NMAA05115U Stochastic Processes in Life Insurance (LivStok)

Volume 2021/2022

MSc Programme in Actuarial Mathematics
MSc Programme in Mathematics-Economics

  • Finite variation processes
  • Markov processes
  • Semi-Markov processes
  • Martingale methods in life insurance
  • Inference for models of counting processes
Learning Outcome

Stochastic processs and methods applied in life insurance models.

At the end of the course, the students are expected to be able to

  • Apply theorems on stochastic processes of finite 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.


To make the student operational and to give the student knowledge in application of stochastic processes in life insurance.

VidSand1 no later than at the same time. Otherwise similar prerequisites.

Academic qualifications equivalent to a BSc degree is recommended.
5 hours of lectures per week for 7 weeks.
  • Category
  • Hours
  • Lectures
  • 35
  • Preparation
  • 170
  • Exam
  • 1
  • Total
  • 206
Continuous feedback during the course of the semester

There is feedback on the two mandatory assignments.

7,5 ECTS
Type of assessment
Oral examination, 30 minutes
30-minutes 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

Only certain aids allowed

The student may bring notes to the oral exam, but they are only allowed to consult these in the first minute after they have drawn a question. After that, all notes must be put away. 

Marking scale
7-point grading scale
Censorship form
No external censorship
Several internal examiners

As the ordinary exam. If the two mandatory assignments have not been approved during the course the non-approved project(s) must be (re)submitted. The assignments must be approved no later than three weeks before the beginning of the re-exam week.

Criteria for exam assesment

The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome.