Opleidingsaanbod / Premaster EMAS / PrEMAS 5 - Actuarial Science

PrEMAS 5 - Actuarial Science

The field of Actuarial Science is constantly evolving on skills and knowledge due to new techniques, requirements and regulations. Nevertheless, there are some never changing fundamental actuarial techniques, a future actuary needs within his toolbox to be optimally equipped for the product and risk structures of the future.

PrEMAS 5 - Actuarial Science

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.


Prerequisites

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 course will be split into two:

  • 1) The first 6 courses will address the actuarial techniques of life insurance and pension products.
  • 2) The remaining 9 courses will focus on non-life. This part will be closed with a separate examination in October.


Ad 1) The learning objectives of the ‘life part’ of the module PrEMAS 5 – Actuarial Science are as follows:

  • Ability to give a description of the various life products including their main characteristics from a risk perspective (e.g. mortality versus longevity risk).
  • Understanding and able to apply mathematical techniques to discount cashflow patterns of various (single) life insurance products.
  • Ability to estimate a mortality pattern constructed from a life table and ability to apply such table in order to calculate expected claims, premiums and reserves for various life insurance products.
  • Ability to apply mathematical techniques to discount cashflows patterns of sev-eral joint-life insurance products.
  • Obtaining insight on the standard model approach of Solvency II on a life insurer and able to calculate its Solvency Capital Requirements for insurance risk.


Ad 2) The learning objectives of the ‘non-life part’ of the module PrEMAS 5 – Actuarial Science are as follows:

  • Ability to give a description of the various non-life products including their main characteristics from a risk perspective (e.g. short tail versus long tail risks) .
  • Understanding the concept of risk appetite, rational behaviour and their relation with (mathematical) utility functions.
  • Ability to calculate expected value, variance, probability function of a single risk and for collective risks for an insurer (e.g. by using Panjer recursion).
  • Ability to calculate the development in time of available capital of an insurer and to derive the probability of default of an insurer, given this development.
  • Understanding of certain reinsurance solutions and able to assess the impact of these solutions on the probability of default of an insurer.
  • Obtaining insight on some mathematical methods to determine the premium from the distribution of the claims.
  • Ability to set-up a run-off triangle of claims, understand the concept of IBNR and IBN(e)R and able to calculate those via various chain ladder reserving methods (e.g. Bornhuetter-Ferguson).
  • Ability to understand the concept of a generalized linear model including its parametrisation and its applications.
  • Understanding the concept of credibility (e.g. Bühlmann model) and its applications within non-life.
  • Obtaining insight on the standard model approach of Solvency II on a non-life insurer and able to calculate its Solvency Capital Requirements for insurance risk.


Literature

  • Kaas et al, Modern Actuarial Risk Theory
  • Promislow, Fundamentals of Actuarial Mathematics
  • Hand-outs provided during the courses


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