Pensum

Vi skal bruke f?lgende pensumsbok i dette kurset:

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

St?ttelitteraturen vi trenger er:

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

Pensum:

Det er planlagt ? gjennomg? f?lgende kapitler i boken til Michael Koller:

1. General Life Insurance Model (generell innf?ring)

2. Stochastic Processes (rekapitulering av matematiske verkt?y)

3. Interest Rate (rentemodeller i livsforsikring)

4. Cash Flows and Mathematical Reserves

5. Difference Equations and Differential Equations (f.eks. Thiele?s differentiallikning m.h.p. stokastiske renter)

6. Examples and Problems From Applications

7. Hattendorff?s Theorem (Markovmodell-formulering)

8. Unit-Linked Policies (prisingsteori, arbitrasje muligheter,...)

9. Policies with Stochastic Interest Rate

10. Technical Analysis (hvis tiden tillater det)

11. Abstract Valuation (valueringsportef?ljer)

12. Policyholder Bonus Mechanism (hvis tiden tillater det)