Module Specifications.
Current Academic Year 2024 - 2025
All Module information is indicative, and this portal is an interim interface pending the full upgrade of Coursebuilder and subsequent integration to the new DCU Student Information System (DCU Key).
As such, this is a point in time view of data which will be refreshed periodically. Some fields/data may not yet be available pending the completion of the full Coursebuilder upgrade and integration project. We will post status updates as they become available. Thank you for your patience and understanding.
Date posted: September 2024
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Repeat examination |
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Description MS448 aims to provide students with an understanding of the characteristics of annuity and assurance contracts in the market. The module aims to develop students’ abilities to calculate premiums, reserves and profits for annuity and assurance contracts. The module will use Excel to apply the theory to practical applications. | |||||||||||||||||||||||||||||||||||||||||||
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Learning Outcomes 1. LO1 Understand various annuity and assurance contracts – conventional, unit linked and with profit type contracts – and the relationships between them for single life and multiple life cases. 2. LO2 Use life table functions to evaluate expected present values of contingent benefits and solve equations of value. 3. LO3 Develop Markov models and multiple decrement models to evaluate contracts involving multiple transition events and dependent probabilities. 4. LO4 Calculate gross premium and gross premium reserves for assurance and annuity contracts. 5. LO5 Calculate mortality profit for assurance and annuity contracts. 6. LO6 Profit test assurance and annuity contracts using projected expected future cashflows and use for pricing and reserving purposes. | |||||||||||||||||||||||||||||||||||||||||||
All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml |
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Indicative Content and Learning Activities
Annuity and Assurance ContractsCommon annuity and assurance contracts. Level and increasing benefits. With-profit contracts – reversionary and terminal bonuses. Unit-linked contracts. Accumulating with-profit contracts.Life TablesLife table functions and probabilities. Payments in advance and in arrears; Means and variances of expected present values. Expected accumulations.Pricing and ReservingGross future loss random variable. Expenses. Gross premium and gross premium reserve calculations. Prospective and Retrospective reserves and the relationship between them.Multiple Life ContractsJoint life, last survivor, first death and reversionary contracts.Multiple Decrement and Multiple Life ModelsTransition intensities and transition probabilities. Markov models and multiple decrement models. Three state Able/Ill/Dead model.Mortality ProfitCalculation of death strain at risk, actual and expected death strain and the mortality profit for common annuity and assurance contracts.Cashflow ProjectionsProject expected future cashflows for common annuity and assurance type contracts for profit testing, pricing and reserving purposes. Zeroisation of negative cashflows.Excel ModelsDevelop Excel models of common annuity and assurance contracts for pricing and reserving purposes. Use Excel for cashflow projections and for profit testing purposes. | |||||||||||||||||||||||||||||||||||||||||||
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Indicative Reading List
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Other Resources None | |||||||||||||||||||||||||||||||||||||||||||