Faculty of Science

Advances in Life Insurance Mathematics
Provider: Faculty of Science

Activity no.: 5556-21-07-31
	Enrollment deadline: 22/11/2021

Place

Department of Mathematical Sciences

Date and time

22.11.2021, at: 08:00 - 30.01.2022, at: 16:00

Regular seats

ECTS credits

7.50

Contact person

Nina Weisse E-mail address: weisse@math.ku.dk

Enrolment Handling/Course Organiser

Jamaal Ahmad E-mail address: jamaal@math.ku.dk

Written language

English

Teaching language

English

Semester/Block

Block 2

Block note

Duration:1 block

Scheme group

Exam form

Oral examination, 30 min. Without time for preparation

Grading scale

Passed / Not passed

Course workload

Course workload category	Hours
Lectures	35.00
Theory exercises	4.00
Preparation	166.00
Exam	1.00

Sum	206.00

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.

Learning outcome

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.

Literature

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

Teaching and learning methods

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.

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