Type of Credit: Required
Credit(s)
Number of Students
Aims: Gain a through understanding of the followings:
1.basic pricing of actuarial mathematics
2.the application of the dynamic mortality model
3.the application of Levy process in actuarial science
4.the application of the longevity risk.
5.modeling and reserving the guarantee liabilities (GMAB, GMDB, GMWB,… ).
6.static and dynamic hedging
7.the properties of the Markowitz portfolio selection model.
8.evaluate the risk and return characteristics of guaranteed investment
9.apply the concept of Multivariate Jump Diffusion Models to asset allocation
10. Identify and apply portfolio management techniques to the ongoing investment management of financial institution and pension fund assets
11. apply approximation method to the topic of asset allocation,..,etc.
12. modeling the mortality model.
能力項目說明
Aims: Gain a through understanding of the followings:
1.basic pricing of actuarial mathematics
2.the application of the dynamic mortality model
3.the application of Levy process in actuarial science
4.the application of the longevity risk.
5.modeling and reserving the guarantee liabilities (GMAB, GMDB, GMWB,… ).
6.static and dynamic hedging
7.the properties of the Markowitz portfolio selection model.
8.evaluate the risk and return characteristics of guaranteed investment
9.apply the concept of Multivariate Jump Diffusion Models to asset allocation
10. Identify and apply portfolio management techniques to the ongoing investment management of financial institution and pension fund assets
11. apply approximation method to the topic of asset allocation,..,etc.
12. modeling the mortality model.
| 教學週次Course Week | 彈性補充教學週次Flexible Supplemental Instruction Week | 彈性補充教學類別Flexible Supplemental Instruction Type |
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週次 Week |
課程主題 Topic |
課程內容與指定閱讀 Content and Reading Assignment |
教學活動與作業 Teaching Activities and Homework |
學習投入時間 Student workload expectation |
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課堂講授 In-class Hours |
課程前後 Outside-of-class Hours |
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1 |
基礎精算數學介紹I |
課程提供 |
講授與問題討論 |
3 |
4 |
|
2 |
基礎精算數學介紹II |
課程提供 |
講授與問題討論 |
3 |
4 |
|
3 |
退休金精算報告I |
課程提供 |
講授與問題討論 |
3 |
4 |
|
4 |
退休金精算報告II |
課程提供 |
講授與問題討論 |
3 |
4 |
|
5 |
保險商品計算基礎I |
課程提供 |
講授與問題討論 |
3 |
4 |
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6 |
保險商品計算基礎II |
課程提供 |
講授與問題討論 |
3 |
4 |
|
7 |
Proposal Presentation |
課程提供 |
報告 |
3 |
4 |
|
8 |
機器學習I |
課程提供 |
講授與問題討論 |
3 |
4 |
|
9 |
機器學習II |
課程提供 |
講授與問題討論 |
3 |
4 |
|
10 |
機器學習III |
課程提供 |
講授與問題討論 |
3 |
4 |
|
11 |
機器學習IV |
課程提供 |
講授與問題討論 |
3 |
4 |
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12 |
機器學習V |
課程提供 |
講授與問題討論 |
3 |
4 |
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13 |
高齡長照議題I |
課程提供 |
講授與問題討論 |
3 |
4 |
|
14 |
高齡長照議題II |
課程提供 |
講授與問題討論 |
3 |
4 |
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15 |
高齡長照議題III |
課程提供 |
講授與問題討論 |
3 |
4 |
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16 |
高齡長照議題IV |
課程提供 |
講授與問題討論 |
3 |
4 |
|
17 |
高齡長照議題V |
課程提供 |
講授與問題討論 |
3 |
4 |
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18 |
Final Presetation |
課程提供 |
報告 |
3 |
4 |
Grades:
Presentation 40%
Final project: 60 %
Reference papers:
1. Biffis, E., 2005. Affine Processes for Dynamic Mortality and Actuarial Valuations. Insurance: Mathematics and economics 37, 443-468.Capozza, D. R., Kazarian, D., Thomson, T. A., 1998.
2. Brouhns, N., Denuit, M., Vermunt, J. K., 2002. A Poisson Log-Bilinear Regression Approach to the Construction of Projected Life Tables. Insurance: Mathematics and Economics 31, 373-393.
3. Cairns, A. J. G., Blake, D., Dowd, K., 2006. A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration. The Journal of Risk and Insurance 73, 687-718.
4. Cairns, A. J. G., Blake, D., Dowd, K., Coughlan, G. D., Epstein, D., Ong, A., Balevich, I., 2009. A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States. North American Actuarial Journal 13, 1-35.
5. Chen, H., Cox, S. H., 2009. Modeling Mortality with Jumps: Applications to Mortality Securitization. The Journal of Risk and Insurance 76, 727-751.
6. Haberman, S., Renshaw, A. E., 2009. On Age-Period-Cohort parametric motality rate projections. Insurance: Mathematics and Economics 45, 255-270.
7. Lee, R., 2000. The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications. North American Actuarial Journal 4, 80-93.
8. Li. S. H., Chan, W. S., 2007. The Lee-Carter Model for Forecasting Mortality, Revisited. North American Actuarial Journal 11, 68-89.
