NMAA06052U Topics in Life Insurance (Liv2)

Volume 2013/2014
Education
MSc programme in Statistics
MSc programme in Mathematics-Economics
MSc programme in Actuarial Mathematics
Content
Term structure theory, surplus and bonus, and market reserves in life insurance
Learning Outcome
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.
Literature
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.
Sand4, LivStok and FinKont or similar.
First three weeks: 4 hours of lectures plus 3 hours of exercises per week. Last 4 weeks: 4 hours of lectures plus 2 hours of exercises.
About the timetable/schedule: The first three weeks you are going to participate in the course "Finkont 2" (for the first three weeks the courses are merged). You have to check the Finkont 2 course decription and webpage to see information regarding the first three weeks of the course.
  • Category
  • Hours
  • Lectures
  • 28
  • Preparation
  • 136
  • Theory exercises
  • 42
  • Total
  • 206
Credit
7,5 ECTS
Type of assessment
Oral examination, 30 min
No 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.