NMAA06052U Topics in Life Insurance (Liv2)
Term structure theory, surplus and bonus, and market reserves in life insurance
At the end of the course the student is expected to have:
Knowledge about term structure theory, surplus and bonus, and
market reserves in life insurance.
Skills to derive and solve partielle differential
equations characterizing market values in life insurance under
different bonus strategies.
Competences in; defining and relating concepts within bond markets
theory as the forward rate, zero coupon bonds and the short rate;
defining and analysing classic one-factor interest rate and
forward rate models; defining and relating different versions of
market values of cashflows within a general bond market;
discussing the influenze a stock market has on the market values;
analysing elementary unit-link products and relating these to
insurance and bonus.
Tomas Björk, "Arbitrage Theory in Continuous Time" (third edition), Cambridge University Press: Chapters 16-17+22-26 (this is Chapters 16-17+20-24 in second edition). Thomas Møller and Mogens Steffensen, "Market-Valuation Methods in Life and Pension Insurance", Cambridge University Press: Chapters 1-5.4.
Last 4 weeks: 4 hours of lectures plus 2 hours of exercises.
- Category
- Hours
- Lectures
- 28
- Preparation
- 136
- Theory exercises
- 42
- Total
- 206
As
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Continuing Education - click here!
- Credit
- 7,5 ECTS
- Type of assessment
- Oral examination, 30 minNo time for preparation, but the exam question will be published weeks before the exam.
- Exam registration requirements
- Compulsory exercise (from Finkont 2) must be passed to gain acces to the final oral exam.
- Aid
- Without aids
- Marking scale
- 7-point grading scale
- Censorship form
- External censorship
Criteria for exam assesment
The student must in a satisfactory way demonstrate that he/she
has mastered the learning outcome of the course.
The student is expected to pick out and present relevant
definitions, theorems and proofs regarding the topics of the
particular exam question in hand (duration 20 min). After
the presentation questions within curriculum will be
asked. The student will be judged on her/his level of
understading, intuition and details.
Course information
- Language
- English
- Course code
- NMAA06052U
- Credit
- 7,5 ECTS
- Level
- Full Degree Master
- Duration
- 1 block
7 weeks
- Placement
- Block 3
- Schedule
- A (Tues 8-12 + Thurs 8-17)
- Course capacity
- No limit
- Continuing and further education
- Study board
- Study Board of Mathematics and Computer Science
Contracting department
- Department of Mathematical Sciences
Course responsibles
- Ninna Reitzel Jensen (12-76717676697a6d717c826d74486f75697174366b7775)