Spring 2019 - ACMA 820 G100
Stochastic Analysis of Insurance Portfolios (4)
Class Number: 3974
Delivery Method: In Person
Life insurance models. Interest rate models for life insurance: time series, stochastic differential equations, estimation. Portfolios of identical policies. Diversified portfolios.
-Basic model for studying life insurance contracts
-Models for the Rate of return:
>Time Series; ARMA models
>Stochastic Differential Equations; Ito’s formula, log-normal model, Ornstein-Uhlenbeck process, Cox-Ingersoll-Ross model, Second Order Stochastic Differential Equations, Principle of covariance equivalence
>Other models: Regime-switching model, Wilkie model
-Insurance risk: One contract, A portfolio of identical contracts
-Life Insurance with Random Interest and Mortality: Present value, net single premium
-Portfolio of Policies with Random Interest and Mortality: moments
-Distribution of the Present Value of Benefits for a Portfolio
>Approximating the Distribution; Limiting Portfolio, Reserving
- Assignments & Term Project 30%
- Midterm 30%
- Final 40%
Stochastic Analysis of Insurance Portfolios, G. Parker, 2019
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