Goal of this module is to provide this toolbox by setting a thorough basis in the fundamental actuarial techniques within the field of non-life and life. In addition we will also touch upon the applications of these techniques on the (market value) balance sheet of an insurer within the Solvency II (standard formula) framework.
Entry requirements
General entry requirements for the PrEMAS, however it is strongly advised that students have finished the modules PrEMAS 1 – Mathematical methods for actuaries and PrEMAS 3 – Probability theory and statistics for actuaries before starting this module.
Learning objectives
The module will be split into two:
- The first 6 lectures will address the actuarial techniques of insurance and pension products. This part will be finished with an exam before the summer holidays.
- The remaing 9 lectures will focus on non-life. This part will be closed with a separate examination in October.
Ad 1) In the ‘life part’ of the module the following topics will be addressed:
- General introduction on life insurance products including pricing/risk premium, reserving
- Important actuarial notions from life insurance
- Applicability of the actuarial models in the field of insurance and pensions
- Construction of a life table including (un)certainties for life insurance products
- Calculate the present value of various life insurance products
- Assessment of (insurance) risks in a portfolio of life insurance products
- Several technique from mathematics, statistics and probability to solve problems in (multi-life) life insurances
- Modelling aspects life insurer under Solvency II (standard formula)
Ad 2) In the ‘non-life part’ of the module the following topics will be addressed:
- General introduction on non-life insurance products including pricing/risk premium, reserving
- Risk appetite, rationality and utilities
- Individual and collective risk models
- Ruin theory
- Premium principles, risk measures and risk transfers/reinsurance solutions
- Run-off triangles and basic chain ladder techniques
- Introduction to General Linear Models
- Introduction to Credibility theory
- Modelling aspects of a non-life insurer under Solvency II (standard formula)
Literature
- R. Kaas, M. Goovaerts, J. Dhaene, M. Denuit. Modern Actuarial Risk Theory, 2nd edition. Springer-Verlag Berlin Heidelberg 2008. ISBN: 978-3-642-03407-7
- S.D. Promislow. Fundamentals of Actuarial Mathematics, 3rd edition. John Wiley and Sons ltd, 2014. ISBN: 978-1-118-78246-0
- Hand-outs provided during the lectures
Teacher
Dr. Marc Meertens
Important to know
- Lectures are on Monday from 6.00-9.00 pm.
- The examination is divided in two exams, one for non-life and one for life. For both subjects a minimum of 5.5 is required to pass the complete module. Compensation between the two exams is not possible, and there is a resit per part. Students who have an exemption for one of the subjects only have to pass the remaining exam. The lectures will start with the part Life, 6 lectures, followed by 9 lectures Non-Life.
- Exam part Life - 23 June 2025
- Resit part Life - 25 August 2025
- Exam part Non-life - 20 October 2025
- Resit part Non-life – 24 November 2025
- The costs for this module are € 3.575 excluding literature which has to be purchased by the student.
- Start in study year 2024-2025: 12 May 2025