Special Aspects of Insurance Economics

Amount

Masterseminar 2/0 SWS

Date

This seminar takes place on one single day (see below). The attendance at all seminar presentations is required.

Date: December 14, 2018; beginning: 9 am

Room: Heho20/1.27

Further Information

The seminar will be held in English.

If you have any questions, please contact Manuel Rach or Thorsten Sehner.

Content

This seminar focuses on life and pension insurance. We mainly deal with the fair valuation and risk management of equity/unit-linked life and pension insurance products. The seminar is based on scientific papers that summarize recent results in this area, and particularly address some ongoing issues like collective risk sharing, customer protection, and the role of transaction costs.

Target Group

The seminar is suitable for master students in Wirtschaftsmathematik or Wirtschaftswissenschaften or Finance. Previous knowledge in Personenversicherungsmathematik, Insurance Economics and Finanzmathematik 1 is helpful. 

Seminar Performance

Typically, seminar papers are distributed to a group of 2 students.
The seminar performance consists of these parts:

  • A seminar presentation about a selected topic. The presentation typically includes some theoretical derivations/model introduction and some numerical part that applies the results in a realistic setup. Duration of the presentation: around 90 minutes (group of two) or around 60 minutes (single presenter). It is preferred that presentations are created with LaTeX, but other programs can be used as well.
  • A written formulation of the presentation documents as a support for the participants of a maximum length of two pages. Delivery of the presentation documents: at least one week before the presentation via email to Manuel Rach or Thorsten Sehner. The creation of the presentation documents is a performance of the whole group.
  • At least two weeks before the seminar day, the presentation has to be discussed with the corresponding supervisor. Contact your supervisor to make an appointment!
  • Active participation in the seminar.

Students in Wirtschaftswissenschaften and in Finance will receive a grade for their performances.

Seminar Papers

  1. Albrecht, P.; Huggenberger, M.: The fundamental theorem of mutual insurance, Insurance: Mathematics & Economics, Vol. 75, pp. 180-188.
  2. Alexandrova, M.; Bohnert, A.; Gatzert, N.; Russ, J.: Equity-linked life insurance based on traditional products: the case of select products, European Actuarial Journal, 2018.
  3. Bernard, C.; Le Courtois, B.: Asset risk ranagement of participating contracts, Asia-Pacific Journal of Risk and Insurance, Vol. 6, No. 2, pp. 1-23, 2012.
  4. Dhaene, J.; Stassen, B.; Barigou, K.; Linders, D.: Fair valuation of insurance liabilities: merging actuarial judgement and market consistency, Insurance: Mathematics & Economics, Vol. 76, pp. 14-27.
  5. Døskeland, T.M.; Nordahl, H.A.: Optimal pension insurance design, Journal of Banking & Finance, Vol. 32, pp. 382-392, 2008.
  6. Gatzert, N.; Kling, A.: Analysis of participating life insurance contracts: a unification approach, Journal of Risk and Insurance, Vol. 74, No. 3, pp. 547-570.
  7. Hansen, M.; Miltersen, K.R.: Minimum rate of return guarantees: the Danish case, Scandinavian Actuarial Journal, Vol. 4, pp. 280-318.
  8. Milevsky, M. A., & Salisbury, T. S.: Optimal retirement income tontines, Insurance: Mathematics and economics, Vol. 64, pp. 91-105, 2015.
  9. Qiao, C.; Sherris, M.: Managing systematic mortality risk with group self-pooling and annuitization schemes, Journal of Risk and Insurance, Vol. 80, No. 4, pp. 949-974.