NMAK18007U  Pension Systems

Volume 2018/2019
Education

MSc Programme in Actuarial Mathematics

Content

Defined contribution and defined benefit pension systems, funded vs pay-as-you-go systems, individual vs collective systems, financial and biometric risks, intergenerational risk sharing, profit sharing, smoothing and buffer techniques

Learning Outcome

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

 

Knowledge: An understanding of the defining design characteristics of different pension systems, including funded vs pay-as-you-go systems, individual vs collective systems, key sources of risk, profit sharing mechanisms, and smoothing and buffer techniques

 

Skills: The ability to model and analyze pension systems at an aggregate scale based on (simple) models for capital markets, longevity and demographics implemented in R. The ability to present a qualitative and quantitative assessment of a given pension system.

 

Competences: Understanding and relating concepts of pension system design, such as funded vs pay-as-you-go systems, individual vs collective systems, different levels of risk sharing, e.g. financial, biometric and inter-generational. Formulating and implementing (simple) models for capital markets, longevity and demographics in R. Simulating, analyzing and comparing different pension system designs. Specific knowledge of selected global pension systems, e.g. from Denmark, Sweden, Holland and North America.

4 hours of lectures and 3 hours of exercises per week.
Credit
7,5 ECTS
Type of assessment
Written assignment, 7 days
Written report demonstrating the ability to model and analyze a specific pension system. The analysis is based on an R implementation of the pension system model. Code developed during the course can be used.
Exam registration requirements

 

 

Aid
All aids allowed
Marking scale
7-point grading scale
Censorship form
No external censorship
Re-exam

30 minutes oral examination without preparation time.

No aids allowed.

Several internal examiners. 

Criteria for exam assesment

See Learning Outcome 

  • Category
  • Hours
  • Lectures
  • 28
  • Exercises
  • 21
  • Preparation
  • 120
  • Exam
  • 37
  • Total
  • 206