NMAA06052U  Topics in Life Insurance (Liv2)

Volume 2018/2019

MSc Programme in Actuarial Mathematics


Term structure theory, surplus and bonus, market reserves in life insurance, unit-link insurance, utility theory

Learning Outcome

At the end of the course the student is expected to have:

Knowledge about term structure theory, surplus and bonus, market reserves in life insurance, unit-link insurance, and utility theory

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; utility theory

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.
7,5 ECTS
Type of assessment
Oral examination, 30 minutes
No time for preparation, but the exam question will be published weeks before the exam. 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.
Exam registration requirements

The compulsory exercise from the first part of the course must be passed in order to gain access to the final oral exam.

Without aids
Marking scale
7-point grading scale
Censorship form
External censorship

Same as the ordinary exam. If the compulsory exercise has not been approved before the ordinary exam it must be resubmitted no later than two weeks before the beginning of the re-exam week. It must be approved before the exam.

Criteria for exam assesment

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

  • Category
  • Hours
  • Lectures
  • 28
  • Theory exercises
  • 17
  • Preparation
  • 161
  • Total
  • 206