Stochastic Finance in Insurance

Teacher(s)

Ars Pierre; Devolder Pierre;

Language

English
> French-friendly

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.

Learning outcomes

At the end of this learning unit, the student is able to :
1	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

Evaluation methods

Evaluation : Class participation and written examination.

Other information

Support : Slides provided through moodle.

Bibliography

Les transparents se basent principalement sur

• MOLLER T. & STEFFENSEN M. : Market-valuation methods in life and pension insurance (Cambridge, 2007)
• HARDY M.  :  Investment guarantees: modeling and risk management for equity linked insurance (Wiley, 2003)
• DEVOLDER P., JANSSEN J. & MANCA R. : Stochastic methods for Pension Funds (Wiley, 2012 )
• REBONATO R.  : Volatility and Correlation: The Perfect Hedger and the Fox (Wiley, 2004)
• TANKOV P. : Calibration de modèles et couverture de produits dérivés  2006, (http://www.proba.jussieu.fr/pageperso/tankov/)
• TANKOV P. : Surface de volatilité 2012, (http://www.proba.jussieu.fr/pageperso/tankov/)

Teaching materials

• transparents sur moodle + liste d'articles

Faculty or entity

LSBA