Measurement of Life Risk

Brief description

Modelling of future life time on historical data: approaches that assume a) constant mortality rates, b) mortality rates that change deterministically, c) mortality rates that change stochastically over time; Simulation of the future life time on the basis of the above models; Financial products that contain biometric risks: life insurance, pension funds; Pricing rules for life insurance contracts; Modelling loss distributions and estimating the Value at Risk for the above products and for portfolios of products; Combining interest rate and biometric risk and simulating the joint loss distribution of insurance products and portfolios; Back testing and stress testing

Mode of delivery

face to face

Type

compulsory

Recommended or required reading and other learning resources/tools

Dickson, D., Hardy, M., Waters, H., 2019, Actuarial Mathematics for Life Contingent Risks, 3rd edition, Cambridge University Press; Promislow, S., 2014, Fundamentals of Actuarial Mathematics, 3rd edition, Wiley; Seog, S., 2010, The Economics of Risk and Insurance, Wiley-Blackwell; Gerber, H., 2010, Life Insurance Mathematics, Springer

Planned learning activities and teaching methods

Interactive teaching (lecture and discussion)

Assessment methods and criteria

30% participation (class tests), 70% written final examination.

Prerequisites and co-requisites

FOEC10, FUFI10, FUMS10, MUME10, PRDA10, TSAN10

Infos

Degree programme

Quantitative Asset and Risk Management (Master)

Cycle

Master

ECTS Credits

3.00

Language of instruction

English

Curriculum

Part-Time

Academic year

2024

Semester

2 SS

Incoming

Yes

Learning outcome

After the successful completion of the course, students are able to calculate appropriate premiums and technical provisions for life-insurance products. They are able to assess how unexpected changes in future mortality rates, future investment returns and future expenses affect the premiums and provisions. Understanding mortality rates allows them to derive the distribution of the future life time of (insured) persons. They are able to develop stochastic models to estimate the loss distribution for a portfolio of insurance contracts. This understanding allows them to estimate risk measures such as the Value at Risk.

Course code

0613-09-01-BB-EN-12