Insurance and financial mathematics

Dir­ect­ors of the spe­cial­iz­a­tion

Jaakko Lehtomaa and Dario Gasbarra

Overview of the studies

The studies begin by contacting one of the directors of the specialization in order to form a personal study plan. The plan works as a guide for the student when choosing courses and timing the studies.

Apart from the required core and specialization courses, the student can choose any advanced courses from all other specializations in mathematics and statistics. It is possible to include courses from different master’s programs such as economics or computer science if they have sufficient mathematical content.

Some of the courses in insurance mathematics are required for the Finnish actuarial qualification degree. Students who aim for this additional degree after the master’s studies may need to fulfil additional requirements. Requirements for the actuarial qualification degree can be found (in Finnish) from the webpage of The Actuarial Association of Finland (link). See also (link).

Recommended or suitable courses

It is recommended to include courses MAT22001 Todennäköisyyslaskenta IIa and MAT22002 Todennäköisyyslaskenta IIb, MAT22003 Tilastollinen päättely II and MAT22004 Lineaariset mallit I to bachelor’s studies. These courses are also suitable as other studies in the master’s degree. It is recommended to take the course Stochastic methods I (the first 5 cr part of the course) during the last year of bachelor’s studies or at the beginning of master’s studies.

Statistics courses support the learning of financial and insurance mathematics. In particular, courses on generalized linear models, time series analysis, econometrics and computational statistics are suitable for a mathematician working in the field of insurance and finance.

Model study plan

Most of the courses in insurance and financial mathematics make extensive use of probability theory. This is why the courses on probability theory should be at the beginning of the studies. The mandatory core courses in probability theory are available during the fall semester every year. Students, who begin their master’s studies at a time when probability theory is not available, can start their studies, for example, by completing courses in the other studies module.

The courses in insurance mathematics follow approximately a two-year cycle. The courses can be completed in any order after, or at the same time with, probability theory. Courses on mathematical finance and stochastic analysis are lectured every year.

The following schedules give two possible examples for timing the core and specialization courses. The remaining courses needed to fulfil the degree requirements are specified in the personal study plan.

Ex­ample 1 (emphasis on insurance mathematics)

Year 1, Fall semester
  Probability Theory I + II                             5+5 cr
  Risk Theory                                                 10 cr
  Stochastic methods I                                 5 cr
Year 1, Spring semester
  Advanced Risk Theory                               5 cr
  Tariff theory                                                5 cr
Year 2, Fall semester
  Master’s thesis seminar begins
  Financial Economics                                  10 cr
Year 2, Spring semester
  Master’s thesis seminar is completed    5 cr
  Life insurance mathematics I + II            5+5 cr
  Thesis completed                                      30 cr

Ex­ample 2 (emphasis on financial mathematics)

Year 1, Fall semester
  Probability Theory I + II                             5+5 cr
  Stochastic analysis I + II                            5+5 cr
Year 1, Spring semester
  Mathematical Finance  I + II                     5+5 cr
Year 2, Fall semester
  Master’s thesis seminar begins
  Malliavin calculus                                      10 cr            
Year 2, Spring semester
  Master’s thesis seminar is completed   5 cr
  Thesis completed                                      30 cr

List of insurance and financial mathematics courses

(courses in alphabetical order)

MAST31913 Advanced life insurance mathematics (5 cr)
MAST31806 Advanced risk theory (5 cr)
MAST31910 Financial economics (10 cr)
MAST31911 Life insurance mathematics I (5 cr)
MAST31912 Life insurance mathematics II (5 cr)
MAST31707 Malliavin calculus (10 cr)
MAST31801 Mathematical finance I (5 cr)
MAST31805 Mathematical finance II (5 cr)
MAST31802 Risk theory (10 cr)
MAST31706 Stochastic analysis I (5 cr)
MAST31010 Stochastic analysis II (5 cr)
MAST31804 Tariff theory (5 cr)