Courses Master Display 2023-2024

Course Description To PDF
Course title Life Insurance I
Course code EBC4119
ECTS credits 6,5
Assessment Whole/Half Grades
Period
Period Start End Mon Tue Wed Thu Fri
4 5-2-2024 28-3-2024 X X
Level Advanced
Coordinator Antoon Pelsser
For more information: a.pelsser@maastrichtuniversity.nl
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.
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.
Literature
Wüthrich and Merz (2013), Financial Modeling, Actuarial Valuation and Solvency in Insurance, Springer.
Prerequisites
Bachelor Level Econometrics and Operations Research, including preparatory courses Actuarial Sciences.
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
Master Business Research - Operations Research Elective Course(s)
Master Econometrics and Operations Research Elective Course(s)
Master Economic and Financial Research - Econometrics Elective Course(s)
Master Economic and Financial Research - No specialisation Elective Course(s)
SBE Exchange Master Master Exchange Courses
SBE Non Degree Courses Master Courses