401-3927-00L Mathematical Modelling in Life Insurance
|Semester||Autumn Semester 2019|
|Lecturers||T. J. Peter|
|Periodicity||yearly recurring course|
|Language of instruction||English|
|Abstract||In life insurance, it is essential to have adequate mortality tables, be it for reserving or pricing purposes. The course provides the tools necessary to create mortality tables from scratch. Additionally, we study various guarantees embedded in life insurance products and learn to price them with the help of stochastic models.|
|Objective||The course's objective is to provide the students with the understanding and the tools to create mortality tables on their own. |
Additionally, students should learn to price embedded options in life insurance. Aside of the mere application of specific models, they should develop an intuition for the various drivers of the value of these options.
|Content||Following main topics are covered:|
1. Guarantees and options embedded in life insurance products.
- Stochastic valuation of participating contracts
- Stochastic valuation of Unit Linked contracts
2. Mortality Tables:
- Determining raw mortality rates
- Smoothing techniques: Whittaker-Henderson, smoothing splines,...
- Trends in mortality rates
- Stochastic mortality model due to Lee and Carter
- Neural Network extension of the Lee-Carter model
- Integration of safety margins
|Lecture notes||Lectures notes and slides will be provided|
|Prerequisites / Notice||The exams ONLY take place during the official ETH examination period.|
The course counts towards the diploma of "Aktuar SAV".
Good knowledge in probability theory and stochastic processes is assumed. Some knowledge in financial mathematics is useful.