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401-3927-00L 4 Credits BSC , DR , MSC D-MATH

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Mathematical Modelling in Life Insurance

Does not take place this semester.

VVZ CR n/a

Last Updated: 2026-02-05 16:02:14

Abstract

In life insurance, it is essential to have adequate mortality tables, be it for reserving or pricing purposes. The course provides the tools necessary to create mortality tables from scratch. Additionally, we study various guarantees embedded in life insurance products and learn to price them with the help of stochastic models.

Objective

The course's objective is to provide the students with the understanding and the tools to create mortality tables on their own. Additionally, students should learn to price embedded options in life insurance. Aside of the mere application of specific models, they should develop an intuition for the various drivers of the value of these options.

Content

Following main topics are covered: 1. Guarantees and options embedded in life insurance products. - Stochastic valuation of participating contracts - Stochastic valuation of Unit Linked contracts 2. Mortality Tables: - Determining raw mortality rates - Smoothing techniques: Whittaker-Henderson, smoothing splines,... - Trends in mortality rates - Stochastic mortality model due to Lee and Carter - Neural Network extension of the Lee-Carter model - Integration of safety margins

Resources

Lecture Notes

Lectures notes and slides will be provided

General Information

Language: English
Levels: BSC , DR , MSC
Frequency: Yearly recurring

Examination

Type: session examination
Mode: oral 20 minutes

Language of examination: English or German / Prüfungssprache: Deutsch oder Englisch

Course Components

Type	Title	Time & Place	Hours
lecture	Mathematical Modelling in Life Insurance Does not take place this semester. Will be taught again in HS 2023.	No time listed	2 h weekly

Offered In

Mathematics (General Courses)
- Actuary SAA Education at ETH Zurich (Further pieces of information are available at Prof. M. Wüthrich's secretariat, HG F 42.)
Mathematics Bachelor
- Electives
  - Selection: Financial and Insurance Mathematics (In the Bachelor's programme in Mathematics 401-3913-01L Mathematical Foundations for Finance is eligible as an elective course, but only if 401-3888-00L Introduction to Mathematical Finance isn't recognised for credits (neither in the Bachelor's nor in the Master's programme). For the category assignment take contact with the Study Administration Office ( ) after having received the credits.)
Mathematics Master
- Electives (For the Master's degree in Applied Mathematics the following additional condition (not manifest in myStudies) must be obeyed: At least 15 of the required 28 credits from core courses and electives must be acquired in areas of applied mathematics and further application-oriented fields.)
  - Electives: Applied Mathematics and Further Application-Oriented Fields (¬)
    - Selection: Financial and Insurance Mathematics (In the Master's programme in Mathematics (direction Mathematics resp. Applied Mathematics 401-3913-01L Mathematical Foundations for Finance is eligible as an elective course resp. applied elective course, but only if 401-3888-00L Introduction to Mathematical Finance isn't recognised for credits (neither in the Bachelor's nor in the Master's programme). For the category assignment take contact with the Study Administration Office ( ) after having received the credits.)