# 105.759 Advanced life insurance mathematics This course is in all assigned curricula part of the STEOP.\$(function(){PrimeFaces.cw("Tooltip","widget_j_id_21",{id:"j_id_21",showEffect:"fade",hideEffect:"fade",target:"isAllSteop"});});This course is in at least 1 assigned curriculum part of the STEOP.\$(function(){PrimeFaces.cw("Tooltip","widget_j_id_23",{id:"j_id_23",showEffect:"fade",hideEffect:"fade",target:"isAnySteop"});}); 2025S 2024S 2023S

2023S, VU, 2.0h, 3.5EC

## Properties

• Semester hours: 2.0
• Credits: 3.5
• Type: VU Lecture and Exercise
• Format: Presence

## Learning outcomes

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

## 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, life insurance with 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

## Teaching methods

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

## Course dates

DayTimeDateLocationDescription
Wed16:00 - 18:0001.03.2023 - 28.06.2023FH Hörsaal 7 - GEO .
Advanced life insurance mathematics - Single appointments
DayDateTimeLocationDescription
Wed01.03.202316:00 - 18:00FH Hörsaal 7 - GEO .
Wed15.03.202316:00 - 18:00FH Hörsaal 7 - GEO .
Wed22.03.202316:00 - 18:00FH Hörsaal 7 - GEO .
Wed29.03.202316:00 - 18:00FH Hörsaal 7 - GEO .
Wed19.04.202316:00 - 18:00FH Hörsaal 7 - GEO .
Wed26.04.202316:00 - 18:00FH Hörsaal 7 - GEO .
Wed03.05.202316:00 - 18:00FH Hörsaal 7 - GEO .
Wed10.05.202316:00 - 18:00FH Hörsaal 7 - GEO .
Wed17.05.202316:00 - 18:00FH Hörsaal 7 - GEO .
Wed24.05.202316:00 - 18:00FH Hörsaal 7 - GEO .
Wed31.05.202316:00 - 18:00FH Hörsaal 7 - GEO .
Wed07.06.202316:00 - 18:00FH Hörsaal 7 - GEO .
Wed14.06.202316:00 - 18:00FH Hörsaal 7 - GEO .
Wed21.06.202316:00 - 18:00FH Hörsaal 7 - GEO .
Wed28.06.202316:00 - 18:00FH Hörsaal 7 - GEO .

## Examination modalities

Oral examination; Calculation of exercises

## Course registration

Begin End Deregistration end
01.12.2022 00:00 13.03.2023 23:59 31.03.2023 23:59

## Curricula

Study CodeObligationSemesterPrecon.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