Scandinavian Actuarial Journal

The  Scandinavian  Actuarial Journal announces

Sponsored by:
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The Nordic summer school in insurance mathematics

New financial products in insurance

Monday Sep 8, 2003 - Friday Sep 12, 2003

Keynote Lectures

Insurance and Finance Convergences and Divergences

Asset and Liability Management for Insurances in Challenging Times

Michel M. Dacorogna (Manager Financial Analysis and Risk Modeling, Converium Ltd)


Topics of the current EU Life insurance directives

The way forward from the EU life insurance directives

Raoul Berglund (Insurance Supervisory Authority, Finland)

Main Lectures

New financial products in insurance

Thomas Møller (Laboratory of Actuarial Mathematics, Copenhagen University)


Mogens Steffensen (Laboratory of Actuarial Mathematics, Copenhagen University)


The participants of this course should get an introduction to and overview of modern insurance contracts and financial products, their pricing and hedging, and their use in insurance. They should also acquire practical and computational skills in the area. A further aim is to encourage informal and close contacts between the Nordic insurance industry and the universities. The course includes:

* Introduction to financial mathematics

- Discrete time finance

- Continuous time finance

- Interest rate theory

- Bond market theory

* Risk management in life insurance

- Options

- Interest rate derivatives

- Swaptions, Swaps, CMS floors

- Reinsurance

* Life insurance products revisited

- Unit-linked contracts and beyond

- Participating life insurance

Teaching material: Textbook material and lecture notes by T. Møller and M. Steffensen. The Nordic summer school is planned to occur regularly, with two-year intervals.

For more details, please see the Program.


The course will be elementary and introductory. It is aimed at the actuaries in the Nordic countries, interested actuaries from outside Scandinavia and Finland, insurance mathematicians from academic institutions and graduate students specializing in applied probability, statistics or insurance mathematics. The course language will be English. The teaching will be supported by lecture notes provided by the lecturers, and will be complemented by practical computer exercises. The computer exercises will be based on Excel. Since we only have a limited number of laptops, participants are requested to bring a laptop with Excel.

The workshop is relevant to actuaries who attended the courses on market values arranged by the Danish Actuarial Association during 2001 and 2002, although the workshop also gives an introduction to financial mathematics. The workshop differs from the market value courses both in structure (for example computer exercises) and in contents (for example derivatives and risk management).


The course will be held at Såstaholm Konferens in Täby (ca 20 min from Stockholm, 25 min from Arlanda airport). Click here for road directions and maps ( map1, map2

Registration and rates

The fee for the course is16000 SEK. This includes the hotel, breakfast, lunch, dinner, coffee etc. at Såstaholm Konferens as well as the course material.

If your company would be interested in participating in the summerschool  we kindly ask you to fill out the registration form for companies .

If you are interested in participating in the summer school, we kindly ask you to fill out the registration form.

Please confirm your registration by paying the registration fee no later than August 8, 2003.

The fee should be paid to the following bank account, kindly provided to us by Sveriges  Försäkringsförbund

Sveriges Försäkringsförbund (summerschool)
Bank: Svenska Handelsbanken
Account number: 6114 - 121982068

Swift code: HANDSESS

People from academic institutions may apply for financial support of 8000 SEK. Please apply for financial support by contacting Henrik Hult.

Organizing Committee

Boualem Djehiche (Sweden), Pål Lillevold (Norway), Thomas Mikosch (Denmark), Harri Nyrhinen (Finland), Holger Rootzen (Sweden), Vibeke Thingaard (Denmark).

Advisory Board

Gunnar Andersson (Sweden), Vibeke Thingaard (Denmark), Erik Bolviken (Norway), Lasse Koskinen (Finland) and Esko Kivisaari (Finland).

Local Organizing Committee

Boualem Djehiche and Henrik Hult.

Additional Information

The Course starts on Monday, 8 Sep, at noon and finishes on Friday, 12 Sep, at noon. Further information will be presented later. Questions about the course should be addressed to Henrik Hult

This document was last modified June 19, 2002. Questions or comments to the contents of this document should be directed to


Henrik Hult
Department of Mathematics
S-100 44 Stockholm


Phone: (+46) 8 790 7875
Fax: (+48) 8 723 17 88