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Advances in Life Insurance Mathematics
Provider: Faculty of Science

Activity no.: 5556-21-07-31 
Enrollment deadline: 22/11/2021
PlaceDepartment of Mathematical Sciences
Universitetsparken 5, 2100 København Ø
Date and time22.11.2021, at: 08:00 - 30.01.2022, at: 16:00
Regular seats50
ECTS credits7.50
Contact personNina Weisse    E-mail address: weisse@math.ku.dk
Enrolment Handling/Course OrganiserJamaal Ahmad    E-mail address: jamaal@math.ku.dk
Written languageEnglish
Teaching languageEnglish
Semester/BlockBlock 2
Block noteDuration:1 block
Scheme groupB
Exam formOral examination, 30 min. Without time for preparation
Grading scalePassed / Not passed
Course workload
Course workload categoryHours
Lectures35.00
Theory exercises4.00
Preparation166.00
Exam1.00
Sum206.00
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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