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105.046
Advanced life insurance mathematics
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.
2012S
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2008S
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2005S
2004S
2010S, 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
Dengler, Barbara
Gerhold, Stefan
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Examination modalities
Exercises and oral examination
Group dates
Group
Day
Time
Date
Location
Description
HL
Wed
15:00 - 19:00
03.03.2010 - 23.06.2010
Sem.R. DA grün 06A
KAINHOFER
Course registration
Not necessary
Group Registration
Group
Registration From
To
HL
25.02.2010 00:00
10.03.2010 23:59
Register in a Group
Curricula
Study Code
Obligation
Semester
Precon.
Info
066 400 Mathematics
Mandatory elective
066 401 Statistics
Mandatory elective
066 402 Mathematics in Science and Technology
Mandatory elective
066 403 Mathematics in Economics
Mandatory elective
066 404 Mathematics in Computer Science
Mandatory elective
066 405 Financial and Actuarial Mathematics
Mandatory
2. Semester
066 405 Financial and Actuarial Mathematics
Mandatory
2. Semester
066 415 Actuarial Mathematics
Mandatory
2. Semester
860 Technical Mathematics
Mandatory elective
864 Mathematics for Natural Sciences
Mandatory elective
866 Economic Mathematics
Mandatory elective
867 Statistics
Mandatory elective
869 Mathematics in Computer Science
Mandatory elective
873 Finance and Actuarial Mathematics
Mandatory elective
Literature
Lecture notes for this course are available. Siehe Downloads im TUWIS Michael Koller: Stochastische Modelle in der Lebensversicherung, Springer-Verlag (2000)
Preceding courses
105.048 VO Life insurance mathematics
105.044 UE Life insurance mathematics exercises
Language
German