Measurement of Life Risk

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

Art der Vermittlung

Präsenzveranstaltung

Art der Veranstaltung

Pflichtfach

Empfohlene Fachliteratur

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

Lern- und Lehrmethode

Interactive teaching (lecture and discussion)

Prüfungsmethode

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

Voraussetzungen laut Lehrplan

FOEC10, FUFI10, FUMS10, MUME10, PRDA10, TSAN10

Schnellinfos

Studiengang

Quantitative Asset and Risk Management (Master)

Akademischer Grad

Master

ECTS Credits

3.00

Unterrichtssprache

Englisch

Studienplan

Berufsbegleitend

Studienjahr, in dem die Lerneinheit angeboten wird

2024

Semester in dem die Lehrveranstaltung angeboten wird

2 SS

Incoming

Lernergebnisse der Lehrveranstaltung

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.

Kennzahl der Lehrveranstaltung

0613-09-01-BB-EN-12