 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 garanteed rate or unit linkek contracts). The second part is an introduction to stochastic optimal control and its actuarial applications.
Content and teaching methods
Content
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
Other credits in programs
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ACTU22MS
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Deuxième année du master en sciences actuarielles, à finalité spécialisée
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(4.5 credits)
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Mandatory
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MAP23
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Troisième année du programme conduisant au grade d'ingénieur civil en mathématiques appliquées
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(3 credits)
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