INSTITUTE OF APPLIED MATHEMATICS
Last Updated:
28/08/2017 - 21:10

IAM583 - Pension Fund Mathematics

Credit: 3(3-0); ECTS: 8.0
Instructor(s): Sevtap Kestel
Prerequisites: IAM582 - Life Insurance Mathematics

Course Catalogue Description

Risk theory for pension funds. Pension schemes for active and retired lives. Valuation of pension plans. Funding Methods: Unit Credit, Attained Age, Entry Age Normal and other Methods. Contributory and Benefit Plans.

Course Objectives

Introduce the actuarial cost and contributory plan concepts, theory and methods for pension funds.

Course Learning Outcomes

Introduce the actuarial cost and contributory plan concepts, theory and methods for pension funds.

Tentative (Weekly) Outline

  1. Introduction, Pension Benefits
  2. Increasing Cost Individual Cost methods
  3. Level Cost Individual Cost methods
  4. Aggregate Cost Methods
  5. Experience Gains and Losses
  6. Changes and Ancillary Benefits
  7. Options and Assets
  8. Comparisons of Methods and retirement systems
  9. Individual Retirement Systems (BES)
  10. Social Security Systems
  11. Term Project Presentations

Course Textbook(s)

  • W.H. Aitken, "A Problem Solving Approach to Pension Funding and valuation", ACTEX Publications, 1996 (second edition)
  • A.W. Anderson, "Pension Mathematics for Actuaries", ACTEX Publications, 1992
  • Bowers, N.L., Gerber, H.U., Hickman, J.C., Jones, D.A., Nesbitt, C.J., "Actuarial Mathematics", The Society of Actuaries, 1997

Supplementary Materials and Resources

  • Beard, R.E., Pentikainen, T., Pesonen, E., "Risk Theory, The Stochastic Basis of Insurance", Chapman and Hall, 1994
  • R.Booth, R.Chadburn, D.Cooper, S. Haberman, D.James, "Modern Actuarial Theory and Practice", Chapman and Hall, 1999
  • C.D. Daykin, T. Pentikainen, M. Pesonen, "Practical Risk Theory for Actuaries", Chapman and Hall, 1994
  • H.U. Gerber, "Life Insurance Mathematics", Springer, 1997
  • W-R. Heilmann, "Fundamentals of Risk Theory", WW Karlsruhe, 1988
  • L.Workman, "Mathematical Foundations of Life Insurance" LOMA-Life Office Management Association, 1992

More Info on METU Catalogue

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