- Docente: Mauro Cerè
- Credits: 6
- SSD: SECS-S/06
- Language: Italian
- Teaching Mode: Traditional lectures
- Campus: Bologna
- Corso: First cycle degree programme (L) in Business Administration (cod. 8871)
Course contents
A review of probability theory. Random variables discretes and continuous. The cumulative distribution function. The probability density function. Mean and variance.
The economics of insurance.Utility theory. Expected value principle. Actuarial value. Insurance and utility. Elements of insurance. Survival distributions and life tables: the survival function, time until death for a person aged x, force of mortality. Some analytical law of mortality. The deterministic survivorship group.
Life insurance. Insurance payable at the moment of death: level benefit insurance, endowment insurance, deferred insurance, varying benefit insurance. Insurance payable at the end of the year of death. Commutation functions.
Life annuities. Single payment contingent on survival. Discrete and continuous life annuities. Life annuities with mthly payments. Commutation function formulas for annuities with level payments. Varyng annuities. Commutation functions.
Net premiums. Fully discrete premiums. Truemthly payments premiums. Commutation functions.
Net premium reserves.Fully discrete net premium reserves. Reserves based on true mthly premiums. Recursive formulas for fully discrete reserves. Reserves at fractional durations. Reserve formulas in terms of commutation functions.
Insurance model including expenses. Types of expenses. Per policy expenses. Complete reserve. Zillmer's reserve. Global reserve.
Readings/Bibliography
Dario Spelta: "Teoria Matematica delle Assicurazioni sulla Vita" Pitagora Editrice Bologna
Mauro Cerè-Dario Spelta: "Esercizi di Matematica Attuariale" Editrice Esculapio Bologna
Teaching methods
Lectures and exercises
Office hours
See the website of Mauro Cerè