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Root number
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455655 |
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Semester
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FS2024 |
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Type of course
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Lecture |
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Allocation to subject
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Statistics |
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Type of exam
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not defined |
| Title |
Life Insurance |
| Description |
Interest rates (Interest rates in discrete and continuous time.
Bonds (face value, coupons, pure discount bonds).
Geometric series.
Forward rates. Instantaneous
forward rate.
Money market account.
The idea of swaps.
Yield of a bond.).
Life insurance products (Traditional life insurance products.
Modern life insurance products.
Basic principles of actuarial notation).
Survival models (Life time distribution, basic assumptions.
Survival function and the rate of mortality.
Actuarial notation related to life times.
Example of models for life time distributions).
Life tables (Basic quantities included in life tables.
Life tables for life insurance and for annuities.
Select survival models.
Commutation numbers).
Valuation of traditional life insurance contracts (The equivalence principle.
Whole life insurance (continuous and annual cases).
Term insurance.
Pure endowment and endowment insurance.
Deferred benefits).
Valuation of annuities (Annuity-certain and perpetuity.
Whole life annuity-due.
Term annuity-due.
Continuous annuities.
Deferred annuities.
Annuities with increasing amounts).
Premium calculations (Net and gross premiums.
Portfolio percentile principle.
The idea of the Expected Shortfall.
Policies with possible reimbursements of premiums).
Policy value (Net loss and net policy value.
Policies with annual cash flows.
Continuous cash flows and Thiele's differential equation).
Multiple state models (Continuous time Markov chains, transition probabilities, transition
intensities.
Valuation of insurance products contingent on states of the Markov
process.
Multiple decrement models).
Joint life insurance (Life times related to two lives.
Life insurance products on joint lives.
Interpretation as multiple state models).
Participating and universal life insurance (Components of the participating policy.
Idea of the profit testing).
Equity-linked insurance (Policyholder's fund, allocated premium and other main concepts).
Yields and risks (Yield curve. Recursive equation for the policy value.
Diversifiable risks.
Models for random interest rates in discrete and continuous time.
Basic calculations for the Vasicek model). |
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ILIAS-Link (Learning resource for course)
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Registrations are transmitted from CTS to ILIAS (no admission in ILIAS possible).
ILIAS
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Link to another web site
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| Lecturers |
PD Dr.
Maryna Ilienko, Institute of Mathematical Statistics and Actuarial Science ✉
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Prof. Dr.
Ilya Molchanov, Institute of Mathematical Statistics and Actuarial Science ✉
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ECTS
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3 |
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Recognition as optional course possible
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Yes |
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Grading
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1 to 6 |
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| Dates |
Friday 08:15-10:00 Weekly
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Friday 28/6/2024 09:15-12:00
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| Rooms |
Hörsaal B005, Exakte Wissenschaften, ExWi
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Hörraum B078, Exakte Wissenschaften, ExWi
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| Students please consult the detailed view for complete information on dates, rooms and planned podcasts. |
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