NMAA05115U Stochastic Processes in Life Insurance (LivStok)
Volume 2013/2014
Education
MSc Programme in Statistics
MSc Programme in Acturial Mathematics
MSc Programme in Mathematics-Economics
MSc Programme in Acturial Mathematics
MSc Programme in Mathematics-Economics
Content
- Counting processes
- Markov processes
- Semi-Markov processes
- Martingale methods in life insurance
- Inference for models of counting processes
Learning Outcome
Knowledge:
Stochastic processs and methods applied in life insurance models.
Skills:
At the end of the course, the students are expected to be able to
Stochastic processs and methods applied in life insurance models.
Skills:
At the end of the course, the students are expected to be able to
- Apply theorems on stochastic processes of bounded variation, including theorems on counting processes,
- Markov chains, integral processes, martingales.
- Analyse Markov chain models and derive Thiele differential equation for reservs using martingale methods.
- Analyse extended models and derive differential equations for reservs.
- Analyse statistical parametric life history models.
- Analyse statistical nonparametric life history models.
Competences:
To make the student operational and to give the student
knowledge in application of stochastic processes in life insurance.
Academic qualifications
Bacproj-akt. Vidsand1 no
later than at the same time. Otherwise similar
preriquisites.
Teaching and learning methods
5 hours of lectures per
week.
Workload
- Category
- Hours
- Exam
- 1
- Lectures
- 35
- Preparation
- 170
- Total
- 206
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Exam
- Credit
- 7,5 ECTS
- Type of assessment
- Oral examination, 30min30-minute oral exam without time for preparation.
- Exam registration requirements
- Two mandatory assignments must be approved and valid before the student is allowed attending the exam
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
Several internal examiners
Criteria for exam assesment
The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome.
Course information
- Language
- English
- Course code
- NMAA05115U
- Credit
- 7,5 ECTS
- Level
- Full Degree MasterBachelor
- Duration
- 1 block
- Placement
- Block 1
- Schedule
- C
- 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
- Jesper Lund Pedersen (6-6d6876736875437064776b316e7831676e)
Phone + 45 35 32 07 75 office
04.3.11
Saved on the
30-04-2013