Selection of topics related to modeling, reserving, and pricing for life insurance and pensions with a strong connection to the research of the present century. Topics include but are not limited to: policyholder behaviour, semi-Markov modeling, experience rating, forward transition rates, market consistent valuation.
In the first three weeks, the lecturers introduce a number of interconnected topics based on recent research. In the following four weeks, the students work (under supervision) in groups on a project focusing on one of these topics. The project has to be handed in to attend the exam. The exam is individual and consists of an oral defense of the project and a general discussion on the topics of the course.
At the end of the course the student is expected to have:
Knowledge about selected topics in modern life insurance mathematics.
Skills to formulate practical problems in life insurance mathematics in a theoretical framework.
Skills to summarize, orally as well as in writing, key aspects of an actuarial research paper.
Ability to read research papers in actuarial journals.
Ability to work on a small, partly independent, project in advanced life insurance mathematics.
In addition to the skills and competences mentioned above, additional skills and competences will be developed depending on the selection of topics and the topic specialization of the student in his/her project.
The course literature will primarily consist of research papers from primarily actuarial journals, which will be made available on Absalon.
Teaching and learning methods
First three weeks: Six (6) hours of lectures per week.
Beginning at the end of week three and until the end of week seven: One (1) hour of group supervision per week.
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