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Actuarial Methods - course description

General information
Course name Actuarial Methods
Course ID 11.5-WK-IiED-MA-Ć-S14_pNadGen90POI
Faculty Faculty of Exact and Natural Sciences
Field of study computer science and econometrics
Education profile academic
Level of studies Second-cycle studies leading to MS degree
Beginning semester winter term 2020/2021
Course information
Semester 2
ECTS credits to win 5
Course type obligatory
Teaching language polish
Author of syllabus
  • dr hab. Mariusz Michta, prof. UZ
Classes forms
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
Class 30 2 - - Credit with grade
Lecture 30 2 - - Exam

Aim of the course

Knowledge about selected topics on actuarial and insurance mathematics: mortality models, net premium calculations, reserves, collective risk model, ruin probability.

Prerequisites

Mathematical analysis, probability theory, introduction to financial mathematics, foundations of stochastic analysis

Scope

1. Mortality models, survival probability, life tables.

2. Life insurances payable at the moment of death.

3. Life insurances payable at the end of the year 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.

Teaching methods

Lectures: actuarial and insurance mathematics: mortality models, net premium calculations, reserves, collective risk model, ruin probability.


 

Classes: exercises (theoretical and computational)

Learning outcomes and methods of theirs verification

Outcome description Outcome symbols Methods of verification The class form

Assignment conditions

Evaluation of individual exercises, final exam and grades

Recommended reading

 

  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.

Further reading

Notes


Modified by dr hab. Mariusz Michta, prof. UZ (last modification: 04-10-2020 11:59)