Vinner av aktuarprisen 2022

Prisen deles ut av Den Norske Aktuarforening, og er på totalt 25.000 kr. Prisvinner ble Erik Martinez Jensen.

Erik har mastergrad fra Universitetet i Oslo sitt masterprogram "Stokastisk modellering, statistikk og risikoanalyse" med spesialisering i "Matematisk finans og energi". 

Masteroppgaven hadde tittelen "Reserving under stochastic mortality". Veiledere var David Banos og Frank Proske.

Sammendrag: In this thesis we review some fractional and non-fractional stochastic models for describing mortality rates in several countries. In particular, we provide empirical evidence that the geometric fractional Ornstein-Uhlenbeck process is not well suited for modeling the mortality rate in Norway. As a natural continuation, we compute reserves of life insurance claims under Markovian mortality. Taking the classical approach from the theory of partial differential equations (PDEs), we derive the corresponding Thiele’s PDE for prospective reserves under stochastic mortality. As Thiele’s PDE is in general difficult to solve analytically, we give two algorithms to numerically approximate the solution surface. We finish by giving an application to premium calculation and reserving with a pension policy, given a geometric Ornstein-Uhlenbeck process. Lastly, we have included extensive background material in order to introduce newcomers to actuarial life insurance and justify its mathematical foundation in a rigorous fashion. 

Oppgaven finner du her. 

Erik jobber i EY, og ble opptatt som medlem i Den Norske Aktuarforening 24. november 2022.

Den Norske Aktuarforening gratulerer!