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    Life Contingencies II: Objectives

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    Haris Grdellaj

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    Life Contingencies II: Objectives

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    Haris Grdellaj

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    Life_Contingencies_II_FALL2020

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    Haris Grdellaj

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    234 views2 pages

    Life Contingencies II: Objectives

    Uploaded by

    david Abotsitse
    Haris Grdellaj

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
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    Life Contingencies II

    • Teacher: François Dufresne


    • 6 credits
    • 4h each week [fall]
    • Related programme: Master of Science in Actuarial Science
    • Assistant: Haris Grdellaj

    Objectives

    This course aims at providing the students with a working knowledge of life insurance
    mathematics. The underlying concepts and tools are used in life insurance (including life
    annuities), pension funds, and social security design, valuation, and planning. At the end of
    the second part of this course (Life Contingencies II), the student will be able to compute life
    insurance premiums, reserves, etc., build survival models (single/multiple decrements) using
    stochastic and deterministic approaches.

    Contents

    • Commutation functions.
    • Analysis of benefits reserves: recursion, benefits reserves at fractional duration,
    allocation of the loss to the policy years.
    • Multiple life functions: joint-life, last-survivor; insurance and annuity benefits; special
    mortality assumptions; models for dependence of future lifetimes.
    • Multiple decrement models: stochastic and deterministic approaches, associated single
    decrement, fractional durations.
    • Multiple state models.
    • Applications of multiple decrements models: Valuation theory for pension plans.
    • Insurance models including expenses; including modified reserves systems.

    Prerequisite Course

    Life Contingencies I is a prerequisite course for Life Contingencies II.

    Organization

    Lectures
    Solution of exercises
    Presentation of computer implementations of some concepts
    Mock midterm exam

    References

    Bowers, N.L., D.A. Jones, H.U. Gerber, C.J. Nesbitt, J.C. Hickman (1997) Actuarial
    Mathematics, 2nd ed., Society of Actuaries, Schaumburg (IL).

    N.B.: An electronic version of this book (Actuarial Mathematics) can be found on


    LC2’s web site. It will be assumed that every student has a copy of it.

    University of Lausanne – HEC – Semester “Fall 2020” – Life Contingencies II 1 of 2


    Cunningham, R., T.N. Herzog, R.L. London (2011) Models for Quantifying Risk, 4th ed.,
    ACTEX Publications, Winsted (CT).

    Dickson, C.M., M.R. Hardy, H.R. Waters (2013) Actuarial Mathematics for Life Contingent
    Risks, 2nd ed., Cambridge University Press, Cambridge.

    Gerber, H.U. (1997) Life Insurance Mathematics, 3rd ed., Springer, Berlin.

    Jordan, C.W. (1967) Life Contingencies, 2nd ed., Society of Actuaries, Schaumburg (IL).

    Promislow, S.D. (2006) Fundamentals of Actuarial Mathematics, Wiley, New York.

    LC2’s web site: a moodle web site

    1. Go to moodle.unil.ch
    2. Click on the Unil button
    3. Login (give your username and UNIL password)
    4. Navigate to “Life Contingencies II”
    5. The activation key is ‘balducci’ (without the quotes)

    Suggestion: bookmark the main web page of LC2’s Moodle web site.

    Examination
    Final exam

    Duration: 2 hours

    Type: written exam

    Documentation: Documentation allowed

    Grades

    Final grade = Final exam grade

    Retake exam

    Same conditions as for the final exam

    University of Lausanne – HEC – Semester “Fall 2020” – Life Contingencies II 2 of 2

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