Mathematics of life contingencies 2, MATH 3281 3.00 W

Intermediate level course on the mathematics of life contingencies. The course builds on MATH 3280 and develops theoretical basis for pricing and supporting life-contingent products. Topics include economics of insurance, general insurances and annuities, (benefit) premiums and reserves, analysis of reserves, Hattendorf 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/annuities.
3. General life insurance pricing.
4. Solvency and the notion of reserves.
5. Analysis of reserves and Hattendorf theorem.
6. Expenses (if time permits).

The syllabus can be downloaded in the PDF format here .

Reminder: the midterm is on March 1st.

Economics of insurance.
Homework 1. (Due date Jan, 13.)
Solutions.
Life insurances.
Homework 2 (Due date Jan, 20.)
Solutions.
Quiz 1, Jan 18.
Quiz 2, Jan 25.
Quiz 3, Feb 1 - take home.
Homework 3 (Due date Jan, 27.)
Solutions.
Homework 4 (Due date Feb, 3.)
Solutions.
Life annuities.
Homework 5 (Due date Feb, 10.)
Life annuities, cont.
Premiums.
Homework 6 (Due date March, 24.)
Reserves.
Homework 7 (Due date March, 31.)
Analysis of reserves.
Homework 8 (Due date April, 7.)
Final test for example
Useful reading material:
1. The illustrative life table (ILT) can be downloaded here .