Module: Life Contingencies

Module Specifications..

Current Academic Year 2023 - 2024

Please note that this information is subject to change.

Module Title	Life Contingencies
Module Code	MS424
School	School of Mathematical Sciences
Module Co-ordinator	Semester 1: Michael Marsh Semester 2: Michael Marsh Autumn: Michael Marsh
Module Teachers	Michael Marsh
NFQ level	8	Credit Rating	7.5
Pre-requisite	None
Co-requisite	None
Compatibles	None
Incompatibles	None

Repeat examination

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.

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.

*Type*	*Hours*	*Description*
Workload	Full-time hours per semester
Lecture	36	Presentation of course material
Laboratory	8	Practical computer labs in Excel – mixture of presentations and students working from supplied lab sheets
Tutorial	12	Working from supplied tutorial sheets
Independent Study	132	Revising coursework, solving tutorial and lab sheets
Total Workload: 188

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

Indicative Content and Learning Activities

Annuity and Assurance Contracts
Common annuity and assurance contracts. Level and increasing benefits. With-profit contracts – reversionary and terminal bonuses. Unit-linked contracts. Accumulating with-profit contracts.

Life Tables
Life table functions and probabilities. Payments in advance and in arrears; Means and variances of expected present values. Expected accumulations.

Pricing and Reserving
Gross future loss random variable. Expenses. Gross premium and gross premium reserve calculations. Prospective and Retrospective reserves and the relationship between them.

Multiple Life Contracts
Joint life, last survivor, first death and reversionary contracts.

Multiple Decrement and Multiple Life Models
Transition intensities and transition probabilities. Markov models and multiple decrement models. Three state Able/Ill/Dead model.

Mortality Profit
Calculation of death strain at risk, actual and expected death strain and the mortality profit for common annuity and assurance contracts.

Cashflow Projections
Project expected future cashflows for common annuity and assurance type contracts for profit testing, pricing and reserving purposes. Zeroisation of negative cashflows.

Excel Models
Develop Excel models of common annuity and assurance contracts for pricing and reserving purposes. Use Excel for cashflow projections and for profit testing purposes.

Assessment Breakdown
Continuous Assessment	25%	Examination Weight	75%

Type	Description	% of total	Assessment Date
Course Work Breakdown
In Class Test	End of semester Excel lab exam –duration 1 hour	25%	n/a

Reassessment Requirement Type
Resit arrangements are explained by the following categories; 1 = A resit is available for all components of the module 2 = No resit is available for 100% continuous assessment module 3 = No resit is available for the continuous assessment component
This module is category 1

Indicative Reading List

Acted: 0, CM1 Combined Materials Pack,

Other Resources

None

Programme or List of Programmes

ACM	BSc in Actuarial Mathematics

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