LIFE INSURANCE

lactu2030  2021-2022  Louvain-la-Neuve

LIFE INSURANCE
7.00 credits
45.0 h
Q1
Teacher(s)
Hainaut Donatien;
Language
French
Learning outcomes

At the end of this learning unit, the student is able to :

1 The aim of this course is to present the basic principles of life insurance theory. After a short introduction to life tables, the main kinds of life insurance products are studied in detail regarding premium and reserve calculations. An introduction to modern life products is also presented. At the end of this course the students must be familiar with life calculations and be able to price life products.
 
Content
Part 1: Static mortality modeling 
  • Introduction on the statistical modeling of duration
  • Application to the modeling of human lifetime (Makeham)
  • Estimation of qx  and µx with Kaplan-Meier estimator
  • Smoothing techniques of raw mortality data (Whittaker-Henderson)
  • Log-likelihood estimation of static mortality tables
Part 2 : Prospective mortality models 
  • Lee-Carter model
  • Log-Poisson (Brouhns et Denuit) model
  • Model with cohort effects (Black-Cairns-Dowd)
Part 3 : Experience mortality tables 
  • Duration modeling with censorship.
  • Calibration by log-likelihood of a mortality table with censored data
Part 4 : Evaluation of life an death benefits
  • Life benefits : lump sum benefit, annuities , annuities on 2 heads
  • death benefits : whole life & temporary insurances, mortgage insurance
  • Survival annuities
  • Pricing: commercial & inventory loadings
Part 5 : Provisions & profitability 
  • Prospective et rétrospective provisions
  • Thiele's Equation 
  • Surrender and lapse values
  • Transformation of contracts
  • Participating contracts,universal life and unit linked contracts
  • Embedded Value
Teaching methods
The course consists in 15 lectures of 3 hours.
Evaluation methods
The evaluation consists in a written exam and the student has at disposal a cheating sheet. The students also work per group on a project and this report counts for 25% of the final mark. If a student does not submit any report, a resit work will be proposed for the session of August. The lecturer keeps the right to orally question the student on her/his exam and report.
Online resources
Moodle companion website
Bibliography
Les transparents disponibles sur moodle et se basent principalement sur
  • Théorie et pratique de l’assurance vie. Michel Fromenteau et Pierre Petauton. 5ième édition 2017, Dunod.
  • Modélisation statistique des phénomènes de durée. Planchet F. et Thérond P. 2011, Economica.
  • Actuarial Mathematics for Life Contingent Risks. Dickson, D.C.M., Hardy, M.R., Waters, H.R. 2009, Cambridge University Press.
  • Construction de Tables de Mortalité Périodiques et Prospectives.  Delwarde, A., Denuit, M. 2005, Economica.
Teaching materials
  • transparents sur moodle
Faculty or entity
LSBA


Programmes / formations proposant cette unité d'enseignement (UE)

Title of the programme
Sigle
Credits
Prerequisites
Learning outcomes
Master [120] in Data Science Engineering

Master [120] in Mathematics

Master [120] in Data Science: Information Technology

Master [120] in Actuarial Science

Master [120] in Mathematical Engineering