ST301 Half Unit
Actuarial Mathematics (Life)
This information is for the 2015/16 session.
Teacher responsible
Dr Luciano Campi COL.7.10
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 Statistics with Finance. This course is not available as an outside option nor to General Course students.
Pre-requisites
Students must have completed Probability, Distribution Theory and Inference (ST202) 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
20 hours of lectures and 10 hours of seminars in the LT.
Week 6 will be a reading week.
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 main exam period.
Key facts
Department: Statistics
Total students 2014/15: Unavailable
Average class size 2014/15: Unavailable
Capped 2014/15: No
Value: Half Unit
PDAM skills
- Problem solving
- Application of information skills
- Application of numeracy skills
- Commercial awareness
- Specialist skills