The aim of the course is to provide students with the theoretical foundations of calculation in life insurance, with particular reference to premiums, mathematical reserves and the insurance profit, and with the theoretical bases for understanding pension models. Students will also be able to use a spreadsheet (Excel) to solve concrete cases
scheda docente
materiale didattico
Expected Value Criterion
Utility Function
Expected Utility Criterion
BASIC DISTRIBUTION MODELS IN LIFE INSURANCE
Random Future Lifetime of a Life aged x
Life tables
LIFE INSURANCE: PRICING
Elementary life insurance products
Survival benefits
Death benefits
Endowment insurance products
Single premium and periodic premiums. Natural premiums
LIFE INSURANCE: RESERVING
Net Premium Reserve. Prospective Reserve
Retrospective Reserve
The time profile of the policy reserve
Recursive equations. Risk and savings
Homans’ Formula. Expected Profit
EXPENSE LOADINGS
The Expense-Loaded Premium
Expense-Loaded Premium Reserves
Counterinsurance
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PENSION PLANS
Social security framework
Contributions and benefits
Funding system
Benefits calculation
Demographic risks
System sustainability
Contributions calculations
Supplementary pension schemes
Old-Age, Survivors and Disability Insurance (OASI/IV) scheme
Exact Individual Trajectories (E.I.T.)
Introduction to Insurance Mathematics
Springer, 2011
Mutuazione: 21201735 FINANZA DELL'ASSICURAZIONE E DEI FONDI PENSIONE in Finanza e impresa LM-16 N0 CARLEO ALESSANDRA
Programma
STOCHASTIC CASH-FLOWS AND INSURANCE CONTRACTSExpected Value Criterion
Utility Function
Expected Utility Criterion
BASIC DISTRIBUTION MODELS IN LIFE INSURANCE
Random Future Lifetime of a Life aged x
Life tables
LIFE INSURANCE: PRICING
Elementary life insurance products
Survival benefits
Death benefits
Endowment insurance products
Single premium and periodic premiums. Natural premiums
LIFE INSURANCE: RESERVING
Net Premium Reserve. Prospective Reserve
Retrospective Reserve
The time profile of the policy reserve
Recursive equations. Risk and savings
Homans’ Formula. Expected Profit
EXPENSE LOADINGS
The Expense-Loaded Premium
Expense-Loaded Premium Reserves
Counterinsurance
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PENSION PLANS
Social security framework
Contributions and benefits
Funding system
Benefits calculation
Demographic risks
System sustainability
Contributions calculations
Supplementary pension schemes
Old-Age, Survivors and Disability Insurance (OASI/IV) scheme
Exact Individual Trajectories (E.I.T.)
Testi Adottati
Annamaria Olivieri, Ermanno PitaccoIntroduction to Insurance Mathematics
Springer, 2011
Modalità Erogazione
The course is organized on the basis of lectures and Excel exercises. ----------------------------------------------------------------------------- N.B. In the event of an extension of the health emergency from COVID-19, all the provisions governing the methods of carrying out educational activities will be implemented. In particular, in case of need to provide distance learning, the Microsoft Teams platform will be used. Please, view the institutional University information channels so to be informed of the emergency measures in force.Modalità Frequenza
Class attendance is not mandatory but still recommended / advisable due to the complexity of the subject and the practical exercises carried out in the classroom.Modalità Valutazione
The overall assessment is determined by means of a final written exam. ----------------------------------------------------------------------------- N.B. In the event of an extension of the health emergency due to COVID-19, all the provisions governing the methods of student evaluation will be implemented. In particular, in case of need for remote exams, the exam will be taken in oral form by Microsoft Teams. Please, view the institutional University information channels so to be informed of the emergency measures in force.