To become acquainted with statistical models that can be used in life insurance.

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.

Research articles, the slides of the course.

This course is in transition for the master Business Research.
See the Master Education and Examination Regulations for more information.

The following rule applies to master Business Research students who started the programme prior to academic year 2024-2025.
TRANSITIONAL REGULATION (EBC4120):
The master Business Research has been discontinued.
Courses of the Business Research master’s programme will continue to be offered until and including academic year 2025-2026 with exam opportunities running until and including 2026-2027.


PREREQUISITES:
Probability Theory and Mathematical Statistics.