ACTSC Course Descriptions

Actuarial Science (2009-2010)

The theory of rates of interest and discount; annuities and sinking funds with practical applications to mortgage and bond questions. Yield rates. [Offered: F,W,S]

The theory of rates of interest and discount including the theoretical continuous case of forces of interest and discount. Annuities and sinking funds, including the continuous case. Practical and theoretical applications primarily to mortgages and bonds. Yield rates. [Offered: F,W,S]

The economics of insurance, utility theory. Application of probability to problems of life and death. The determination of premiums for insurances and annuities in both the discrete and continuous case. [Offered: F,W,S]

Time Value of Money and Capital Budgeting. Portfolio Theory, CAPM and APT. Cash and Credit Management.

Net premium reserves. Multiple life functions and multiple decrement models. [Offered: F,W,S]

What makes a risk insurable. The economics of insurance. The ratemaking process. An introduction to property/casualty loss reserving techniques. Intermediate pricing topics. [Offered: F]

Time value of money. Introduction to corporate finance in a mathematical setting. Description and valuation of financial instruments, including stocks, swaps and options. Real options. Investment decisions. Capital budgeting and depreciation. [Offered: F,S]

Investment decision using Markowitz and utility theory. Capital Asset Pricing Model. Arbitrage Pricing Theory. Market efficiency. Capital structure and dividend policy. Advanced topics. [Offered: F,W,S]

Efficient Capital Markets and Capital Structure. Dividend Policy and Corporate Debt Instruments. Mergers and Acquisitions. Introduction to International Corporate Finance.

Models for loss severity: parametric models, effect of policy modifications, tail behaviour. Models for loss frequency: (a, b, 0), (a, b, 1), mixed Poisson models; compound Poisson models, Aggregate claims models: moments and moment generating function: recursion. Classical ruin theory. [Offered: F,S]

Credibility theory: limited fluctuation; Bayesian; Buhlmann; Buhlmann-Straub; empirical Bayes parameter estimation; statistical inference for loss models; maximum likelihood estimation; effect of policy modifications; model selection. [Offered: F,S]

The Mathematics of Survival Models, some examples of parametric survival models. Tabular survival models, estimates from complete and incomplete data samples. Parametric survival models, determining the optimal parameters. Maximum likelihood estimators, derivation and properties. Product limit estimators, Kaplan-Meier and Nelson-Aalen. Practical aspects. [Offered: W]

Duration analysis and immunization. Interest rate derivative securities and their application in asset-liability management. Stochastic approaches to risk management. [Offered: F,S]

Mathematical techniques used to price and hedge derivative securities in modern finance. Modelling, analysis and computations for financial derivative products, including exotic options and swaps in all asset classes. Applications of derivatives in practice. [Offered: F,W]

Theory and practice of pension plan funding. Assumptions, basic actuarial functions and population theory applied to private pensions. Concepts of normal costs, supplemental liability, unfunded liability arising from individual accrued benefit and projected benefit cost methods.

Cash flow projection methods for pricing, reserving and profit testing; deterministic, stochastic and stress testing; pricing and risk management of embedded options in insurance products; mortality and maturity guarantees for equity-linked life insurance.

Individual risk rating. Risk classification in property/casualty insurance. Minimum bias techniques. Pricing for increased limits. Reinsurance, Expense issues.

This course will cover various topics in advanced Corporate Finance, including real options, inventory models and management, corporate governance, asymmetric information and signalling, agency theory and corporate incentives.