Currículo

Pension Funds FPEN-CA

Contextos

Groupo: Matemática Aplicada à Economia e à Gestão > 3º Ciclo > Parte Escolar > Unidades Curriculares Optativas > Optativas 1

ECTS

4.0 (para cálculo da média)

Objectivos

The aim of this subject is to provide the master students with the skills required to apply and develop the mathematical techniques used in modelling and valuating the liabilities inherent to the benefits provided in case of old-age retirement, disability, survivors pensions and other types of benefits provided by pensions plans.

Programa

0. Introduction 1. Pension provisions designs and the general business environment 2. Portuguese Social security old-age retirement pension 3. Multiple decrements models 4. Population data required and setting actuarial assumptions 5. Accounts and funding methods valuation Methods 6. Actuarial Valuation of pension plans liabilities 7. Pension Accounting 8. DC pension plans 9. ALM for Pension Funds

Método de Avaliação

Sessions will be of theoretical and practical content, with oral presentations, accompanied by the projection of slides containing the main formulae and results, which will be explained, derived and exemplified. A significant part of the time will be devoted to drafting exercises and practical applications. The final grade, on a 0-20 scale, is awarded on the basis of a written exam.

Carga Horária

Carga Horária de Contacto -

Trabalho Autónomo - 86.0

Carga Total -

Bibliografia

Principal

Actuarial Mathematics: Bowers, N.L., Gerber, H.U., Hickman, J.C., Jones, D.A. & Nesbitt, C.J. 1997 2nd ed, The Society of Actuaries, Schaumburg, IL.
Actuarial Mathematics for Life Contingent Risks: Dickson, D., Hardy, M., and Waters, H. 2009 Cambridge University Press.
An Introduction to Pension Schemes: Lee E M, 1986 Institute of Actuaries and Faculty of Actuaries.
Fundamentals of Private Pensions: Mcgill, D. 1989 sixth edition, Irwin, Homewood, Illinois
Lecture notes: Lima, Fátima . .