Risk models and valuation in life and disability insurance
The course treats the probability theory behind life and disability insurance.
The course includes the following:
- Mathematical modeling with Markov chains in continuous time.
- Calculation of premiums, reserves, returns, and valuation.
- Evaluation of models, analysis of sensitivity and profitability.
- Overview of products in life and disability insurance.
- Asset Liability Management (ALM), solvence and methods for reducing risk.
The course consists of two parts, theory and project work.
Teaching Format
Teaching consists of lectures and supervision of project work.
Assessment
Assessment of Part 1 Theory takes place through written examination, and for Part 2 Project work through oral and written hand-in of project work.
In order to pass the course, you must pass both the theory part and the project work.
Examiner
A list of examiners can be found on
The schedule will be available no later than one month before the start of the course.
We do not recommend print-outs as changes can occur. At the start of the course,
your department will advise where you can find your schedule during the course.
Note that the course literature can be changed up to two months before the start of the course.
Asmussen, Steffensen: Risk and Insurance: A Graduate Text
Course reports are displayed for the three most recent course instances.
