NMAK17003U Inference, Market Consistent Valuation and Pricing in Life Insurance
MSc Programme in Actuarial Mathematics
Estimation, cashflows, policyholder behaviour and pricing using credibility theory in the Markov life insurance setup.
At the end of the course the student is expected to have:
Knowledge about estimation, valuation, and pricing in the Markov life insurance setup.
Skills to formulate, formalize, and solve theoretical and practical problems related to estimation, valuation, and pricing in the Markov life insurance setup.
Skills to implement procedures related to estimation, valuation, and pricing in the Markov life insurance setup in R.
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.
- 7,5 ECTS
- Type of assessment
- Oral examination, 30 min.No preparation time
- Exam registration requirements
To participate in the exam, two mandatory homework sets must be approved.
- Without aids
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
Several internal examiners.
Same as the ordinary exam. If the required homework sets are not approved before the ordinary exam, the non-approved set(s) must be handed in no later than two weeks before the beginning of the re-exam week. They must be approved before the re-exam.
Criteria for exam assesment
The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.
- Theory exercises