This module is not currently running in 2024 to 2025.
This module introduces the concept of survival models, which model future survival time as a random variable. The concept is combined with the financial mathematics learned in module MA820, making it possible to analyse simple contracts which depend on survival time, such as life insurance and annuities. The syllabus will cover: introduction to survival models including actuarial notation, allowance for temporary initial selection and an overview of the typical pattern of human mortality; formulae for the means and variances of the present values of payments under life insurance and annuity contracts assuming constant deterministic interest; practical methods for evaluating the formulae; description and calculation of net premiums, net premium provisions and mortality profit or loss under simple life insurance and annuity contracts; and extension of the basic concepts to straightforward contracts involving two lives.
Marks on this module can count towards exemption from the professional examination CT5 of the Institute and Faculty of Actuaries. Please see http://www.kent.ac.uk/casri/Accreditation/index.html for further details.
48 hours of Lectures and classes
75% Examination, 25% Coursework
The study notes published by the Actuarial Education Company are recommended. Instructions on how to obtain the notes will be given in class.
The following may be consulted for background reading, but are not required reading.
NL Bowers, HU Gerber, JC Hickman et al. Actuarial mathematics. 2nd ed. Society of Actuaries, 1997. ISBN: 0938959468
WF Scott Life assurance mathematics, Heriot-Watt University, 1999.
See the library reading list for this module (Canterbury)
The intended subject specific learning outcomes. On successful completion of the module students will be able to:
a) Define simple assurance and annuity contracts, and develop formulae for the means and variances of the present values of the payments under these contracts, assuming constant deterministic interest.
b) Obtain expressions in the form of sums/integrals for the mean and variance of the present value of benefit payments under each contract above including cases where premiums are payable more frequently than annually and that benefits may be payable annually or more frequently than annually.
c) Describe practical methods of evaluating expected values and variances of the simple contracts defined in objective a.
d) Describe and calculate, using ultimate or select mortality, net premiums and net premium provisions of simple insurance contracts.
e) Carry out the above for simple insurance contracts involving two lives.
The intended generic learning outcomes. On successful completion of the module students will:
a) have developed a logical mathematical approach to solving problems;
b) have developed skills in written communication, time management and organisation and studying.
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