After successful completion of the course, students are able to...

• to describe models with stochastic mortality
• to determine transition probabilities and state-wise reserves in multi-state models
• to value and hedge unit-linked life insurance contracts
• to discuss mortality derivatives

• 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

After successful completion of the course, students are able to...

• to give proofs in the framework of the offered topics
• to be able to perform calculations in concrete examples

Oral examination; Calculation of exercises