401-3927-00L Mathematical Modelling in Life Insurance
| Semester | Autumn Semester 2024 |
| Lecturers | T. J. Peter |
| Periodicity | yearly recurring course |
| Language of instruction | English |
Courses
| Number | Title | Hours | Lecturers | ||||
|---|---|---|---|---|---|---|---|
| 401-3927-00 V | Mathematical Modelling in Life Insurance | 2 hrs |
| T. J. Peter |
Catalogue data
| Abstract | In life insurance, it is essential to have adequate mortality rates, be it for reserving or pricing purposes. The course provides the classical tools necessary to create mortality tables from scratch as well as modern machine learning approaches to forecast mortality rates. It also covers the basics of survival analysis. | ||||||||||||
| Learning objective | The course's objective is to provide the students with the understanding and the tools to create mortality tables on their own. Additionally, students should learn the basics of survival analysis. | ||||||||||||
| Content | Following main topics are covered: - Determining raw mortality rates - Smoothing techniques - Trends in mortality rates - Integration of safety margins - Stochastic mortality model due to Lee and Carter - Neural network extension of the Lee-Carter model - Machine learning for mortality forecasts - Survival analysis | ||||||||||||
| Lecture notes | Lectures notes and slides will be provided | ||||||||||||
| Prerequisites / Notice | The exams ONLY take place during the official ETH examination period. The course counts towards the diploma of "Aktuar SAV". Basic knowledge in probability theory is assumed. Some knowledge in financial mathematics is useful. | ||||||||||||
Competencies |
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Performance assessment
| Performance assessment information (valid until the course unit is held again) | |
Performance assessment as a semester course | |
| ECTS credits | 4 credits |
| Examiners | T. J. Peter |
| Type | session examination |
| Language of examination | English |
| Repetition | The performance assessment is offered every session. Repetition possible without re-enrolling for the course unit. |
| Mode of examination | oral 20 minutes |
| Additional information on mode of examination | Language of examination: English or German / Prüfungssprache: Deutsch oder Englisch |
| This information can be updated until the beginning of the semester; information on the examination timetable is binding. | |
Learning materials
| No public learning materials available. | |
| Only public learning materials are listed. |
Groups
| No information on groups available. |
Restrictions
| There are no additional restrictions for the registration. |