<br/><h4>Objectives</h4>Aim of the course is to give a thorough treatment of the fundamentals of life insurance mathematics as well as to touch upon some advanced topics like construction of life tables and equity-linked life insurance. <br/><h4>Contents</h4>The course provides a thorough overview of the most relevant models and techniques in modern life insurance theory. The first part will be devoted to classical life insurance mathematics, and includes topics such as: the probability distribution of the future lifetime of an insured, the characteristics of several different life insurance products, including multiple life insurance and multiple decrements, premium determination and reserve calculations. The second part of the course deals with construction of life tables as well as techniques to forecast future mortality. The last part of the course is devoted to modern life insurance products, such as equity-linked life insurance. <br/><h4>Specifics</h4>Students will need to work out a case integrating the various topics of the course. Using CBS mortality data, they will develop spreadsheets to compute premiums for and assess the risk related to various life insurance products such as multiple life or multiple decrements. The results are to be written down in a business report and presented from the perspective of an actuary who needs to advise management. <br/><h4>Recommended Reading</h4><ol><li>Gerber, H.U., <i>Life Insurance Mathematics (third edition)</i>, Springer-Verlag, Berlin, 1997. <br/></li><li>Brouhns, N., Denuit, M. and Vermunt, J.K., <i>A Poisson Log-bilinear Regression Approach to the Construction of Projected Lifetables</i>, Insurance: Mathematics and Economics, 31(3), 373-393, 2002. <br/></li><li>Lee, R.D. and Carter L.R., <i>Modeling and forecasting U.S. Mortality</i>, Journal of the American Statistical Association, 87(419), 659-671, 1992. <br/></li><li>Renshaw, A.E. and Haberman, S., <i>Lee-Carter mortality forecasting with age-specific enhancement</i>, Insurance: Mathematics and Economics, 33(2), 255-272, 2003. <br/></li><li>Moller, T., <i>Hedging Equity-Linked Life Insurance Contracts</i>, North American Actuarial Journal 5(2), 79-95, 2001. <br/></li><li>Bacinello, A.R. and Persson, S.A., <i>Design and Pricing of Equity-Linked Life Insurance under Stochastic Interest Rates</i>, Working Paper, 2004. <br/></li><li>Bacinello, A.R., <i>Fair Valuation of the Surrender Option Embedded in a Guaranteed Life Insurance Participating Policy</i>, The Journal of Risk and Insurance, 70(3), 461-488, 2003. </li></ol><p>这是第一部分，第二部分还没完</p>[/UseMoney]

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