NMAK21012U Pension Systems
MSc Programme in Actuarial Mathematics
Demographic modeling, mortality models and forecasting, financial risks, intergenerational risk sharing, individual vs collective systems, defined contribution and defined benefit pension systems, funded vs pay-as-you-go systems.
- Basic demographic concepts such as the demographic balancing equation, life tables, age specific rates, and stable population theory.
- Danish demographic data sources.
- The Lee-Carter model for mortality forecasting.
- An understanding of the defining design characteristics of different pension systems, including funded vs pay-as-you-go systems, individual vs collective systems, and key sources of risk.
Skills: The ability to
- Model and analyze pension systems at an aggregate scale based on (simple) models for capital markets, longevity, and demographics implemented in R.
- Present a qualitative and quantitative assessment of a given pension system.
- Formulate, justify and implement (simple) models for capital markets, longevity and demographics in R based on publicly available data sources.
- Understanding and relating concepts of pension system design, such as funded vs pay-as-you-go systems, individual vs collective systems, different levels of risk sharing, e.g. financial, biometric, and intergenerational.
- Simulating, analyzing, and comparing different pension system designs.
The course literature will primarily consist of research papers, which will be made available on Absalon.
Academic qualifications equivalent to a BSc degree in Actuarial Mathematics is recommended.
The student is expected to be familiar with R for statistical data analysis.
- Theory exercises
- Project work
Students receive written feedback regarding the compulsory group project. The students receive oral feedback at the exercise classes.
- 7,5 ECTS
- Type of assessment
- Written assignment, 3 days...
- Exam registration requirements
To participate in the final exam a compulsory group project must be approved during the course. If it is not approved the first time it can be handed in a second time.
- All aids allowed
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
One internal examiner
30 minutes oral examination without preparation time.
No aids allowed.
Several internal examiners.
If the compulsory group project was not approved during the course it must be handed in and approved no later than three weeks before the beginning of the reexamination week.
Criteria for exam assesment
The student must in a satisfactory way demonstrate that he/she has mastered the learning outcomes of the course.