2017/2018
KAN-CCMVV2611U Pension Liabilities and their
Dynamics
| English Title |
| Pension Liabilities and their
Dynamics |
|
|
| Language |
English |
| Course ECTS |
7.5 ECTS |
| Type |
Elective |
| Level |
Full Degree Master |
| Duration |
One Semester |
| Start time of the course |
Autumn |
| Timetable |
Course schedule will be posted at
calendar.cbs.dk |
| Study board |
Study Board for MSc in Economics and Business
Administration
|
| Course
coordinator |
- Claus Parum - Department of Finance (FI)
|
Teacher: Mogens
Steffensen
Further information:
https://studentcbs.sharepoint.com/CEMS/Pages/Valgfag-paa-CBS_DK.aspx |
| Main academic
disciplines |
- Finance
- Mathematics
- Statistics and quantitative methods
|
|
Last updated on
30-06-2017
|
| Learning objectives |
To achieve the grade 12, students should meet the
following learning objectives with no or only minor mistakes or
errors:
- Define and analyse the survival model
- Formalise insurance products by means of payment streams in
survival models
- Characterize conditional expected present values by means of
differential equations
- Analyse the emergence of surplus in life insurance contracts
defined by survival models
- Discuss different methods for redistribution of surplus
- Formalize the unit-link product with and without guarantees and
characterize its value
- Interpret results from life insurance to the area of credit
risk
- Establish the key accounting and solvency balance scheme
entries based on a survival model
|
| Course prerequisites |
| The course is especially relevant for students
with a strong background in finance e.g. students in MSc FIR, FSM,
FIN and AEF as well as MSc in Advanced Economics and
Finance. |
| Examination |
|
Pension
Liabilities and their Dynamics:
|
| Exam
ECTS |
7,5 |
| Examination form |
Written sit-in exam on CBS'
computers |
| Individual or group exam |
Individual exam |
| Assignment type |
Written assignment |
| Duration |
4 hours |
| Grading scale |
7-step scale |
| Examiner(s) |
One internal examiner |
| Exam period |
Winter |
| Aids |
Open book: all written and electronic aids,
including internet access
|
| Make-up exam/re-exam |
Same examination form as the ordinary exam
If the number of registered candidates for the make-up
examination/re-take examination warrants that it may most
appropriately be held as an oral examination, the programme office
will inform the students that the make-up examination/re-take
examination will be held as an oral examination
instead.
|
|
| Course content and structure |
|
The course gives an introduction to life insurance mathematics
at an operational level. The idea is to cover essentially all
aspects of life insurance mathematics for elementary products with
payments contingent on the policy holder being dead or alive (term
insurance, life annuities, endowment insurance etc.) Extensions to
other life event contracts (disability annuities, unemployment
insurance, premium waiver benefits etc.) are only vaguely
discussed. Topics covered include mortality modeling; reserves;
expected cash flows; linear difference and differential equations.
Thiele’s differential equation; relations to credit risk modeling
and credit derivative pricing; stochastic interest and mortality
rates; emergence and redistribution of surplus in guaranteed
products; fundamentals of unit-link products; unit-link products
with guarantees; policy holder options; expenses and profitability
considerations; technical versus market-based valuation; relations
to essential concepts in accounting and solvency for a pension
fund; discussions about the demand for life insurance and pension
contracts.
|
| Teaching methods |
| Lectures. 8 weeks with 4 lectures in one
day. |
| Feedback during the teaching period |
| Via discussion during lecture and exercise
sesstions |
| Student workload |
| Teaching |
33 hours |
| Preparation |
170 hours |
| Exam |
3 hours |
|
| Expected literature |
|
Lecture notes.
|
Last updated on
30-06-2017
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