9. Renshaw, A. E., Haberman, S., 2003. Lee-Carter Mortality Forecasting with Age-Specific Enhancement. Insurance: Mathematics and Economics 33, 255-272.
10. The Conditional Probability of Mortgage Default. Real Estate Economics 26 (3), 359-389.
11. Barndorff-Nielsen, O.E., 1998. Processes of normal inverse Gaussian type. Finance and Stochastics 2, 41–68.
12. Carr, P., Wu, L., 2003. Finite moment log stable process and option pricing. Journal of Finance 58, 753–777.
13. Chen, Ming-Chi, Chia-Chien Chang, Shih-Kuei Lin, David Shyu, 2009. Estimation of Housing Price Jump Risks and Impact on the Valuation of Mortgage Insurance Contacts. Journal of Risk and Insurance , forthcoming
14. Denuit, M., Devolder, P., Goderniaux, A.C., 2007. Securitization of longevity risk: pricing survivor bonds with wang transform in the Lee-carter framework. The Journal of Risk and Insurance 74 (1), 87-113.
15. Eraker, B., Johannes, M., Poison, N., 2003. The impact of jumps in equity index volatility and returns. Journal of Finance 58 (3), 1269–1300.
16. Lee, R. D., Carter, L. R., 1992. Modeling and forecasting U.S. mortality. Journal of the American Statistical Association 87, 659-675.
17. Sharp, N. J., Newton, D. P., Duck, P. W., 2008. An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options. Journal of Real Estate and Financial Economics 36, 307–342.
18. Campbell, J.Y., Viceira, L.M., 2002. Strategic Asset Allocation: Portfolio Choice for Long-term Investors. Oxford: Oxford University Press,
19. Chiu, M. C., Li, D., 2006. Asset and liability management under a continuous-time mean–variance optimization framework. Insurance: Mathematics and Economics 39, 330–355.
20. Emms, P., Haberman, S., 2007. Asymptotic and numerical analysis of the optimal investment strategy for an insurer. Insurance: Mathematics and Economics 40, 113–134.
21. Sherris, M., 2006. Solvency, capital allocation, and fair rate of return in insurance. The Journal of Risk and Insurance 73(1), 71-96.
22. Wang, Z., Xia, J., Zhang, L., 2007. Optimal investment for an insurer: The martingale approach. Insurance: Mathematics and Economics 40, 322–334.
23. Lai, S.L., Frees, E., 1995. Examining changes in reserves using stochastic interest models. Journal of Risk and Insurance 62, 535-574.
24. Szymanoski, E. J., 1994. Risk and the Home Equity Conversion Mortgage. Journal of American Real Estate and Urban Economics Association 22(2), 347-366.
25. Lee, R., 2000. The Lee-Carter method for forecasting mortality, with various extensions and applications. North American Actuarial Journal 4, 80-93.
26. Lee, B. S., Chung, E. C., Kim, Y. H., 2005. Dwelling Age, Redevelopment, and Housing Prices: The Case of Apartment Complexes in Seoul. Journal of Real Estate Finance and Economics 30 (1), 55–80.
27. Elena vigna, Steve Haberman, “ Optimal investment strategy for defined contribution pension schemes”, IME 2001 233-262 Campbell, J.Y., Viceira, L.M., 2002.
28. Strategic Asset Allocation: Portfolio Choice for Long-term Investors. Oxford: Oxford University Press,.
29. Chiu, M. C., Li, D., 2006. Asset and liability management under a continuous-time mean–variance optimization framework. Insurance: Mathematics and Economics 39, 330–355.
30. Battocchio, P., Menoncin, F. and Scaillet O. 2007 Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases, Annals of Operations Research, 152(1): 141-165
31. Gerrard, R., Habberman, S. and Vigna, E. (2006) The management of decumulation risks in a defined contribution pension plan. North American Actuarial Journal 10(1):84-110
32. Wilkie, A.D., 1995. More on a Stochastic Model for Actuarial Use. British Actuarial Journal 1(V), 777-964.
33. Wang, Z., Xia, J., Zhang, L., 2007. Optimal investment for an insurer: The martingale approach. Insurance: Mathematics and Economics 40, 322–334.
34. Sherris, M., 2006. Solvency, capital allocation, and fair rate of return in insurance. The Journal of Risk and Insurance 73(1), 71-96
35. Huang, H.C., Cairns, A. J. G., 2006. On the control of defined-benefit pension plans. Insurance: Mathematics and Economics 38, 113-131.
36. Emms, P., Haberman, S., 2007. Asymptotic and numerical analysis of the optimal investment strategy for an insurer. Insurance: Mathematics and Economics 40, 113–134
37. Elena vigna, Steve Haberman, “ Optimal investment strategy and risk measures in defined contribution pension schemes”, IME 2002 35-69
38. Jean-Francois Boulier etc. “Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund”, IME 2001, 173-189
39. Richard J. Rendleman, Jr. “ Option Investing from a risk-return perspective”, the journal of portfolio management, May 1999, p109
40. David Blake, Andrew Cairns, “Pensionmetrics: stochastic pension plan design and value at risk during the accumulation phase”, IME 29, 2001, 187-215
41. Papers in http://www.pensions-institute.org/papers.html
課程中指示