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STOCHASTIC FINANCE 2 [ LACTU2240 ]


5.0 crédits ECTS  30.0 h   2q 

Teacher(s) Devolder Pierre ; Ars Pierre ;
Language English
Place
of the course
Louvain-la-Neuve
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.

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

Content

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

Evaluation : Class participation and written examination, in French Support : Slides provided through icampus

Cycle et année
d'étude
> Master [120] in Actuarial Science
> Master [120] in Business Engineering
> Master [120] in Business engineering
Faculty or entity
in charge
> LSBA


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