M7987 Statistical models of life insurance

Faculty of Science
Autumn 2016
Extent and Intensity
2/0/0. 2 credit(s) (fasci plus compl plus > 4). Type of Completion: zk (examination).
Teacher(s)
doc. PaedDr. RNDr. Stanislav Katina, Ph.D. (lecturer)
Guaranteed by
doc. PaedDr. RNDr. Stanislav Katina, Ph.D.
Department of Mathematics and Statistics – Departments – Faculty of Science
Contact Person: doc. PaedDr. RNDr. Stanislav Katina, Ph.D.
Supplier department: Department of Mathematics and Statistics – Departments – Faculty of Science
Timetable
Mon 19. 9. to Sun 18. 12. Wed 8:00–9:50 M2,01021
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
fields of study / plans the course is directly associated with
Course objectives
The main goal of the course is to become familiar with some basic probabilistic and statistical models in life insurance of one and more lives; to highlight the relationship with survival analysis; to implement these techniques into R language and to be able to apply them to real data.
Syllabus
  • Actuarial notation of survival characteristics – distribution function, survival function, density function, risk function, mean survival, mean residual life.
  • Mortality tables, laws of mortality, Gompertz and Makeham distribution, exponential, Weibull, log-normal, gamma and log-logistic distribution, point and interval estimates of the parameters, noncensored and censored data.
  • Statistical inference – testing of statistical hypotheses about parameters of selected distributions, testing equality of these distributions within the family of generalised gamma distributions, Wald tests, likelihood ratio tests, score tests, goodness of fit tests.
  • Regression models for noncensored and censored data.
  • Life insurance for one and more lives – present value, expected value, variance of present value, and interval estimates in selected life insurance models.
Literature
  • DICKSON, D. C. M., Mary HARDY and H. R. WATERS. Actuarial mathematics for life contingent risks. 2nd ed. Cambridge: Cambridge University Press, 2013, xxi, 597. ISBN 9781107044074. info
  • BOWERS, Newton L. Actuarial mathematics. 2nd ed. Schaumburg, Ill.: Society of Actuaries, 1997, xxvi, 753. ISBN 0938959468. info
  • GERBER, Hans U. Life insurance mathematics. Edited by Samuel H. Cox. 3rd ed. Zurich: Springer, 1997, xvii, 217. ISBN 354062242X. info
Teaching methods (in Czech)
Přednáška: 2 hod. týdně.
Assessment methods (in Czech)
Domácí úkoly, ústní zkouška.
Language of instruction
Czech
Further Comments
Study Materials
The course is taught annually.
The course is also listed under the following terms Autumn 2015, autumn 2017, Autumn 2018, Autumn 2019, Autumn 2020.
  • Enrolment Statistics (Autumn 2016, recent)
  • Permalink: https://is.muni.cz/course/sci/autumn2016/M7987