Welcome to the course! (practical info)
Time and place: Our first lecture will take place on 17th of January at 12:15 am in Auditorium 4 in Vilhelm Bjerknes' hus (the building next to the Department of Mathematics). See the schedule of the course here.
Language: The language of the course will be English unless everybody understands Norwegian, in such case it will be Norwegian. The question on the language will be raised during the first lecture. In any case, you may hand in your assignments and exam in English or any other Scandinavian language. The course material will be written in English.
Literature: The course is based on the following supporting books:
1. Michael Koller: Stochastic Models in Life Insurance. Springer (2012).
2. Thomas Møller, Mogens Steffensen: Market-Valuation Methods in Life and Pension Insurance. Cambridge University Press (2007).
However, I will provide digital lecture notes with everything we need: background material, theory, exercises, codes, solutions, etc. So, in reality, you do not need the books. The books may be used as supporting material to re-read in case you would like a different version or presentation of the same topics.
Syllabus: We plan to cover the following topics from the lecture notes:
- Introduction
- Background material (this part will be taught throughout the course in between chapters, when needed)
- Basic multistate models
- Cash flows: present, retrospective, prospective values and reserves.
- Thiele's equation
- Surplus and bonus
- Unit-linked policies (finance part)
- Stochastic interest rates (finance part)
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). The lecture notes are under construction, so they will be updated during the course of action.
This course has 2 lectures on Wednesdays (12:15-14:00) and 2 on Thursdays (10:15-12:00).
NB: Some lectures may be digital, in Zoom, since I might be away. I will publish the link on the main page in the schedule. Check always the schedule.
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 right away.
If you have any question you can reach me by e-mail.
Welcome and good luck!
David.