NMAK13021U Topics in Life Insurance Mathematics (AAM)

Volume 2013/2014
Education
MSc programme in Actuarial Mathematics
Content

Optimization in Life insurance and Pensions
In the course we consider different aspects of optimization and
optimal decisions in life insurance and pensions. Especially, we will
give emphasis to problems with stochastic mortality intensity and
longevity risk. Among others, the criteria of utility optimization and
local risk minimization will be applied. Moreover, we consider how to
calculate worst-case scenarios for life insurance contracts with
references to Solvency II.

Learning Outcome

Knowledge
Knowledge about different optimization methods in life insurance and
the main technical difficulties when applying these.

Competences
To make the student operational and to make the student capable of
formulating and solving different optimization problems in life
insurance. Moreover, to see differences and similarities for different
types of optimization problems.

Skills
At the end of the course, the students are expected to
- Derive optimal consumption and investment strategies
- Derive local risk-minimizing strategies
- Derive worst case scenarios

Liv1, LivStok, FinKont, Liv2 or similar
4 hours of lectures each week for 7 weeks.
  • Category
  • Hours
  • Exam
  • 1
  • Lectures
  • 28
  • Preparation
  • 177
  • Total
  • 206
Credit
7,5 ECTS
Type of assessment
Oral examination, 30 minutes
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Aid
Without aids
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 of the course.