Welcome to STK4500! Here is the syllabus and first lecture

Happy new year and welcome to STK4500!

Our first lecture will take place on the 14th of January at 12:15 pm in "Seminarrom 123" in Vilhelm Bjernes' hus (the building next to the department of mathematics).

The language of the course will be English unless everybody understands Norwegian, in such case it will be Norwegian. In any case, you may hand in your assignments and exam in English or any other Scandinavian language.

We will use the following supporting books for this course:

1. Michael Koller: Stochastic Models in Life Insurance. Springer (2012).

As supplementary book we may use:

2. Thomas Møller, Mogens Steffensen: Market-Valuation Methods in Life and Pension Insurance. Cambridge University Press (2007).

Syllabus:

We plan to cover the following chapters from the book by Michael Koller:

1. General Life Insurance Model (a general introduction)

2. Stochastic Processes (overview of mathematical concepts)

3. Interest Rate (interest rate modelling in life-insurance)

4. Cash Flows and Mathematical Reserves

5. Difference Equations and Differential Equations (e.g. Thiele´s differential equation w.r.t. stochastic rates)

6. Examples and Problems From Applications

7. Hattendorff´s Theorem (in a Markovian setting)

8. Unit-Linked Policies (Pricing theory, arbitrage opportunities, ...)

9. Policies with Stochastic Interest Rate

10. Technical Analysis (if time permits)

11. Abstract Valuation (valuation of portfolios)

12. Policyholder Bonus Mechanism (if time permits)