F71BF - Life Insurance Mathematics 2

Course leader(s):

Syllabus

1.1 Markov multiple-state models,, 1.2                 Insurances written on multiple lives,, 1.3                 The features of disability and long-term care insurance contracts, 1.4                 Duration dependence and semi-markov models,

2. Analysis of mortality (2.1 Heterogeneity and selection,, 2.2                 Single-figure indices,, 2.3                 Population projections,)

3. Life and pensions (3.1 Pension fund mathematics,, 3.2                 Profit testing conventional insurance contracts,, 3.3                 Profit testing unit-linked contracts.)

Learning outcomes

By the end of the course, students should be able to do the following:

• calculate premiums and reserves for life insurance policies using the principle of equivalence and gross premium policy values, using either analytical methods (where possible) or Euler schemes.
• apply a selection of actuarial calculation tools for joint life contingencies such as assurance factors and annuities to actuarial problems such as pricing and reserving
• apply Markov and semi-Markov models to actuarial calculations such as joint lives annuities or income protection insurance. (A detailed knowledge of the underlying theory is not expected.)
• analyse sources of heterogeneity in mortality and other decrements, its effect on the analysis of insurance data, and its possible impact on insurance business;
• analyse single figure indices that summarise mortality and other experience, comparing the strengths and weakness of each index
• apply emerging cashflow techniques to actuarial problems, in particular profit-testing and unit-linked products.
• explain the main features of defined-benefit and defined-contribution pension schemes.
• explain the meaning and purpose of the course concepts, definitions and calculations in the context of life insurance

Further details

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SCQF Level: 11

Credits: 15