Topics in Life and Pension Insurance

Lecturer 

Prof. Dr. An Chen

Dr. Thai Nguyen

Dates

    Biweekly lecture (2+2): Tuesday 10:15-11:45 (He18/1.20) and Friday 10:15-11:45 (He18/1.20)

    Exam

    First Exam: Mar 1 2018, 2-4 pm

    Further information

    More information can be found on moodle page

    Course Content

    The lecture will be held in English and will cover the following topics:

    • Life/pension mathematics
    • Black-Scholes-Merton model
    • Unit-linked life and pension products: participating contracts and variable annuities
    • Default risk modeling (structural approach)
    • Optimal asset allocation and its application in life/pension insurance

      Requirements

      The lecture is oriented at master students from Wirtschaftsmathematik, Mathematik, Wirtschaftswissenschaften and Finance specializing in actuarial science.

      Course documents

      All documents for the lecture can be found in Moodle.

      Exam

      There will be either a written or an oral exam depending on the number of participants.

      Literature

      • Milevsky, M.A., 2006: The Calculus of Retirement Income: Financial Models for Pension Annuities and Life Insurance. Cambridge University Press.
      • Shreve, S., 2004: Stochastic Calculus for Finance II. Springer, Berlin.
      • Munk, C., 2013: Financial Asset Pricing Theory, Oxford University Press.
      • Korn, E., Korn, R., 2001: Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics. American Mathematical Society.