## Objectives

Learn the importance of technical provisions as well as the various calculation methods and be able to apply them to classic products in discrete and continuous time.

Learn the consequences of policy changes, eg in the calculation of new insurance sums and surrender values.

Discussion of the Universal Life and Unit Link models.

Learn to implement models of estimation of the future life time and application of the Lee-Carter model to estimate the mortality of a population. Use of graduation techniques in mortality models.

## General characterization

12458

6.0

##### Responsible teacher

Gracinda Rita Diogo Guerreiro

Weekly - 4

Total - 69

Português

### Prerequisites

Knowledge of Life Contingencies I

### Bibliography

Bowers et al. Actuarial mathematics (2nd ed). The Society of Actuaries, 1997.

Denuit, M. e Goderniaux, A. (2005). Closing and projecting lifetables using loglinear models. Bulletin de l’Association Suisse des Actuaries, 1, 29-49.

Dickson, D., Hardy, M. and Waters, H. Actuarial Mathematics for Life Contingent Risks. Cambridge University Press, 2009

Pitacco et al. Modelling Longevity Dynamics for Pensions and Annuity Business, Texts from Oxford University Press, 2009

Gerber, Hans, Life insurance mathematics (3rd ed). Springer-Verlag, 1997.

Lee, R. D. & Carter, L. R. (1992) Modelling and Forecasting U. S. Mortality. Journal of the American Statistical Association 87 (14), 659-675.

### Teaching method

In lectures we will explain and discuss program topics of the course.

The themes are introduced by the teacher, consolidated with real examples taken from the general insurance industry following a brief discussion.

The lectures include the resolution of real life examples in a computational environment.

The evaluation will be performed with tests, practical assignments and/or final exam.

### Evaluation method

Evaluation Rules

Frequency

To obtain Frequency to the UC the student must attend 2/3 of the classes.

CONTINUOUS EVALUATION / NORMAL SEASON

The continuous assessment will be made through one test (T) and one practical group assignment (TP).

Grade Normal Season = 0.6 T + 0.4 TP , with T >= 7 points

The student who obtains a final grade greater than or equal to 18.5 must take an oral defence of grade (on a date to be agreed). If the student does not attend the oral exam, the final grade will be 18 points.

The student obtains approval to UC if Grade Normal Season is greater than or equal to 9.5 values.

EVALUATION OF APPEAL SEASON

The evaluation of Appeal Season is made by Exam (E), being valid both for grade improvement and for approval to UC.

Grade Appeal Season = 0.6 E + 0.4 TP , with E >= 7

The student obtains approval to the CU if the Grade of Appeal Season is greater than or equal to 9.5 values.

The student who obtains a final grade greater than or equal to 18.5 must take an oral defence of grade (on a date to be agreed). If the student does not attend the oral exam, the final grade will be 18 points.

Students who intend to take the appeal exam, with a view to improving their grades, must, in advance, request this improvement from academic services.

Grade Improvement = 0.6 E + 0.4 TP

The Exam includes all the topics evaluated in the Test.

Practical assignment cannot be improved.

## Subject matter

1.      Policy values

1.1. Definition

1.2. Methods

1.3. Continuous time model

2.      Policy alterations

3.      Universal Life Model