105.601 Life and health 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.

2011W, VO, 4.0h, 6.0EC

Properties

  • Semester hours: 4.0
  • Credits: 6.0
  • Type: VO Lecture

Aim of course

Actuarial models for life, disability and health insurance, mathematics for pensions, pension funds, healt insurance mathematics, unit-linked life insurance contracts.

Subject of course

(I) Insurance of several lifes, total loss in a portfolio, collective model, Panjer recursion, reinsurance and types of contracts, inclusion of costs, sufficient premium, sufficient actuarial reserves, business plan, profit and contribution formula, profit sharing. (II) Introduction to pension insurance: Model (states and state changes), present values and reserves, methods for financing them. (III) Pension funds. (IV) Introduction to health insurance mathematics (according to life insurance mathematics): claims amount per risk and profiles, reserves, expense loading, conversion of a contract. (V) Unit-linked life insurance contracts: Short introduction to financial mathematics, pricing of unit-linked contracts (under the risk-neutral measure in the Black-Scholes model), Thiele's differential equation for reserves. Stochastic Interest: no principle of diversification.

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Tue10:00 - 13:0004.10.2011FH Hörsaal 3 - MATH .
Wed10:00 - 12:0005.10.2011FH Hörsaal 3 - MATH .
Tue10:00 - 12:0011.10.2011 - 24.01.2012FH Hörsaal 3 - MATH .
Wed10:00 - 12:0012.10.2011Sem.R. DA grün 03 A Achtung - anderer Raum!
Wed10:00 - 12:0030.11.2011 - 25.01.2012FH Hörsaal 3 - MATH .
Life and health insurance mathematics - Single appointments
DayDateTimeLocationDescription
Tue04.10.201110:00 - 13:00FH Hörsaal 3 - MATH .
Wed05.10.201110:00 - 12:00FH Hörsaal 3 - MATH .
Tue11.10.201110:00 - 12:00FH Hörsaal 3 - MATH .
Wed12.10.201110:00 - 12:00Sem.R. DA grün 03 A Achtung - anderer Raum!
Tue18.10.201110:00 - 12:00FH Hörsaal 3 - MATH .
Tue25.10.201110:00 - 12:00FH Hörsaal 3 - MATH .
Tue08.11.201110:00 - 12:00FH Hörsaal 3 - MATH .
Tue22.11.201110:00 - 12:00FH Hörsaal 3 - MATH .
Tue29.11.201110:00 - 12:00FH Hörsaal 3 - MATH .
Wed30.11.201110:00 - 12:00FH Hörsaal 3 - MATH .
Tue06.12.201110:00 - 12:00FH Hörsaal 3 - MATH .
Wed07.12.201110:00 - 12:00FH Hörsaal 3 - MATH .
Tue13.12.201110:00 - 12:00FH Hörsaal 3 - MATH .
Tue20.12.201110:00 - 12:00FH Hörsaal 3 - MATH .
Wed21.12.201110:00 - 12:00FH Hörsaal 3 - MATH .
Tue10.01.201210:00 - 12:00FH Hörsaal 3 - MATH .
Wed11.01.201210:00 - 12:00FH Hörsaal 3 - MATH .
Tue17.01.201210:00 - 12:00FH Hörsaal 3 - MATH .
Wed18.01.201210:00 - 12:00FH Hörsaal 3 - MATH .
Tue24.01.201210:00 - 12:00FH Hörsaal 3 - MATH .

Course registration

Begin End Deregistration end
01.10.2011 00:00 31.01.2012 23:59 31.01.2012 23:59

Curricula

Study CodeObligationSemesterPrecon.Info
033 205 Financial and Actuarial Mathematics Mandatory5. Semester

Literature

  • GERBER, H.U.: Life Insurance Mathematics. (3rd edition), 1997, Springer, ISBN 354062242X, Chapter 8 to 11
  • DICKSON, D., M. HARDY, H. WATERS: Actuarial Mathematics for Life Contingent Risks. International Series on Actuarial Science, 2009, Cambridge University Press, ISBN 9780521118255
  • KOLLER, M.: Stochastische Modelle in der Lebensversicherung. (2nd edition), 2010, Springer, ISBN 9783642112515
  • KOLLER, M.: Life Insurance Risk Management Essentials. EAA Series, 2011, Springer, ISBN 9783642207204

Accompanying courses

Language

German