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Life Insurance Actuarial Controlling

  • Teacher(s):
  • Course given in: English
  • ECTS Credits:
  • Schedule: Autumn Semester 2018-2019, 2.0h. course (weekly average)
      WARNING :   this is an old version of the syllabus, old versions contain   OBSOLETE   data.
  •  séances
  • site web du cours course website
  • Related programmes:

 

Objectives

This course aims at providing students with a methodology to determine sources of profit and losses from a theoretical as well as an accounting point of view. An introduction to algorithms for profit testing calculation of embedded value and profit sharing wrap up the course. Through a combination of theoretical studies and practical work with exercises, students should acquire the actuarial tools that will be sufficient to understand and measure the profitability of insurance portfolios for a wide range of products.

Contents

1 Introductrion

2 Actuarial Modelling of Balance Sheet and Profit & Loss Account

3 Portfolio Value

4 Profit Sharing

References

Bowers N. L., Gerber H. U., Hickman J. C., Jones D. A., Nesbitt C. J. "Actuarial Mathematics" SOA, 1986 (or later)

Easton A. E., Harris, T. E.: "Actuarial Aspects of Individual Life Insurance and Annuity Contracts" Actex Publications, 1999

Gerber, Hans U. "Life Insurance mathematics" 3rd Ed., Springer, 1997

International Actuarial Association: "Stochastic Modelling – Theory and Reality from an Actuarial Perspective" 1st Ed., 2010

Pre-requisites

Life Contingencies (MScAS, sem. 2)

Evaluation

First attempt

Exam:
Written 3h00 hours
Documentation:
Allowed
Calculator:
Allowed
Evaluation:

Written exam, 3 hours, open-book.

All calculators allowed (but no personal computer or tablet).

Mid term test mark will be taken into consideration for 30% if it is better than exam. Exercise assignments submitted during the term may be taken into consideration for borderline cases.

Retake

Exam:
Written 3h00 hours
Documentation:
Allowed
Calculator:
Allowed
Evaluation:

Same as first exam.



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