ST301      Half Unit
Actuarial Mathematics (Life)

This information is for the 2025/26 session.

Course Convenor

Availability

Requisites

Pre-requisites:

Before taking this course, students must have completed: (ST202 or ST206) and (ST226 and ST227)

Single life mortality models, assurance and annuity contracts and their actuarial notation, computation of their present values and variances; relations among the present values of the various contracts.

The equivalence principle: computation of net premiums for the main assurance policies.

Prospective and retrospective reserves, Thiele's differential equation as the main tool for the computation of reserves.

Expenses: gross premium and gross reserves. Selection effect and how it affects mortality tables.

Multi-life assurance contracts: joint life and last survival life, computation of premiums and reserves for the main two-lives contracts.

Multi-states mortality models: basic notions of continuous-time Markov chains, Kolmogorov backward and forward equations, application to multiple decrements and disability models, computation of transition intensities.

Thiele differential equation for multi-states models, computation and analysis of reserves for main multi-state policies.

With-profit policies, unit-linked assurance policies, pensions.

Interplay between assurance and finance: embedded options, market consistent actuarial valuation.

20 hours of lectures, 9 hours of seminars and 5 hours of help sessions in the Autumn Term.

Compulsory written answers to one set of problems.

R Norberg, Basic Life Insurance Mathematics; The Institute of Actuaries, Core reading Subject CT5

Dickson, Hardy, Waters, 'Actuarial Mathematics for Life Contingent Risks'

Wutrich, Buhlmann, Furrer, 'Market Consistent Actuarial Valuation'

Exam (70%), duration: 120 Minutes in the January exam period

Project (30%)

Students will work on the project during the last few weeks of AT and submit after the end of term.