Market-Valuation Methods in Life and Pension Insurance

Mogens Steffensen

Insurance mathematics and financial mathematics have converged over the last copule of decades and this convergence is expected to continue in the future. This course gives an overview over some of the problems and solutions arising in connection with modelling and valuation of life and pension insurance contracts. We study both with-profit, unit-link, and life-cycle life insurance products in order to include the important discussion on product design. The course includes a brief introduction to incomplete market valuation relevant for products with integrated actuarial and financial risk.

Observation: Particularly interested participants are encouraged to orient themselves in "Market-Valuation Methods in Life and Pension Insurance" available at

http://www.cambridge.org/catalogue/catalogue.asp?isbn=9780521868778

either before or after the short course.