SylabUZ
Course name | Actuarial Methods |
Course ID | 11.5-WK-MATD-MA-W-S14_pNadGenG9Y45 |
Faculty | Faculty of Mathematics, Computer Science and Econometrics |
Field of study | Mathematics |
Education profile | academic |
Level of studies | Second-cycle studies leading to MS degree |
Beginning semester | winter term 2020/2021 |
Semester | 4 |
ECTS credits to win | 7 |
Course type | optional |
Teaching language | polish |
Author of syllabus |
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The class form | Hours per semester (full-time) | Hours per week (full-time) | Hours per semester (part-time) | Hours per week (part-time) | Form of assignment |
Lecture | 30 | 2 | - | - | Exam |
Class | 30 | 2 | - | - | Credit with grade |
Knowledge about selected topics on actuarial and insurance mathematics: mortality models, net premium calculations, reserves, collective risk model, ruin probability.
Mathematical analysis, probability theory, introduction to financial mathematics, foundations of stochastic analysis.
1. Mortality models, survival probability, life tables.
2. Life insurances payable at the moment of death.
3. Life insurances payable atth end of the Lear of death.
4. Single net premiums and relationships between different kinds of insurances.
5. Live annuities and their single net premiums.
6. Commutation function formulas for annuities and insurances.
7. Net premiums: fully continuous and discrete.
8. Net premium reserves: prospective and retrospective formulas .
9. Multiply life functions: the joint-life status and the last-survivor status. Insurances and annuities.
10. Multiply decrement models-basic kinds of insurances and premium calculations.
11. Collective risk models. Lundberg’s risk model and Cramer-Lundberg’s estimation of ruin
probability.
Lectures: actuarial and insurance mathematics: mortality models, net premium calculations,
reserves, collective risk model, ruin probability.
Classes: exercises.
Outcome description | Outcome symbols | Methods of verification | The class form |
Evaluation of individual exercises, final exam and grades.
1. M. Skałba, Ubezpieczenia na życie, WNT, Warszawa, 2002.
2. T. Rolski, B. Błaszczyszyn, Podstawy matematyki ubezpieczeń na życie, WNT, Warszawa, 2005.
3. N. Bowers, H.U. Gerber et all, Actuarial Mathematics, Soc. of Actuaries, Illinois, 1986.
4. J. Grandell, Aspects of Risk Theory, Springer, Berlin,1992.
1. W. Ronka-Chmielowiec, Ryzyko w ubezpieczeniach-metody oceny, AE, Wrocław, 1997.
2. M. Dobija, E. Smaga, Podstawy matematyki finansowej i ubezpieczeniowej, WNT, Warszawa,
3. H. U. Gerber, Life Insurance Mathematics, Springer, Berlin,1990.
Modified by dr Alina Szelecka (last modification: 18-09-2020 13:46)