Topics in Life and Pension Insurance

Lecturer 

Prof. Dr. An Chen

Dr. Peter Hieber

Dates

    Biweekly lecture (2+2): Monday 12.00-14.00 (He18/2.20) and Friday 10.00-12.00 (He18/2.20)

    First lecture on 16.04.2018

    Further information

    More information can be found on the 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)
    • Intensity modeling 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.