NMAK17003U  Inference, Market Consistent Valuation and Pricing in Life Insurance

Volume 2017/2018
Education

MSc Programme in Actuarial Mathematics

Content

Estimation, cashflows, policyholder behaviour and pricing using credibility theory in the Markov life insurance setup.

Learning Outcome

At the end of the course the student is expected to have:

Knowledge:
Knowledge about estimation, valuation, and pricing in the Markov life insurance setup.

Skills:
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.

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.

The student is recommended to have prior experience in programming using the language R, e.g. obtained through the bachelor programme in Actuarial Mathematics from the University of Copenhagen.
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.
Credit
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.

Aid
Without aids
Marking scale
7-point grading scale
Censorship form
No external censorship
Several internal examiners.
Re-exam

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.


 

  • Category
  • Hours
  • Exam
  • 1
  • Lectures
  • 35
  • Theory exercises
  • 4
  • Preparation
  • 166
  • Total
  • 206