Monash University Handbook 2010 Undergraduate - Unit

Synopsis

The modelling and valuation of cash flows dependent on death, survival, or other uncertain risks.

Objectives

The learning goals associated with this unit are to:

• actuarial mathematics and techniques developed in ETC2430 in relation to simple assurance and annuity contracts are developed further allowing for multiple decrement situations, and those involving competing risks. Practical issues arising in the actuarial management of life insurance and superannuation are addressed
• the calculation, using ultimate or select mortality, of net premiums and net premium reserves for increasing and decreasing benefits and annuities
• techniques are developed for the valuation of annuity and assurance products involving two lives, and the use of actuarial functions in that situation
• methods are developed which can be used to model cash flows contingent upon competing risks
• the technique of discounted emerging costs as used in profit tests, pricing assessments and reserving calculations for various insurance and pension products
• practical issues are addressed such as guarantees and options, risk classification and the effects of the pricing and reserving basis on the emergence of profit.

Assessment

Within semester assessment: 30%
Examination (3 hours): 70%

Contact hours

Two 1-hour lectures and one 2-hour tutorial per week

Prerequisites

AFC2340 or ETC2430