401-3927-00L Mathematical Modelling in Life Insurance
| Semester | Autumn Semester 2020 |
| Lecturers | T. J. Peter |
| Periodicity | yearly recurring course |
| Language of instruction | English |
Courses
| Number | Title | Hours | Lecturers | ||||
|---|---|---|---|---|---|---|---|
| 401-3927-00 V | Mathematical Modelling in Life Insurance | 2 hrs |
| T. J. Peter |
Catalogue data
| Abstract | In life insurance, it is essential to have adequate mortality tables, be it for reserving or pricing purposes. The course provides the tools necessary to create mortality tables from scratch. Additionally, we study various guarantees embedded in life insurance products and learn to price them with the help of stochastic models. |
| Learning objective | The 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. |
| Content | Following main topics are covered: 1. Guarantees and options embedded in life insurance products. - Stochastic valuation of participating contracts - Stochastic valuation of Unit Linked contracts 2. Mortality Tables: - Determining raw mortality rates - Smoothing techniques: Whittaker-Henderson, smoothing splines,... - Trends in mortality rates - Stochastic mortality model due to Lee and Carter - Neural Network extension of the Lee-Carter model - Integration of safety margins |
| Lecture notes | Lectures notes and slides will be provided |
| Prerequisites / Notice | The 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. |
Performance assessment
| Performance assessment information (valid until the course unit is held again) | |
Performance assessment as a semester course | |
| ECTS credits | 4 credits |
| Examiners | T. J. Peter |
| Type | session examination |
| Language of examination | English |
| Repetition | The performance assessment is offered every session. Repetition possible without re-enrolling for the course unit. |
| Mode of examination | oral 20 minutes |
| Additional information on mode of examination | Language of examination: English or German / Prüfungssprache: Deutsch oder Englisch |
| This information can be updated until the beginning of the semester; information on the examination timetable is binding. | |
Learning materials
| No public learning materials available. | |
| Only public learning materials are listed. |
Groups
| No information on groups available. |
Restrictions
| There are no additional restrictions for the registration. |
