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Dr George Tzougas

This course is compulsory on the BSc in Actuarial Science. This course is available on the BSc in Business Mathematics and Statistics, BSc in Mathematics, Statistics, and Business and BSc in Statistics with Finance. This course is not available as an outside option. This course is available to General Course students.

Students must have completed:

EITHER Probability, Distribution Theory and Inference (ST202) OR Probability and Distribution Theory (ST206)

AND Survival Models (ST227).

Single life mortality models, assurance and annuity contracts and their actuarial notation, computation of their present values and variances; relations among the present values of the various contracts.

The equivalence principle: computation of net premiums for the main assurance policies.

Prospective and retrospective reserves, Thiele's differential equation as the main tool for the computation of reserves.

Expenses: gross premium and gross reserves. Selection effect and how it affects mortality tables.

Multi-life assurance contracts: joint life and last survival life, computation of premiums and reserves for the main two-lives contracts.

Multi-states mortality models: basic notions of continuous-time Markov chains, Kolmogorov backward and forward equations, application to multiple decrements and disability models, computation of transition intensities.

Thiele differential equation for multi-states models, computation and analysis of reserves for main multi-state policies.

With-profit policies, unit-linked assurance policies, pensions.

Interplay between assurance and finance: embedded options, market consistent actuarial valuation.

20 hours of lectures and 10 hours of seminars in the MT.

Week 6 will be a reading week. 

Compulsory written answers to one set of problems.

R Norberg, Basic Life Insurance Mathematics; The Institute of Actuaries, Core reading Subject CT5

Dickson, Hardy, Waters, 'Actuarial Mathematics for Life Contingent Risks'

Wutrich, Buhlmann, Furrer, 'Market Consistent Actuarial Valuation'

Exam (100%, duration: 3 hours) in the January exam period.