After successful completion of the course, students are able to...

• to describe basic notions of life insurance like survival probabilty and mortality intensity, and to generate statical estimators for them
• to valuate insurance contracts like capital insurance and annuities according to the principle of equivalence
• to calculate the prospective reserve, and to apply Thiele's differential equation

Introduction to the mathematics of life insurance, compound interest, perpetuities, annuities, bonds, modelling of the future lifetime, whole life and term insurance, pure endowments, endowments, life annuities, net premiums for the elementary forms of insurance (whole life and term insurance, pure endowments, endowments, deferred life annuities), policies with premium refund, net premium reserves for the different forms of insurance, generalisation of the models, the forms of insurance and the premium reserves to multiple decrements, multiple life insurance, expense loadings, estimating probabilities of death, cross-sectional and generation life tables

blackboard presentation

Written examination.
More information on: https://fam.tuwien.ac.at/lehre/pr/.

Anmeldung für LVA-Unterlagen notwendig.

• Hans U. Gerber, Life Insurance Mathematics, Springer-Verlag, Second or Third Edition (Englisch). Or: Hans U. Gerber, Lebensversicherungsmathematik, Springer-Verlag, erste Auflage, 1986 (Deutsch).
• W. Schachermayer, U. Schmock, N. Kusolitsch. Lebensversicherungsmathematik. Vorlesungsskript TU Wien
• D. Dickson, M. Hardy, H. Waters. Actuarial Mathematics for Life Contingent Risks. Cambridge University Press
• Ragnar Norberg. Risk & Stochastics in Life Insurance. Vorlesungsskript London School of Economics and Political Science
• Martin Predota, Prämienkalkulation in der Lebensversicherung: Einführung mit Beispielen aus der Praxis, AVM-Verlag (Meidenbauer), 2010 (Deutsch).