MSc in Actuarial Science
Lecturer: Andrea Sneddon
Office: Colin Maclaurin Building, Room S.10
Tel: 0131 451 3226
Email: A.E.Sneddon@ma.hw.ac.uk
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Timetable
- The "Yellow Tables" (Formulae and tables for actuarial examinations)
can be purchased from the Publications Unit of the The Institute of
Actuaries:
The Institute of Actuaries, Napier House, 4 Worcester Street, OXFORD OX1 2AW,
Tel: +44(0)1865 268242, Fax: +44(0)1865 268253, Email: publications@actuaries.org.uk
Make sure that you get the right book! Don't order the old one
("Green Tables") which has almost the same title.
-
The older "Green Tables" can be downloaded
here.
- to introduce some more advanced topics in life insurance mathematics.
- Multiple-life actuarial functions;
- Policy values and reserves;
- Heterogeneity and selection;
- Disability contracts and related computations;
- Long term care contracts.
- Pension Fund Mathematics
- Profit testing Conventional Insurance Contracts
- Profit testing Unit Linked Contracts
At the end of these modules students should be able to do or understand
the following:
.
- Multiple-life actuarial functions
- Derive the distribution functions, density functions and moments of
random variables representing joint lifetimes. Derive and evaluate
probabilities, and monetary functions (joint life annuities, joint
life assurances, contingent assurances, reversionary annuities)
associated with joint lifetimes. Formulate simple joint life models
in terms of multiple state models.
- More on reserves
- Use recursive relationships between policy values at various
durations to evaluate policy values at non-integer durations. Derive
Thiele's differential equations, and boundary conditions, for policy
values. Describe approaches to solving these equations.
. Apply Thiele's differential equation and Lidstone's
theorem to emergence of surplus for with profit policies. Apply
policy value calculations to the alteration of policies.
- Disability contracts, long-term care contracts and related
computations
- Describe policy designs features.
Understand the Multiple state model
formulation of disability contracts (Markov and semi-Markov models).
- Heterogeneity and selection
- Understand possible sources of heterogeneity and methods of
analysing data for heterogeneity.
- Demographic Topics
- Construct single figure and other indices to represent features of data
sets. Understand the strengths and weakness of various indices.
- Pension Funds
- Profit Testing
- Unit Linked Policies
-
Life Insurance Mathematics I is assessed in combination with
Life Insurance Mathematics II in a single 3-hour written
exam towards the end of term 3.
If you have any problems or questions regarding the module, you are encouraged to contact the lecturer.
- Life tables can be downloaded here for use with exercises involving Excel.
Downloads
Script
If you missed handouts, ask the lecturer after one of the lectures
to get a copy.
Completed notes will be available here as they are completed in lectures.
F79AF - LIFE INSURANCE MATHS 1
Chapter 1 - Revision
Chapter 2 - Policy Values and Reserves
Chapter 3 - Life Insurance and Differential Equations
Chapter 4 - Risk, Surplus and With-Profits Business
Chapter 5 - Markov Multiple-State Models
Chapter 6 - Insurances on Joint Lives
Chapter 7 - Policy Design and Duration Dependence
Chapter 8 - Selection
Chapter 9 - Some Demographic Topics
F79BF - LIFE INSURANCE MATHS 2
Chapter 1 - Pensions
Chapter 2 - Profit Testing
Chapter 3 - Unit Linked Policies
Past exam papers with solutions can be downloaded
here.
Last update:
07 May 2008 (Andrea Sneddon)