The seminar will be held in English.
If you have any questions, please contact
- Prof. An Chen (e-mail: an.chen(at)uni-ulm.de)
2/0 SWS (4 ECTS)
This seminar takes place as a block seminar. The attendance at all seminar dates is required.
If you are interested, please register for the seminar at
(From Thursday, July 4, 2019 until Thursday, July 11, 2019 you must enter your seminar preferences in the tab "Seminars”)
A preliminary seminar meeting will take place on a date to be announced, at the Institute of Insurance Science (room 1.69, HeHo 20).
In this seminar, we are going to focus on some topics in life and pension insurance. We are specifically dealing with different types of risk inherent in a life insurance contract and optimal retirement products. The seminar is based on scientific papers that summarize recent results in this area.
It is possible to work on self-proposed topics.
The seminar is suitable for Master students in Wirtschaftsmathematik, Wirtschaftswissenschaften or Finance. Previous knowledge in Personenversicherungsmathematik, Insurance Economics and Finanzmathematik 1 are helpful.
Typically, seminar papers are distributed to a group of 2 students.
The seminar performance consists of three parts:
Duration of the presentation: 90 minutes (including discussion).
Delivery of the presentation documents: at least one week before the presentation via e-mail to email@example.com. The creation of the presentation documents is a performance of the whole group.
Based on the performance, every participant will be credited with an (internal) grade.
1. Broeders, D., R. Mehlkopf and van Ool, A. (2018). The economics of sharing macro-longevity risk. Working paper.
2. Donnelly, C. and Young, J. (2017). Product options for enhanced retirement income. British Actuarial Journal, Vol. 22 (3), pp. 636–656.
3. Hanbali, H., Denuit, M., Dhaene, J., and Trufin, J. (2019). A dynamic equivalence principle for systematic longevity risk management. Insurance: Mathematics and Economics 86, 158-167.
4. Milevsky, M. A., & Huang, H. (2011). Spending Retirement on Planet Vulcan: The Impact of Longevity Risk Aversion on Optimal Withdrawal Rates (corrected July 2011). Financial Analysts Journal, 67(2), 45-58.
5. Milevsky, M. A., & Huang, H. (2018). The Utility Value of Longevity Risk Pooling: Analytic Insights. Working paper.
6. Milevsky, M. A., & Salisbury, T. S. (2015). Optimal retirement income tontines. Insurance: Mathematics and Economics, 64, 91-105.
7. Hu, W. Y., & Scott, J. S. (2007). Behavioral obstacles in the annuity market. Financial Analysts Journal, 63(6), 71-82. (& Chen, A., Haberman, S. and Thomas, S. (2016), Cumulative Prospect Theory, Deferred Annuities and the Annuity Puzzle. Working paper. Available at SSRN: https://ssrn.com/abstract=2862792)
8. Scott, J. S., Watson, J. G., & Hu, W. Y. (2011). What makes a better annuity?. Journal of Risk and Insurance, 78(1), 213-244.
9. Chen, A., Haberman, S., & Thomas, S. (2018). The implication of the hyperbolic discount model for the annuitisation decisions. Journal of Pension Economics & Finance, 1-20.