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  3. Life Insurance Models I

Life Insurance Models I (ACTL90006)

Graduate courseworkPoints: 12.5On Campus (Parkville)

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Overview

Year of offer2017
Subject levelGraduate coursework
Subject codeACTL90006
Campus
Parkville
Availability
Semester 1
FeesSubject EFTSL, Level, Discipline & Census Date

Topics include survival models concepts; estimation procedures for lifetime distributions; multiple state models; multiple decrements; binomial model of mortality; actuarial applications of Markov processes; exact and census methods for estimating transition intensities based on age.

Intended learning outcomes

On successful completion of this subject a student should be able to:

  • Explain the concept of survival models;
  • Describe estimation procedures for lifetime distributions;
  • Define a Markov process, and apply Markov models in actuarial problems;
  • Describe statistical models of transfer between multiple states, including processes with single or multiple decrements, and derive relationships between probabilities of transfer and transition intensities;
  • Derive maximum likelihood estimators for the transition intensities in models of transfers between states with piecewise constant transition intensities;
  • Describe the Binomial model of mortality, derive a maximum likelihood estimator for the probability of death and compare the Binomial model with the multiple state models;
  • Describe how to estimate transition intensities depending on age, exactly or using the census approximation.

Generic skills

High level of development:

  • Written communication;
  • Problem solving;
  • Statistical reasoning;
  • Application of theory to practice;
  • Synthesis of data and other information.

Last updated: 16 August 2017