Courses Master Display 2013-2014
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| Course title | Life Insurance I | |||||||||||||||||||||||||||||||||||||||
| Course code | EBC4119 | |||||||||||||||||||||||||||||||||||||||
| ECTS credits | 6,5 | |||||||||||||||||||||||||||||||||||||||
| Assessment | None | |||||||||||||||||||||||||||||||||||||||
| Period |
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| Level | Advanced | |||||||||||||||||||||||||||||||||||||||
| Coordinator |
Antoon Pelsser For more information: a.pelsser@maastrichtuniversity.nl |
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| Language of instruction | English | |||||||||||||||||||||||||||||||||||||||
| Goals |
In this course we aim to teach students the basic principles of product pricing and measuring value creation (Embedded Value) on a market-consistent basis.
The underlying principle for this course is the notion that the market-consistent value of an insurance contract is based on the market-value of the Replicating Portfolio plus an “add-on” for the remaining (unhedgeable) portions of the risk that are not covered by the Replicating Portfolio. |
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| Description |
1. Pricing by Replication: Role of the actuary; Basic idea fair value; Duration; Inflation Risk.
2. Non-Financial Risks: Non hedgeable risks; Cost-of-Capital Method; Utility-based Pricing. 3. Equity Options: Unit linked insurance; Intro to option theory; With-Profit Policies. 4. Interest Rate Options: Interest rate swaps; Swaptions; Profit sharing; Approximation Formulas. 5. Pricing in Incomplete Markets: Cost-of-Capital Approach, Good-Deal-Bound Approach, Robustness Approach; Portfolio Replication. 6. Risk Management: Risk measures; Calculation of VaR; Solvency II; Quantitative Impact Studies. 7. Market-Consistent Embedded Value: From Measurement to Management; Pricing New Contracts: MCEV(0); Transfer Pricing. |
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| Literature |
To be announced.
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| Prerequisites |
Bachelor Level Econometrics and Operations Research, including preparatory courses Actuarial Sciences.
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| Teaching methods (indicative; course manual is definitive) | PBL / Lecture / Assignment | |||||||||||||||||||||||||||||||||||||||
| Assessment methods (indicative; course manual is definitive) | Participation / Written Exam | |||||||||||||||||||||||||||||||||||||||
| Evaluation in previous academic year | For the complete evaluation of this course please click "here" | |||||||||||||||||||||||||||||||||||||||
| This course belongs to the following programmes / specialisations |
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