Subtitle life insurance:
- Determine of present values of perpetual and temporary annuities
- Model mortality
- Deal with mortality tables
- Determine net premiums and net premium reserves
- Include costs
Subtitle credit risk:
- Evaluate fair credit derivatives and credit risk products
- Model loan defaults (Firm’s Value Models, The Merton Model, Intensity Models, Poisson Process,…)
- Value CDX tranches (valuation formula for CDO tranches, Gaussian copula model, implicit correlation, the gamma model, Lévy processes,…)
- Apply Monte Carlo simulation in credit models
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Subtitle life insurance:
Characteristics of life insurance contracts, distinction between present value and net premiums, basic interest rate theory (effective and nominal interest), remaining lifetime, life insurance and (whole) life annuities, Thiele ODE, net premium reserve, Hattendorf’s theorem, types of costs, sufficient premiums, Zillmerization of costs, connected lives, multiple decrements
Subtitle credit risk:
Credit default swap, CDOs, CDS indices, valuation and calibration of credit risk products, firm's value models, the Merton model, intensity models, Poisson process, valuation formula for CDO tranches, Gaussian copula model, implicit correlation, the gamma model, Lévy processes , Basics for Monte Carlo simulation
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