Prof Angelos Dassios COL.7.14

This course is compulsory on the BSc in Actuarial Science. This course is available on the BSc in Data Science and BSc in Mathematics, Statistics and Business. This course is available as an outside option to students on other programmes where regulations permit and to General Course students.

Students must have completed:

EITHER Probability, Distribution Theory and Inference (ST202) OR Probability and Distribution Theory (ST206)

AND both Actuarial Investigations: Financial (ST226) AS WELL AS 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 lectures, classes and Q&A help sessions in the Autumn Term:

• Ten 2-hour lectures in AT (weeks 1-10)
• Nine 1-hour classes in AT (weeks 2-10)
• Five 1-hour help sessions in AT (weeks 6-10)

This course does not include a reading week. There will be no teaching in week 11 to allow time for students to concentrate on the project.

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 (70%, duration: 2 hours) in the January exam period.
Project (30%) in the period between AT and WT.

Students will work on the project during the last few weeks of AT and submit after the end of term.