- Docente: Pietro Millossovich
- Credits: 6
- SSD: SECS-S/06
- Language: English
- Moduli: Jan Leonie M Dhaene (Modulo 1) Pietro Millossovich (Modulo 2)
- Teaching Mode: Traditional lectures (Modulo 1) Traditional lectures (Modulo 2)
- Campus: Bologna
- Corso: Second cycle degree programme (LM) in Quantitative Finance (cod. 8854)
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from Nov 06, 2023 to Nov 09, 2023
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from Nov 13, 2023 to Nov 18, 2023
Learning outcomes
At the end of the course the student is familiar with advanced statistical mortality models and the basic ideas of profit testing in life insurance. He is able to manage and price complex structured life-insurance products for the transfer of the longevity/mortality risk.
Course contents
- multiple state and decrement models
- cash-flow analysis and profit testing
- unit-linked (time permitting)
Readings/Bibliography
Dickson, David, Mary R. Hardy, and Howard R. Waters. Actuarial mathematics for life contingent risks. Cambridge University Press, 2013.
Teaching methods
Alternate theory with example and exercises. Focus on acquiring tools needed for the expected present values under multiple decrement and multiple state models
Assessment methods
Written exam aimed at verifying knowledge of the different techniques learned in class. In particular:
- ability in framing a problem as a multi state or multiple decrement model
- evaluating expected present values in multiple state and decrement models
- analysing cash-flows and profit for the more common life insurance policies
Teaching tools
Excel
Office hours
See the website of Pietro Millossovich
See the website of Jan Leonie M Dhaene