2016/2017
KAN-CCMVV2602U The Mathematics of Life Insurance and
Pension
| English Title |
| The Mathematics of Life Insurance and
Pension |
|
|
| 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
Contact information:
https://e-campus.dk/studium/kontakt |
| Main academic
disciplines |
- Finance
- Mathematics
- Statistics and quantitative methods
|
|
Last updated on
29-09-2016
|
| Learning objectives |
To achieve the grade 12, students
should meet the following learning objectives with no or only minor
mistakes or errors: 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 |
|
The
Mathematics of Life Insurance and Pension:
|
| Exam
ECTS |
7,5 |
| Examination form |
Written sit-in exam |
| 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 allowed to bring to the exam |
Limited aids, see the list below:
- Written sit-in-exam on CBS' computers
- Written sit-in-exam with pen and paper
- Books and compendia brought by the examinee
- Notes in paper format brought by the examinee
- Access to personal drive (S-drive) on CBS' network
- USB key to upload your notes before the exam
- Access to all information on CBSLearn
- Full access (including Internet access)
- Own laptop/tablet as a reference book (NB there is no power
supply available)
- Any calculators
- All dictionaries
- Dictionaries (only some, see specification
below)
|
| 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.
|
Description of the exam
procedure
The students have the option to write the exam in hand or on
CBS-PC.
|
|
| 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. |
| Student workload |
| Teaching |
33 hours |
| Preparation |
170 hours |
| Exam |
3 hours |
|
| Expected literature |
|
Lecture notes.
|
Last updated on
29-09-2016
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