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

Institute

Course dates

DayTimeDateLocationDescription
Wed16:00 - 18:0006.03.2019 - 26.06.2019Sem.R. DA grün 05 .
Advanced life insurance mathematics - Single appointments
DayDateTimeLocationDescription
Wed06.03.201916:00 - 18:00Sem.R. DA grün 05 .
Wed13.03.201916:00 - 18:00Sem.R. DA grün 05 .
Wed20.03.201916:00 - 18:00Sem.R. DA grün 05 .
Wed27.03.201916:00 - 18:00Sem.R. DA grün 05 .
Wed03.04.201916:00 - 18:00Sem.R. DA grün 05 .
Wed10.04.201916:00 - 18:00Sem.R. DA grün 05 .
Wed08.05.201916:00 - 18:00Sem.R. DA grün 05 .
Wed15.05.201916:00 - 18:00Sem.R. DA grün 05 .
Wed22.05.201916:00 - 18:00Sem.R. DA grün 05 .
Wed29.05.201916:00 - 18:00Sem.R. DA grün 05 .
Wed12.06.201916:00 - 18:00Sem.R. DA grün 05 .
Wed19.06.201916:00 - 18:00Sem.R. DA grün 05 .
Wed26.06.201916:00 - 18:00Sem.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

Literature

No lecture notes are available.

Language

if required in English