Welcome to STK4500! Important information

Time and place: Our first lecture will take place on the 11th of January at 12:15 pm in "Auditorium 2" in Vilhelm Bjernes' hus (the building next to the Department of Mathematics).

The language of the course will be English unless everybody understands Norwegian, in such case it will be Norwegian. In any case, you may hand in your assignments and exam in English or any other Scandinavian language.

Literature: We will use the following supporting books for this course:

1. Michael Koller: Stochastic Models in Life Insurance. Springer (2012).

As supplementary book we may use:

2. Thomas M?ller, Mogens Steffensen: Market-Valuation Methods in Life and Pension Insurance. Cambridge University Press (2007).

Syllabus: We plan to cover the following chapters from the book by Michael Koller:

1. General Life Insurance Model (a general introduction)

2. Stochastic Processes (overview of mathematical concepts)

3. Interest Rate (interest rate modelling in life-insurance)

4. Cash Flows and Mathematical Reserves

5. Difference Equations and Differential Equations (e.g. Thiele?s differential equation w.r.t. stochastic rates)

6. Examples and Problems from Applications

7. Hattendorff?s Theorem (in a Markovian setting)

8. Unit-Linked Policies (Pricing theory, arbitrage opportunities, ...)

9. Policies with Stochastic Interest Rate

10. Technical Analysis (if time permits)

11. Abstract Valuation (if time permits)

12. Policyholder Bonus Mechanism (if time permits)

Methodology: This course has the objective to teach life insurance and finance from both a practical and a theoretical point of view. Teaching will consist of blackboard lectures explaining the models and formulas combined with computer programs (in R language, but you can choose your favourite programming language). One hour of the lectures will be devoted to solving practical problems.

To make the course more accessible given the current situation, I will publish the lecture notes and material online. Nevertheless, I recommend to attend the lectures and take your own notes if the circumstances allow it, as the lectures will most likely be more detailed and include more examples with R. If there is need, we may also have some Zoom meetings to reach all students.

In the Auditorium, please spread yourself as much as you can and hold a minimum distance of 2 meters to others.

If you have any question you can reach me by e-mail.

Welcome and good luck!