Insurance mathematics
4 hours of lectures per week in 2 quarters.
Lecturer
Søren Asmussen
Content
Insurance mathematics (also called actuarial mathematics) is traditionally divided into two parts:
Life insurance mathematics deals with the calculation of premiums for various types of pension plans, widow pensions, payment at death etc. as well as how to ensure a fair arrangement from the point of views of both the company and the insured. The area is currently getting integrated to some extent with mathematical finance because of investment etc. of the funds. Some famous concepts are mortality tables, premium reserves, Thiele's differential equation and Hattendorf's theorem.
Non-life insurance mathematics (skadesforsikringmatematik in Danish) deals with fire insurance, car insurance etc. Special topics are premium principles, ruin theory, dynamic control, reinsurance, utility theory, bonus class arrangements and statistical aspects such as empirical Bayes and credibility theory.
Prerequisites
Probability and statistics at the level of the undergraduate program in statistics or mathematical economy.
Literature
B. Sundt,
Non-Life Insurance Mathematics, Verlag Versicherungsmathematik, Karlsruhe.
Covers much of what we will do on the topic of its title. I am not sure at present what will be used for life insurance.
R. Kaas, M. Goovaerts, J. Dhaene & M. Denuit,
Modern Actuarial Risk Theory. Kluwer 2001.
A number of relevant lecture notes can be downloaded from Laboratory of Actuarial Mathematics in Copenhagen, see
www.math.ku.dk.
Evaluation
ECTS-credits
10.
Quarter
Spring 2004.