Lecture on February the 16th

After finishing our discussion on Markov chains by stating and proving the backward and forward Kolmogorov equations we looked at a quick review of  methods used in mortality modelling and forecasting (Take a look at the slides and code used during the discussion).

Next time we will start with chapter 3 on interest rates.

Please prepare problem 4 in ex1 for next time. I'll present a solution (Finally!) to this problem during the first hour and in addition I'll discuss the generalized Gompertz Makeham model in more details.

I have now uploaded the lecture notes (Manus) for the first two chapters.