Lecture on 3rd of May

In the previous lecture, we defined the notion of a fair price of a contingent claim and we used this in the framework of pricing unit linked insurance policies.

Next time we will take a look at the equation that the prospective reserve of a unit linked insurance policy satisfies, namely Thiele's partial differential equation.

Please prepare Problem 3 from Exercises 8 and Problems 1&2 from Exercises 9 for next week.