Courses Master Display 2023-2024
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| Course title | Life Insurance I | |||||||||||||||||||||||||||||||||||||||
| Course code | EBC4119 | |||||||||||||||||||||||||||||||||||||||
| ECTS credits | 6,5 | |||||||||||||||||||||||||||||||||||||||
| Assessment | Whole/Half Grades | |||||||||||||||||||||||||||||||||||||||
| 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 pricing life-insurance and pension contract and basic principles of measuring value creation on a market-consistent basis (Market-Consistent Embedded Value).
The underlying principle for this course is the notion that the market-consistent value of a life-insurance or pension 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 |
In this course we aim to teach students the basic principles of pricing life-insurance and pension contract and basic principles of measuring value creation on a market-consistent basis (Market-Consistent Embedded Value). The underlying principle for this course is the notion that the market-consistent value of a life-insurance or pension 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. Students should have knowledge of stochastic processes, in particular Brownian Motion, geometric Brownian motion and the underlying stochastic differential equations. Moreover, students should be familiar with the Ito integral and the Ito formula. Computer programming skills are required for all the cases, as these involve numerical calculations.
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| Literature |
Wüthrich and Merz (2013), Financial Modeling, Actuarial Valuation and Solvency in Insurance, Springer.
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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) | Lecture / Assignment / Groupwork | |||||||||||||||||||||||||||||||||||||||
| Assessment methods (indicative; course manual is definitive) | Assignment | |||||||||||||||||||||||||||||||||||||||
| 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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