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Identical coursesLife Insurance Mathematics (B-KUL-D0R32A)
Cannot be taken as part of an examination contract
Dhaene Jan (coordinator) | Dhaene Jan | Teunen Marleen Aims
The course aims at offering students a thorough insight to the domain of individual life insurances. Emphasis is put on the actuarial aspects of this insurance branch. The course is intended for those who want to study the mathematical aspects of premium setting and valuation of life insurances (with benefits payable at survival or death), insurances related to the remaining debt of a loan, pension insurances, life annuities, equity-linked insurances , etc..
Previous knowledge
- Basic knowledge of probability theory, as considered in Ross (2009), or an equivalent book.
Ross, S. (2009). A first course in probability (8th edition), Prentice Hall.
- Having a Bachelor or Master degree with mathematic and/or economic base. Professional Bachelor degrees are not admitted.
Is included in these courses of study
- Master handelsingenieur (Leuven) 120 ects.
- Master handelsingenieur (Leuven) (Minor: Actuariële en financiële wetenschappen) 120 ects.
- Master in de economie, het recht en de bedrijfskunde (Leuven) 120 ects.
- Master of Business Engineering (Leuven) 120 ects.
- Master of Business Engineering (Leuven) (Minor: Actuarial and Financial Engineering) 120 ects.
- Master of Actuarial and Financial Engineering (Leuven) 120 ects.
- Master in de actuariële en financiële wetenschappen (Leuven) 120 ects.
- Courses for Exchange Students Faculty of Economics and Business (Leuven)
Activities
6 ects. Life Insurance Mathematics (B-KUL-D0R32a)
Content
In this course, techniques which form the basis of premium calculation, provisioning and valuation in life insurances are studied thoroughly. A lot of attention is given to the specific terminology used in the life insurance field. The juridical framework and the socio-economic meaning of life insurances are studied as well.
More specifically, the following aspects are studied:
- Types of classical life insurance products: temporary, lifelong and deferred life insurances, pure endowments, life annuities.
- Risk classification: age, sex, smoker versus non-smoker, …
- Life tables: classic life tables (with age as the only input), selection tables (with age and time passed since underwriting the insurance as inputs), death probabilities, remaining life expectancy.
- Choice of the technical bases: life table, technical interest rate, costs.
- Premium calculation: the equivalence principle.
- Mathematical reserves: prospective and retrospective provisions.
- Risk and saving premiums.
- Policy transformations: surrender, reduction.
- Modern life insurance products: flexible life insurance products, unit-linked life insurance, variable annuities.
- Tarification and reservation in practice
Course material
- Chapters 1,2,3,4,5,6 and 7 from:
Dickson, D.C.M., Hardy, M.R., Waters, H.W. (2020). Actuarial Theory for Life Contingent Risks (third edition). Cambridge University Press.
- Presentation and additional course texts used in class. These documents can be found on the Blackboard Ultra pages of the course.
- Solutions of exercises in the course book:
Dickson, D.C.M., Hardy, M.R., Waters, H.W. (2020). Solutions Manual for Actuarial Theory for Life Contingent Risks (third edition). Cambridge University Press.
Evaluation
Evaluation: Life Insurance Mathematics (B-KUL-D2R32a)
Explanation
Evaluation Features
* The assignment consists of one or more homework exercises. The deadline for submission is set by the teacher(s) and announced via Blacboard Ultra . The assignment counts for 20% of the final score.
* The exam is an open book exam. This part of the evaluation counts for 80% of the final score.
* During the open book exam only the material used in theory classes (syllabus, presentations, supplementary course texts) may be consulted by the student. This material must be blank. Notes made by the student during class, as well as solutions of exercises are not allowed.
* The open book exam consists of a series of theoretical and/or numerical exercises that not only test whether the student has understood the material but also whether he can use it to solve specific actuarial practical problems in the context of life insurances.
* To develop and solve the numerical exam questions the student can use a simple non-graphic pocket calculator. He can also make use of mortality tables and a set of actuarial quantities (single premiums) which will be made available on the exam.
* The level of the exam is in line with the exercises solved or indicated in class.
Determining the result
* The course is assessed by the teacher(s), as announced via Toledo and the examination schedule. The result is calculated and expressed as a whole number on 20.
* The end result is a weighted result,and is determined as follows: Mandatory homework assignments during the academic year are judged on four of the 20 points, the final exam on 16 of the 20 points.
* If the student does not participate in the homework assignments or final examination, the evaluation of the unrecorded part counts as a score of 0 in the weighted result.
* If the specified deadline for submission of the homework assignments is not respected, the evaluation of these assignments counts as a score of 0 in the weighted result.
Retake
* The evaluation characteristics and the determination of the final result at the second examination are identical to those of the first examination chance as described above.
* Due to the nature of the homework assignments, the grade on the homework assignments obtained at the first examination opportunity will be transferred to the second chance.