MATH 3281 3.00 W

This is an intermediate level course on the mathematics of life contingencies.
It builds on MATH 3280 3.00 and develops theoretical basis for pricing and
supporting life-contingent products. The topics include: economics of insurance,
general insurances and annuities, (benefit) premiums and reserves, analysis of
reserves, Hattendorf's theorem. The course, along with MATH 3280 3.00 and
MATH 4430 3.00 (or MATH 4431 3.00) ensures an adequate preparation for the
MLC exam of the Society of Actuaries.

Prerequisites: MATH 3280 3.00.

The subjects to be covered include but are not limited to:

  1. Economics of insurance. Utility functions and risk appetite. Feasibility of
    insurance contracts.
  2. Actuarial present values of general insurances and annuities.
  3. General life insurance pricing.
  4. Solvency and the notion of reserves.
  5. Analysis of reserves and the Hattendorff's theorem.
  6. Applications of multiple state models.

The syllabus can be downloaded in the PDF format here.

1. Economics of insurance pricing. (Sept 8) Homework 1 (Due on Jan, 14). Solutions
2. Life insurance. (Sept 8) Homework 2 (Due on Jan, 21). Solutions
Quiz 1 . Solutions
3. Life annuity.also Life annuity. (Feb 1) .
Homework 3 (Due the midterm date). Solutions
4. Benefit premiums. (Feb 1) .
Homework 4 (Due the midterm date). Solutions /a>
Quiz 2 . Solutions
Quiz 3 . Solutions
Midterm marks. Midterm test. Solutions.
5. Benefit reserves (March 8) .
6. Analysis of benefit reserves (March 26) .
Homework 5. (Due March 18). Solutions.
Homework 6 (Due March 25).
More problems on reserves. Solutions.
Final test for example April 3

Useful reading material:

[1.] Bowers, N. L., Hickman, J. C., Nesbitt, C. J., Jones, D. A. and Gerber, H. U. (1997). \textit{Actuarial mathematics}, 2nd edition, Society of Actuaries, Itasca, Illinois.

[2.] Dickson, C.M., Hardy, M.R. and Waters, H.R. (2013). Actuarial mathematics for life contingent risks. Cambridge University Press, 2nd Edition.

[3.] Promislow, S.D. (2010). Fundamentals of actuarial mathematics. John Wiley & Sons, the UK.

[4.] Illustrative Life Tables (ILT).