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105.657 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.

2019S, VU, 2.0h, 4.0EC

Properties

Semester hours: 2.0
Credits: 4.0
Type: VU Lecture and Exercise

Aim of course

Understanding of deeper problems in life insurance mathematics.

Subject of course

General life insurance model
Markov chains with countable state space, Chapman-Kolmogorov equation, forward and backward equations
Thiele's differential equation for the prospective reserve
Examples from practice (guaranteed annuities,
stochastic interest rates, health insurance)
Value process and Hattendorff's theorem
Unit-linked contracts in the framework of a financial markets model, Black-Scholes formula
Life insurance with stochastic interest rates
Premium calculation principles

Lecturers

Rheinländer, Thorsten

Institute

E105 Institute of Statistics and Mathematical Methods in Economics

Course dates

Day	Time	Date	Location	Description
Wed	16:00 - 18:00	06.03.2019 - 26.06.2019	Sem.R. DA grün 05	.

Show single appointments

Advanced life insurance mathematics - Single appointments

Day	Date	Time	Location	Description
Wed	06.03.2019	16:00 - 18:00	Sem.R. DA grün 05	.
Wed	13.03.2019	16:00 - 18:00	Sem.R. DA grün 05	.
Wed	20.03.2019	16:00 - 18:00	Sem.R. DA grün 05	.
Wed	27.03.2019	16:00 - 18:00	Sem.R. DA grün 05	.
Wed	03.04.2019	16:00 - 18:00	Sem.R. DA grün 05	.
Wed	10.04.2019	16:00 - 18:00	Sem.R. DA grün 05	.
Wed	08.05.2019	16:00 - 18:00	Sem.R. DA grün 05	.
Wed	15.05.2019	16:00 - 18:00	Sem.R. DA grün 05	.
Wed	22.05.2019	16:00 - 18:00	Sem.R. DA grün 05	.
Wed	29.05.2019	16:00 - 18:00	Sem.R. DA grün 05	.
Wed	12.06.2019	16:00 - 18:00	Sem.R. DA grün 05	.
Wed	19.06.2019	16:00 - 18:00	Sem.R. DA grün 05	.
Wed	26.06.2019	16:00 - 18:00	Sem.R. DA grün 05	.

Course registration

Begin	End	Deregistration end
30.01.2019 00:00	12.03.2019 23:59	08.04.2019 23:59

Curricula

Study Code	Obligation	Semester	Precon.	Info
066 405 Financial and Actuarial Mathematics	Mandatory
860 GW Optional Courses - Technical Mathematics	Not specified

Literature

No lecture notes are available.

Language

if required in English