Universidade Nova de Lisboa

Universidade Nova de Lisboa

NOVA Information Management School

Life & Non-Life Actuarial Techniques

Code

200159

Academic unit

NOVA Information Management School

Credits

7.5

Teacher in charge

Pedro Alexandre da Rosa Corte Real

Teaching language

Portuguese. If there are Erasmus students, classes will be taught in English

Objectives

Introduction to the main actuarial concepts and techniques applied in actuarial mathematics in both Life and Non-Life Insurance. On Life we will present and discuss basics on modelling the lifetime to obtain risk premiums and mathematical reserves for the main life insurance types. On Non-Life we will present and discuss basics on modelling the claim frequency, severity and the aggregate claim amount, main principals of premium calculation and deterministic models for claim reserves.

All concepts will be illustrated with practical exercises so the students can understand the concept of risk inherent to the insurance business.

Prerequisites

Theoretical and applied lectures. The themes are introduced by the teacher, consolidated whenever possible with real examples taken from the insurance industry following a brief discussion.

All students have direct access to the final Exam.

The students will be graded according to the grades obtained in the final examination to be realized during the 1st or 2nd examination period.

To be approved the student must have an examination’s grade not below the 9.5 mark.

Subject matter

  1. Life Insurance (14.0 hours)
    1. Survival models and Life Tables (3.0 hours)
      1. Probability for the Age-at-Death
      2. Life Tables
    2. Life Insurance (3.0 hour)
      1. Whole Life and Term Insurance
      2. Pure Endowments
      3. Endowments
    3. Life Annuities (3.0 hours)
      1. Standard Type of Life Annuities
    4. Net Premiums (4.0 hours)
      1. Whole Life and Term Insurance
      2. Pure Endowments
      3. Endowments
    5. Net Premiums Reserves (4.0 hours)
      1. Whole Life and Term Insurance
      2. Pure Endowments
      3. Endowments

 

  1. Non Life Insurance (14.0 hours)
    1. Distributions (2.0 hours)
      1. Modelling the claim frequency
      2. Modelling the claim amount
    2. The aggregate claim amount (5.0 hours)
      1. The distribution of the aggregate claim amount
      2. Approximated methods
    3. Principals of premium calculation (2.0 hours)
      1. Expected Value Premium Principle
      2. Variance Premium Principle
      3. Standard Deviation Premium Principle
    4. Deterministic models for claim reserves (5.0 hours)
      1. Introduction
      2. Inflation
      3. Link ratio models
      4. Chain ladder models

Bibliography

•           Stephen G. Kellison. (2008) The Theory of Interest. Irwin/McGraw-Hill,

•           Leslie Vaaler, James Daniel. (2009). Mathematical Interest Theory. Mathematical Association of America Textbooks.

•           P. Booth, R. Chadburn, D. Coper, S.Haberman, D. James. (2004) Modern actuarial Theory and Practice. Chapman Hall.

•           Gerber, Hans U. (1997) Life Insurance Mathematics. Springer.

  • Bowers, N. L. (1997). Actuarial mathematics. Itasca, Ill.: Society of Actuaries.
  • Olivieri,A. and Pitacco, E. (2010) Introduction to Insurance Mathematics : Technical and Financial Features of Risk Transfers, Springer
  • Straub, E. (1988) Non-life Insurance Mathematics. Springer-Verlag
  • Kaas, R. Goovaerts, N. Dhaene, J. and Denuit, M. (2008) Modern Actuarial Risk Theory: Using R. Springer Science & Business Media.

Teaching method

Theoretical and applied lectures. The themes are introduced by the teacher, consolidated whenever possible with real examples taken from the insurance industry following a brief discussion.

All students have direct access to the final Exam.

The students will be graded according to the grades obtained in the final examination to be realized during the 1st or 2nd examination period.

To be approved the student must have an examination’s grade not below the 9.5 mark.

Evaluation method

The students will be graded according to the grades obtained in the final examination to be realized during the 1st or 2nd examination period.

To be approved the student must have an examination’s grade not below the 9.5 mark.

Courses