NMAK18007U Pension Systems
MSc Programme in Actuarial Mathematics
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
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.
- 7,5 ECTS
- Type of assessment
- Written assignment, 7 daysWritten 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
- All aids allowed
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
30 minutes oral examination without preparation time.
No aids allowed.
Several internal examiners.
Criteria for exam assesment
See Learning Outcome