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Advances in Life Insurance Mathematics
Provider: Faculty of Science

Activity no.: 5556-19-07-31 
Enrollment deadline: 18/11/2019
PlaceDepartment of Mathematical Sciences
Universitetsparken 5, 2100 København Ø
Date and time18.11.2019, at: 09:00 - 26.01.2020, at: 16:00
Regular seats50
ECTS credits7.50
Contact personNina Weisse    E-mail address: weisse@math.ku.dk
Enrolment Handling/Course OrganiserMogens Steffensen    E-mail address: mogens@math.ku.dk
Written languageEnglish
Teaching languageEnglish
Semester/BlockBlock 2
Scheme groupC
Exam formOral examination, 30 min. Without time for preparation
Exam formOral examination
Exam detailsAll aids allowed 7-point grading scale
Course workload
Course workload categoryHours
Lectures35.00
Exam1.00
Preparation170.00
Sum206.00
Content
Policy Holder Behavior; Projections of Balances; Projections of Payments; Forward Rates; Prognistication; Variable Annuities.

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.

Literature
See Absalon

Teaching and learning methods
Lectures, 5 per week for 7 weeks.

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