Courses Master Display 2019-2020

Course Description To PDF
Course title Life Insurance II
Course code EBC4120
ECTS credits 6,5
Assessment Whole/Half Grades
Period
Period Start End Mon Tue Wed Thu Fri
5 15-4-2020 7-6-2020 X X
Level Advanced
Coordinator Eric Beutner
For more information: e.beutner@maastrichtuniversity.nl
Language of instruction English
Goals
To become acquainted with statistical models that can be used in life insurance.
Description
The course provides students with statistical models that are useful in life insurance (many of these models are also used in other fields that are concerned with future lifetimes of individuals or groups such as biostatistics, epidemiology or public health planning). We first discuss methods to model mortality rates for a larger group or an entire population. A particular focus is on the Lee-Carter model and its extensions. We also learn how to estimate these models. Afterwards we turn to models that are appropriate to model the future lifetime of individuals. A focus will be on models that can incorporate covariates such as parametric regression models, the Cox model and the accelerated failure time model. We also address the multiple decrement model. Subsequently, we discuss how these models can be used to set premiums for life insurance products. In the last part of the course we introduce a model that allows to calculate premiums for insurances that may provide benefits depending on the current status of the insured. As part of the course students will also apply the methods introduced to real data.
Literature
Research articles, the slides of the course.
Prerequisites
Probability Theory and Mathematical Statistics.
Teaching methods PBL / Presentation / Lecture / Assignment
Assessment methods Final Paper / 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
Master Econometrics and Operations Research - Actuarial Sciences Compulsory Course(s)
Master Econometrics and Operations Research - Econometrics Elective Course(s)
Master Econometrics and Operations Research - Mathematical Economics Elective Course(s)
Master Econometrics and Operations Research - No specialisation Elective Course(s)
Master Econometrics and Operations Research - Operations Research Elective Course(s)
SBE Exchange Master Master Exchange Courses
SBE Non Degree Courses Master Courses