Insurance and Pension Funds

Knowledge of Financial Mathematics.

Classes are theoretical-practical in nature, and the exposure of the proposed contents is accompanied by a wide range of real cases, both national and international.

Goals:

The main goal of this subject is to make students aware of the particularities of the insurance sector, mainly in the Life branch, as well as the financial instruments that allow the management of longevity risk, both from the perspective of financial institutions and companies.

Skills:

At the end of the course, the student must be able:

–  To know and evaluate the effects of demographic evolution;

–  To know the financial products aimed to manage the longevity risk, mainly life insurance and pension funds;

–  To propose private pension schemes, given the particularities of individuals and companies.

I – Basic concepts

1 – Uncertain annuities

2 – Mortality tables

3 – Probability of life and pribability of deah

4 – Pure endowment and life expectation

5 – Whole life annuities

 II – Life insurance

 1 – Main concepts

 2 – Whole life insurance of constant capital

 3 – Whole life insurance of variable capital: i) in arithmetic progression and ii) in geometric progression

 4 – Term insurance with constant capital

 5 – Term insurance with variable capital: i) in arithmetic progression and ii) in geometric progression

 6 – Endowment insurance of n years

 7 – Premiums

 7.1 – Single premium

 7.2 – Inventory premium

 7.3 – Commercial premium

 7.4 – Zillmer premium

 8 – Mathematical reserves (prospective method and retrospective method)

 III – Pension Funds

 1 – Pension plans and pension funds

 2 – Pension funds as private pensions

 3 – Kinds of pension plans

 3.1 – Defined Benefit Plans (DB)

 3.2 – Defined Contribution Plans (DC)

 4 – Actuarial methods for allocating pension funds’ costs

 5 – Pension funds accounting

NAO

Autoridade de Supervisão de Seguros e Fundos de Pensões (sd). Relatórios vários.

Blake, D. (2020). Nudges and Networks: How to use behavioural economics to improve the life cycle savings-consumption balance. Pensions Institute working paper PI 2009.

Blake, D. et al. (2020). One size fits all: How many default funds does a pension scheme need? Pensions Institute working paper PI 2004.

Quelhas, A. P. & Ruivo, M. (2005), Statistical Measures on Pension Reform, paper apresentado no âmbito do Projeto RESORE – Employee’s Resources and Social Rights in Europe, Deliverable 28, 12 pp.

Quelhas, A. P. (2010). Seguros e Fundos de Pensões – uma perspectiva financeira e actuarial, Coimbra, Almedina.

Quelhas, A. P. (2015). Da diferenciação entre planos de pensões de benefício definido e planos de pensões de contribuição definida: mitos e realidades. Boletim de Ciências Económicas pp. 2343-2370.