Theory of compound interest and the mathematics of investment and credit. Measurement of interest, annuities certain (level, non-level, and continuous), amortization schedules, sinking funds, investment yield rates, and valuation of bonds and other securities. Methods of loan measurement and payments (Islamic and Conventional) are illustrated in amortization and sinking fund schedules. Islamic views on interest and investments.
Pre-Requisites: MATH102
Introductory Derivatives: Forwards and Futures. Options and Related Strategies. European put and call options. Put-call parity. Arbitrage opportunities. Rational valuation of derivative securities. Binomial tree and Black-Scholes Pricing Models. Actuarial Applications of Options Embedded in Insurance Products. Risk Management and Hedging. Introductory Stochastic differential equations. Ito’s formula. Other SOA FM and IFM/MFE topics. Spreadsheet programming software.
Pre-Requisites: AS201 And STAT214
None
Pre-Requisites: AS201 And STAT214
This problem lab is designed to prepare Actuarial majors for the second Society of Actuaries and Casualty Actuarial Society Examinations, FM (Financial Mathematics).
Preparation for the second Society of Actuaries and Casualty Actuarial Society professional examination, FM (Financial Mathematics). Society approved calculators. Review exam logistics and exam-taking strategies.
Pre-Requisites: AS201
Computer arithmetic (Floating-point, error analysis), Matrices and linear equations, Numerical Integration and Differentiation, Interpolation, Smoothing, approximations, Computing probability functions, Solving nonlinear equations with application in maximum likelihood and nonlinear regression. Numerical programming language and database software use in Actuarial modeling, Monte Carlo simulation, and data analysis. Cannot be taken for credit with MATH 371 or CISE 301.
A continuous period of 28 weeks of industrial employment for Actuarial Science and Applied Financial Mathematics students to work in appropriate industries or firms. Students are evaluated on their performance on the job and are required to submit an extensive formal report on their work experience.
A continuous period of 28 weeks of industrial employment for Actuarial Science and Financial Mathematics students to work in appropriate industries or firms. The student is evaluated on his job performance and is required to submit and present an extensive formal report on his work experience.
End of coop in summer. Description as given in AS 351.
Introduction to life insurance mathematics based on a stochastic approach. Life insurance, annuities, benefit premiums, and net reserves. Parallel treatment of topics based on Takaful system.
Pre-Requisites: AS201 And STAT301
Introduction to life insurance mathematics based on a stochastic approach. Life insurance, annuities, benefit premiums, and net reserves. Parallel treatment of topics based on Takaful system.
This problem lab is designed to prepare Actuarial majors for the first Society of Actuaries (SOA) and Casualty Actuarial Society (CSA) Examinations, Exam P (Probability). Students are assumed to have taken the appropriate prerequisite courses prior to registering for this society exam preparation lab.
Preparation for the first Society of Actuaries (SOA) and Casualty Actuarial Society (CSA) professional examination, Exam P (Probability). Society approved calculators. Review exam logistics and exam-taking strategies.
Pre-Requisites: STAT301
None
Pre-Requisites: (AS251 Or AS250) And MATH371 And STAT301 And STAT310 And ENGL214
Types of Risks faced by an organization; Risk Modelling, its evaluation and Analysis; Techniques used in quantifying financial and non-financial risks. Covers value at risk (VaR), extreme value theory (EVT), scenario and stress testing, risk aggregation techniques including use of correlation, integrated risk distributions and copulas. Approaches for managing risk.
Pre-Requisites: AS201 And STAT214
Enterprise risk management (ERM) framework and process. Importance of the of ERM function. Risk Management tools and techniques. Capital Management. Data Issues. Application of risk Analytics, from risk identification to treatment, on six actuarial fellowship fields: (1) Retirement Benefits, (2) Individual Life and Annuities, (3) Group and Health, (4) Investment, (5) General Insurance, and (6) General Corporate ERM.
Pre-Requisites: AS450
Option Greeks and Elasticity. Risk management techniques (with delta-hedging method). Properties of Options. Cash flow characteristics and pricing of exotic options (Asian, barrier, compound, gap, and exchange). Real Options. Diffusion process for stock prices.1-dimensional Itô’s lemma. Interest rate models. Vasicek and Cox-Ingersoll-Ross bond price models. Black-Derman-Toy binomial model. Simulation of stock prices.
The statistical process of analyzing survival data, particularly for insurance applications. Techniques for estimating mortality rates; construction of mortality tables from the records of insured lives, employee benefit plans, and population statistics. Life tables, graph and related procedures. Graduation. Special attention to censoring and truncation. Single samples: complete or Type II censored data and Type I censored data for Exponential, Weibull, Gamma and other Distributions. Parametric regression for Exponential, Weibull and Gamma Distributions. Distribution-free methods for proportional hazard and related regression models.
Introduction to survival models. Estimation and testing of models with various types of survival data; Non-parametric Estimation (Kaplan-Meier, Nelson-Aalen). Parametric survival models. Regression models for survival data; proportional hazards and Cox regression model. Techniques for estimating mortality rates. Graduation. Model Selection. A statistical/actuarial computing software will be used.
Pre-Requisites: STAT302 And STAT310
A continuation of Life Contingencies I. Development is based on a stochastic approach to life insurance models. Major topics include benefit premiums and reserves, and multi-life and multiple-decrement models. Parallel treatment of topics based on Takaful system. Application of such area in life insurance and property.
Pre-Requisites: AS380
A continuation of Life Contingencies I. Development is based on a stochastic approach to life insurance models. Major topics include benefit premiums and reserves, and multi-life and multiple-decrement models. Parallel treatment of topics based on Takaful system. Application of such area in life insurance and property.
Distribution of aggregate claims associated with insurance including analysis of the risk due to variations in expected claim numbers and amounts. Frequency and severity distributions, individual and collective models, ruin theory, continuous-time compound Poisson surplus processes, reinsurance, dividend formulas, credibility models, and simulation. An introduction to empirical Bayes and statistical distributions used to model loss experience. Application of risk theory to the operation of insurance and Takaful system and assessment of the credibility of data for ratemaking.
Claims Distributions (Severity, frequency, and aggregate). Risk Measures. Aggregate loss models (individual and collective Risk models). Parametric model Estimation. Introduction to credibility theory (limited fluctuation, greatest accuracy, Buhlmann, Buhlman-Straub, Empirical Bayes models). Introduction to Simulation. A statistical/actuarial computing software will be used.
Pre-Requisites: STAT302
Variable content. Presents a special topic in Actuarial Science or various insurance fields parallel to advancements as recognized by the Society of Actuaries.
Variable content. Presents a special topic in Financial Mathematics, Financial Modeling, or Enterprise Risk Management fields parallel to advancements as recognized by the Society of Actuaries.
Open for Actuarial majors interested in studying an advanced topic in Actuarial Science and Financial Mathematics. Course content is variable. Possible topics: (1) Graduation Theory, (2) Advanced Risk Theory, (3) Stochastic Simulation Methods, (4) Loss Distribution Models or (5) Other Advanced Actuarial Science topic.