Introduction to modern and practically relevant methods of life insurance mathematics with emphasis on the Markovian model, stochastic interest and unit-linked policies.

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)

written and oral examination

Michael Koller: Stochastische Modelle in der Lebensversicherung, Springer-Verlag (2000) Exercise sheets for the course: http://www.fam.tuwien.ac.at/~gab/