Opleiding: Stochastic Models in Life Insurance

Leerdoelen

After successful completion of this course:

• The student understands and can apply stochastic formulations of mortality events.
• The student understands and can analyse the effects of stochastic mortality on premiums and reserving in life insurance.
• The student understands and can analyse the effects of dependent mortality events.
• The student is acquainted with and can deploy stochastic Markov chain models in life insurance mathematics.

Inhoud

This course studies stochastic models in life insurance in discrete and continuous time. Stochastic survival functions are introduced, and the effect of uncertainty in reserving is formalized. Also, (in)dependence of mortality events is defined, and the effect of this in life insurance is studied. Finally, a Markov chain model is studied which facilitates the study of disability in life insurance. Chapters 14, 15, 16, 17, 18.1-18.4, 19.1, 19.2 of the book are used.

Studiemateriaal

• Promislow, David S. Fundamentals of Actuarial Mathematics. Wiley, third edition, ISBN 978-1-118-78246-0 (c. €70). Second edition can be used. This book is the same as for the course Life Insurance Mathematics;

Toetsing en toetsdata

A written midterm (2 hours, 30%) and a written final exam (3 hours, 70%). The grade for the final exam needs to be at least 5.0 in order to pass this course. For the resit (3 hours, 100%), the result for the midterm does not count.