UCL - STOCHASTIC FINANCE 2

[ACTU2240]

[30h] 5 credits

This course is taught in the 2d semester.

Teacher(s): Pierre Ars, Pierre Devolder

Language: French

Level: Second

Aims
Main themes
Content and teaching methods
Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

Aims

The aim of this course is to apply the methods of stochastic finance in insurance and pension funds. At the end of the course, the students must be able to apply the concepts of quantitative finance to various concrete problems of insurance

Main themes

The first part is devoted to the application of option theory to the value of life insurance contracts (contract with a guaranteed rate or unit linked contracts). The second part is an introduction to stochastic optimal control and its actuarial applications.

Content and teaching methods

Content
The following topics will be developed:
Part 1 / STOCHASTIC METHODS OF VALUATION
1. Classical actuarial valuation
2. Deflators, discounting and fair value
3. Life insurance with participation
4. Unit linked insurance
5. Look back options and pricing
6. Valuation of the surrender option
7. Option on annuity

PART 2 / STOCHASTIC CONTROL
1. Presentation of the financial market
2. Introduction to stochastic control
3. Dynamic optimization in continuous time
4. Introduction to Malliavin calculus
5. Actuarial applications
Methods
In-class activities
X0 Lectures
X0 Exercices/PT

At home activities
X0 Exercices to prepare the lecture
X0 Paper work

Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

Evaluation : Class participation and written examination, in French

Support : Slides provided through icampus