This information is for the 2020/21 session.
Teacher responsible
Angelos Dassios
Availability
This course is compulsory on the BSc in Actuarial Science. This course is available on the BSc in Business Mathematics and Statistics and BSc in Mathematics, Statistics and Business. This course is not available as an outside option. This course is available to General Course students.
Pre-requisites
Students must have completed:
EITHER Probability, Distribution Theory and Inference (ST202) OR Probability and Distribution Theory (ST206)
AND Survival Models (ST227).
Course content
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.
Teaching
This course will be delivered through a combination of seminars and lectures totalling a minimum of 30 hours across in the Lent Term. This year, some or all of this teaching may be delivered through a combination of virtual classes and flipped-lectures delivered as short online videos.
Formative coursework
Compulsory written answers to one set of problems.
Indicative reading
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'
Assessment
Exam (100%, duration: 3 hours) in the summer exam period.
Key facts
Department: Statistics
Total students 2019/20: 73
Average class size 2019/20: 24
Capped 2019/20: No
Value: Half Unit
Personal development skills
Important information in response to COVID-19
Please note that during 2020/21 academic year some variation to teaching and learning activities may be required to respond to changes in public health advice and/or to account for the situation of students in attendance on campus and those studying online during the early part of the academic year. For assessment, this may involve changes to mode of delivery and/or the format or weighting of assessments. Changes will only be made if required and students will be notified about any changes to teaching or assessment plans at the earliest opportunity.
Student performance results
(2017/18 - 2019/20 combined)
| Classification | % of students |
|---|---|
| First | 73.4 |
| 2:1 | 11.8 |
| 2:2 | 6.3 |
| Third | 3.8 |
| Fail | 4.6 |