
Teacher

Mogens Bladt

Saved on the 07-04-2022

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