Topics in Life and Pension Insurance


Prof. Dr. An Chen

Manuel Rach



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


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.


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


  • 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.