Tobias Jonas Peter: Catalogue data in Autumn Semester 2018

Name Dr. Tobias Jonas Peter
E-mailtobias.peter@math.ethz.ch
DepartmentMathematics
RelationshipLecturer

NumberTitleECTSHoursLecturers
401-3927-00LMathematical Modelling in Life Insurance4 credits2VT. J. Peter
AbstractIn Life insurance, it is essential to have adequate mortality tables, be it for reserving or pricing purposes. We learn to create mortality tables from scratch. Additionally, we study various guarantees embedded in life insurace products and learn to price them with the help of stochastic models.
ObjectiveThe course's objective is to provide the students with the understanding and the tools to create mortality tables on their own.

Additionally, students should learn to price embedded options in Life insurance. Aside of the mere application of specific models, they should develop an intuition for the various drivers of the value of these options.
ContentFollowing main topics are covered:

1. Overview on guarantees & options in life insurance with a real-world example demonstrating their risks
2. Mortality tables
- Determining raw mortality rates
- Smoothing of raw mortality rates
- Trends in mortality rates
- Lee-Carter model
- Integration of safety margins
3. Primer on Financial Mathematics
- Ito integral
- Black-Scholes and Hull-White model
4. Valuation of Unit linked contracts with embedded options
5. Valuation of Participating contracts
Lecture notesLectures notes and slides will be provided
Prerequisites / NoticeThe exams ONLY take place during the official ETH examination period.

The course counts towards the diploma of "Aktuar SAV".

Good knowledge in probability theory and stochastic processes is assumed. Some knowledge in financial mathematics is useful.