Personal tools
ODTU Amblemi amblem METU

Contents

Course Title

Pension Fund Mathematics

Course Code

IAM 583

Credit

(3-0) 3

Prerequisites

Consent of instructors

Content

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

Aims

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

Suggested Textbooks

  • 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

Outline

  • Actuarial basis and the basic model for pension funds.
  • Actuarial cost and funding
  • Contributory plans
  • Pension scheme benefits
  • Investment and management of assets for pension funds

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