Laboratory of actuarial techniques

Course objectives

Learning goals The primary educational objective of the course is the students' learning of some actuarial models for the evaluation of insurance coverage typical of life and non life line of business through the IT application, the use of some dedicated software packages and software “ad hoc” implemented. Knowledge and understanding. After attending the course the students know theoretically and know how to deal with topics of particular interest in the actuarial technique of life and non life insurance. Applying knowledge and understanding. At the end of the course, students are able to construct and apply some evaluation models typical of the actuarial technique of life and non life insurance, using specific software as well as to interpret the results. Making judgements. Students develop critical skills through the application of different typical actuarial models in life and non life insurance, also using experience data. From the analysis of the results, the students learn a critical vision of the applied evaluation models. Communication skills. The students, through the study and practical application, acquire the technical language of the discipline, which must be used appropriately in the final test. Communication skills are also developed through group activities. Learning skills. Students passing the exam have learned knowledge and method of analysis that allows them to deal with the topics developed during the course independently.

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SUSANNA LEVANTESI Lecturers' profile

Program - Frequency - Exams

Course program
The lessons are organized in two main parts: 1. Stochastic models for longevity risk: Mortality risk; Mortality projection models; Criteria for choosing mortality models; R software: «StMoMo»; Examples and applications (15 hours) 2. Health inscurance: One-year and multiple year medical expenses reimbursement insurance, One-year and multiple year invalidity daily allowance insurance, Multi-state models and invalidity annuity, Long Term Care insurance, Dread Desease insurance (12 hours)
Prerequisites
Knowledge of the contents of Actuarial techniques of life assurance and Actuarial techniques of non-life insurance is required.
Books
Pitacco, E., Denuit, M., Haberman, S., Olivieri, A.: “Modelling longevity dynamics for Pensions and Annuity Business”, Oxford University Press, 2009 Pitacco, E.: “Modelli attuariali per le assicurazioni sulla salute”, CERAP, Ed. EGEA, Milano, 1995 Pitacco, E., “Matematica e tecnica attuariale delle assicurazioni sulla durata di vita”, Lint Editoriale, 2022
Frequency
Not mandatory to be in the classroom. Attendance of the course is strongly recommended. In case of impossibility to follow the lessons, it is advisable to contact the teacher.
Exam mode
The student must demonstrate that he has understood the concepts explained in class and that he can quickly handle the mathematical formulas introduced during the course. Furthermore, he has to make actuarial calculations by the software introduced in the course.
Bibliography
- Brouhns, N., Denuit, M. and Vermunt, J. K. (2002). A Poisson Log-Bilinear Approach to the Construc- tion of Projected Life Tables. Insurance: Mathematics and Economics 31: 373-393. 
 - Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G.D., Epstein, D., Ong, A., Balevich, I. (2007). A quantitative comparison of stochastic mortality models using data from England & Wales and the United States. North American Actuarial Journal 13: 1-35. - Cairns, A. J. G., Blake, D., Dowd, K., Coughlan, G. D., Epstein, D., Khalaf-Allah, M. (2011): Mortality density forecasts: An analysis of six stochastic mortality models, Insurance: Mathematics and Economics, 48, 355–367. - Lee, R.D., Carter, L.R. (1992). Modelling and forecasting U.S. mortality. Journal of the American Sta- tistical Association 87: 659-675. - Villegas, A., Millossovich, P., Kaishev, V., Villegas, M. A. (2016). Package "StMoMo".
Lesson mode
Lectures: method used for the acquisition of the knowledge necessary to carry out the application of some evaluation methods typical of actuarial sciences. Laboratory: application of evaluation models to the PC studied during the lectures for the acquisition of the ability to build and apply the models and to interpret the results.
  • Lesson codeAAF1528
  • Academic year2025/2026
  • CourseActuarial and Financial Sciences
  • CurriculumScienze attuariali
  • Year2nd year
  • Semester1st semester
  • CFU3