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105.046
Advanced life insurance mathematics
2012S
2011S
2010S
2009S
2008S
2007S
2006S
2005S
2004S
2005S, VU, 4.0h, 6.0EC
Properties
Semester hours: 4.0
Credits: 6.0
Type: VU Lecture and Exercise
Aim of course
Introduction to modern and practically relevant methods of life insurance mathematics with emphasis on the Markovian model, stochastic interest and unit-linked policies.
Subject of course
Types of life insurance, general model for life insurance, Markov chains with countable state space, Chapman-Kolmogorov equations, Markovian jump processes, forward and backward differential equations, interest as stochastic variable, deterministic and stochastic cash flows, single premiums, premium reserves, Thiele's differential equation for premium reserves, differential equation for higher moments, distribution function of the premium reserves, examples and problems coming from practice (payments during the year, guaranteed annuities, premium refund, pure endowments with stochastic interest, disability insurance), Hattendorff's theorem, unit-linked policies is a discrete and continuous-time financial market model, Black-Scholes formula, life insurance with stochastic interest, stochastic interest rate models, technical analysis (profit testing, embedded value)
Lecturers
Schmock, Uwe
Kainhofer, Reinhold
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Wed
15:00 - 19:00
02.03.2005 - 30.06.2005
GM 3 Vortmann Hörsaal
SCHMOCK
Show single appointments
Advanced life insurance mathematics - Single appointments
F
P
1
N
E
Day
Date
Time
Location
Description
Wed
02.03.2005
15:00 - 19:00
GM 3 Vortmann Hörsaal
SCHMOCK
Wed
09.03.2005
15:00 - 19:00
GM 3 Vortmann Hörsaal
SCHMOCK
Wed
16.03.2005
15:00 - 19:00
GM 3 Vortmann Hörsaal
SCHMOCK
Wed
23.03.2005
15:00 - 19:00
GM 3 Vortmann Hörsaal
SCHMOCK
Wed
30.03.2005
15:00 - 19:00
GM 3 Vortmann Hörsaal
SCHMOCK
Wed
06.04.2005
15:00 - 19:00
GM 3 Vortmann Hörsaal
SCHMOCK
Wed
13.04.2005
15:00 - 19:00
GM 3 Vortmann Hörsaal
SCHMOCK
Wed
20.04.2005
15:00 - 19:00
GM 3 Vortmann Hörsaal
SCHMOCK
Wed
27.04.2005
15:00 - 19:00
GM 3 Vortmann Hörsaal
SCHMOCK
Wed
04.05.2005
15:00 - 19:00
GM 3 Vortmann Hörsaal
SCHMOCK
Wed
11.05.2005
15:00 - 19:00
GM 3 Vortmann Hörsaal
SCHMOCK
Wed
18.05.2005
15:00 - 19:00
GM 3 Vortmann Hörsaal
SCHMOCK
Wed
25.05.2005
15:00 - 19:00
GM 3 Vortmann Hörsaal
SCHMOCK
Wed
01.06.2005
15:00 - 19:00
GM 3 Vortmann Hörsaal
SCHMOCK
Wed
08.06.2005
15:00 - 19:00
GM 3 Vortmann Hörsaal
SCHMOCK
Wed
15.06.2005
15:00 - 19:00
GM 3 Vortmann Hörsaal
SCHMOCK
Wed
22.06.2005
15:00 - 19:00
GM 3 Vortmann Hörsaal
SCHMOCK
Wed
29.06.2005
15:00 - 19:00
GM 3 Vortmann Hörsaal
SCHMOCK
F
P
1
N
E
Examination modalities
written and oral examination
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
Info
No records found.
Literature
Michael Koller
: Stochastische Modelle in der Lebensversicherung, Springer-Verlag (2000) Exercise sheets for the course:
http://reinhold.kainhofer.com/Lehre/HoehereLVM/
Language
German