Angelos Dassios

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.

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.

This course will be delivered through a combination of seminars, lectures and help sessions totalling a minimum of 30 hours across in the Michaelmas Term. This year, some of this teaching may be delivered through a combination of virtual classes and flipped-lectures delivered as short online videos. 

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 (90%, duration: 3 hours) in the January exam period.
Coursework (10%) in the period between MT and LT.

The project will be timed (2hr + submission time)

Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.