Welcome to the course!

Time and place: Our first lecture will take place on 24th of January at 10:15 am in Auditorium 2 in Vilhelm Bjerknes' hus (the building next to the Department of Mathematics). See the schedule of the course here.

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.

Literature: 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 (policies, prospective and retrospective reserves both in discrete and continuous time)

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

If time permits, we plan to give an overview on Chapter 6 Surplus-linked life insurance from the book by Møller and Steffensen.

Methodology: This course has the objective to teach life insurance and finance from both a practical and a theoretical point of view. Teaching will consist of blackboard lectures and/or slides explaining the models and formulas combined with computer programs (in R language, but you can choose your favourite programming language). This course has 2 lectures on Tuesdays (10:15-12:00) and 2 on Thursdays (12:15-14:00). I will publish the content of each lecture approximately one week before. Check this website regularly!

Assignment: There will be a compulsory assignment for this course. The date will be chosen by use of suffrage during the first lecture and published during week 3 or 4.

If you have any question you can reach me by e-mail.

Welcome and good luck!

David.