Course co-ordinator(s): Prof Angus Macdonald (Edinburgh).
Aims:
This course aims to provide students with an introduction to survival models and life insurance mathematics.
Summary:
- Survival Models
- Select Survival Models
- Life Tables
- Annuities and Insurances
- Premiums
- Expenses
- With Profits Policies and Bonuses
- Policy Values
- Thiele’s Differential Equation
- Calculation of Annual Profit/Loss
- Policy Alterations
Detailed Information
Pre-requisites: none.
Location: Edinburgh.
Semester: 1.
Syllabus:
- Survival Distributions
- future lifetime and curtate future lifetime
- force of mortality and other mortality functions
- Life Tables
- life table functions
- expected lifetime, mortality laws
- select and ultimate tables
- Fractional Ages
- actuarial approximations
- uniform distribution of deaths
- contant force
- Life Insurance
- payable at the moment of death or at the end of year of death
- term, whole life, endowment, pure endowment, deferred
- level and varying benefit
- commutation functions
- recursion equations
- Annuities
- annuity due, annuity immediate, continuously payable
- pure endowment, temporary annuity, deferred life annuity
- relationship to insurance
- commutation functions
- recursion equations
- yearly, monthly, quarterly, semi-annually, continuous annuities
- Woolhouses’s formula, approximations
- Net Premiums
- equation of expected present value
- relationships to insurance and annuities
- Gross Premiums
- expenses
- impaired lives
- with-profits policies, bonuses
- Policy Values
- prospective and retrospective formulas
- reserves: with and without expenses
- Annual Profit
- profit sources
- calculation of profit
- analysis of surplus
- Policy alterations
- calculation of revised premiums and/or benefits
Learning Outcomes: Subject Mastery
At the end of studying this course, students should be able to:
- Calculate survival probabilities, future lifetimes and other life functions.
- Calculate various annuity and insurance values and understand the relationships between them.
- Calculate net premiums and net premium policy values.
- Calculate gross premiums and gross premium policy values.
- Include expenses and bonuses in net or gross premium valuations.
- Calculate the annual profit/loss on a life insurance policy.
- Calculate revised premiums and/or benefits for a policy altered during its term.
Learning Outcomes: Personal Abilities
At the end of the course students should be able to:
- Demonstrate the ability to learn independently
- Manage time, work to deadlines and prioritise workloads
- Perform numerical calculations using a suitable computer package, or other available tools
- Present results in a way which indicates that they have understood the concepts involved
Reading list:
The required reading is: Actuarial Mathematics for Life Contingent Risks, by D C M Dickson, M R Hardy and H R Waters.
The required set of tables is: Formulae and Tables for Actuarial Examinations.
Assessment Methods:
90% for a 2-hour written examination and 10% coursework.
SCQF Level: 11.
Credits: 15.
Other Information
Help: If you have any problems or questions regarding the course, you are encouraged to contact the lecturer
VISION: further information and course materials are available on VISION