Opleiding: Life Insurance Mathematics

Leerdoelen

After following this course the student:

• has insights in human mortality models and human mortality data;
• has knowledge of a general framework for the valuation of life contingent liabilities where cash flows depend on the future lifetime of one insured or multiple insureds;
• is able to calculate actuarial present values, premium structures and policy values for different types of life annuity and life insurance products;
• is able to do this type of calculations in both discrete and continuous time for one and multiple insureds;
• is able to understand and to use the relevant international actuarial notation for life contingent risks.

Inhoud

The course covers the following topics:

• a general introduction to life contingent risks and related financial products
• a discrete time framework to value cash flows over time with a discussion of: discount functions, interest and discount rates, actuarial equivalence of cash flow vectors, balances and reserves for a given cash flow vector and prospective and retrospective views
• the life table, human mortality data and their characteristics, demographic markers, calculating probabilities using the data published in a life table and choice of life tables
• life annuity products, calculating actuarial present values and premiums
• life insurance products, calculating actuarial present values and premiums
• policy values for annuity and life insurance products, a general framework, recursions, and detailed insights
• working with fractional durations
• working in continuous time and extending all topics studied before from discrete to continuous setting
• select mortality
• multiple-life contracts, the joint life status, the last survivor status, annuities and insurances on multiple lives
• multiple decrement theory
• expenses and profits.

Aanbevolen voorkennis

The course recommends a basic understanding (at the level of the first year of a BSc in a quantitative study program) of algebra, analysis and probability theory.

Werkvorm

The course is organized as follows: every week

• two lectures of two hours;
• a tutorial session of two hours covering exercises;
• a computer session of two hours with assignments that have to be solved with R.