- The lectures and exercises are in English.
- Handing in Homework is compulsory.
- All further information and all documents can be found in moodle.
Time and place
Thursdays, 10:15-12:00, HeHo 18 - 120
2 hours lecture
Basic knowledge of life insurance mathematics and basic probabilistic models for the calculation of future life spans and mortality tables (e.g. module "Life-, Healtth- and Pension-Mathematics").
Master students in Mathematics, Business Mathematics, Finance, Data Science and Mathemtical Biometry
The content of this course may change from year to year.
Some examples of topics are the following:
- Lee, R. and L. Carter (1992). Modeling and forecasting U.S. mortality, Journal of the American Statistical Association, Volume 87, 659-671.
- Brouhns, N.M. Denuit and J. Vermunt (2002). A Poisson log-bilinear approach to the construction of projected mortality lifetables, Insurance: Mathematics and Economics, Volume 31, 373-393.
- Girosi, F., and G. King (2007) Understanding the Lee-Carter mortality forecasting method. Recuperado de gking.harvard.edu/files/lc.pdf (2007).
- Cairns, A. D. Blake, and K. Dowd (2006) A two-factor model for stochastic mortality with parameter uncertainty. Theory and Calibration. The Journal of Risk and Insurance, Vol. 73, 4, 687-718.
- Richman, R., and Wüthrich, M. V. (2021). A neural network extension of the Lee–Carter model to multiple populations. Annals of Actuarial Science, 15(2), 346-366.
The focus of the course is especially on the Lee-Carter and the log-Poisson Model.
The module examination consists of a graded written or oral examination, depending on the number of participants. The form of the examination will be announced in good time before the examination is held - at least 4 weeks before the examination date.
Depending on the topics covered, the literature relevant to each semester will be communicated at the beginning of the semester.