CFRM 500 Models for Life Contingencies

This course is an introduction to life contingencies, which are concerned with the valuation of future cash flows predicated upon death, survivorship or any random event.  The first part of the course will focus on probability, survival models and actuarial present value, and the latter will apply these concepts to insurance and financial risks.  Course work includes assignments in theory and computation and a final exam.

  • Review of interest theory, probability, Markov chains and stochastic simulation
  • Survival models and life tables
  • Contingent models for annuities, benefits and premiums
  • Extension of these concepts to multiple life and multiple decrement models
  • Other topics include interest rate risk, pension mathematics, and aspects of universal life 

Upon successful completion, students will have a firm understanding of contingent payment models and the application of those models to insurance and other financial risks. 

Instructor: 
Libby MacKinnon
Textbooks: 
Dickson, C.M.D, Hardy, M.R., and Waters H.R. (2009), Actuarial Mathematics for Life Contingent Risks, Cambridge: Cambridge University Press. Supplementary Notes for Actuarial Mathematics for Life Contingent Risks Version 2.0.
Software: 
Spreadsheet applications
Prerequisites: 
CFRM 461 Probability and Statistics for Computational Finance or equivalent, CFRM 462 Introduction to Computational Finance and Financial Econometrics or equivalent, CFRM 541 Investment Science or equivalent, CFRM 544 Options and Derivatives or equivalent, and CFRM 500 Actuarial Models and Estimation or equivalent.
Credits: 
4