ACTSC 600s

ACTSC 611 Financial Mathematics I (0.50) LEC,TUTCourse ID: 013389
Time value of money; simple and compound interest and discount; real returns; equations of value; loan schedules; valuation of fixed coupon bonds; valuation of real return bonds; term structure of interest rates; no arbitrage pricing; valuation of forward contracts; binomial option valuation. Duration and Immunization
Department Consent Required

ACTSC 612 Life Insurance Mathematics I (0.50) LEC,TUTCourse ID: 013390
Models for future lifetime; insurance and annuity functions; life tables and their use; future loss random variable for a contract; calculations of premiums and reserves; standard international actuarial notation.
Department Consent Required

ACTSC 613 Statistics for Actuarial Science (0.50) LEC,TUTCourse ID: 013391
Discrete and continuous random variables; generating functions; dependence; maximum likelihood estimation, functions of random variables; confidence intervals, hypothesis tests; condition expectation; compound distributions.
Department Consent Required

ACTSC 614 Corporate Finance (0.50) LEC,TUTCourse ID: 013392
Agency theory; investment decisions; long-term financing and cost of capital; principles of taxation; financial reporting; assessment of capital investment projects.
Department Consent Required

ACTSC 615 Economics (0.50) LEC,TUTCourse ID: 013393
Micro: Supply and demand; utility theory and risk aversion; production choices; competition; Macro: Fiscal and monetary policy; exchange rates; factors affecting inflation, unemployment, exchange rates and economic growth; introductory game theory; introduction to insurance economics.
Department Consent Required

ACTSC 621 Financial Mathematics II (0.50) LEC,TUTCourse ID: 013406
Mean-Variance portfolio theory; Capital-Asset Pricing Method, Arbitrage Pricing Theory, Efficient Markets Hypotheses; Capital structure and dividend policy.
Department Consent Required
Prereq: Master of Actuarial Science Students only

ACTSC 622 Life Insurance Mathematics II (0.50) LEC,TUTCourse ID: 013395
Multiple state models; premiums and reserves for stat dependent policies, including joint life and last survivor benefits; cashflow projection methods; deterministic, stochastic and stress testing; embedded options; introduction to pension valuation and funding.
Department Consent Required
Prereq: Master of Actuarial Science Students only

ACTSC 623 Applied Statistics (0.50) LEC,TUTCourse ID: 013396
Generalized linear models: multiple linear regression and normal linear model; exponential family; link functions; linear predicators; estimation; testing. Time series: Univariate ARIMA; multivariate AR; applications to economic series.
Department Consent Required
Prereq: Master of Actuarial Science Students only

ACTSC 624 Stochastic Processes for Actuarial Science (0.50) LEC,TUTCourse ID: 013397
Counting processes; Markov processes and Kolmogorov equations; Brownian motion and geometric Brownian motion; Ito's lemma Monte Carlo simulation.
Department Consent Required
Prereq: Master of Actuarial Science Students only

ACTSC 625 Casualty and Health Insurance Mathematics (0.50) LEC,TUTCourse ID: 013398
Frequency and severity models; compound distributions, calculation of moments and probabilities using recursion; Bayesian estimation and credibility; claims reserving for non-life insurance using run-off triangle methods, introductory ruin theory.
Department Consent Required
Prereq: Master of Actuarial Science Students only

ACTSC 631 Financial Mathematics III (0.50) LEC,TUTCourse ID: 013399
Risk measures, Binomial and lattice models for option pricing, Black-Scholes option pricing; term structure models. Credit risk; types of models and types of derivatives.
Department Consent Required
Prereq: Master of Actuarial Science Students only

ACTSC 632 Life Insurance Mathematics III (0.50) LEC,TUTCourse ID: 013400
Estimation for lifetime models; estimation for multiple state modes. Graduation. Mortality projection using the Lee Carter model. MLE for Markov multiple state models.
Department Consent Required
Prereq: Master of Actuarial Science Students only

ACTSC 633 Actuarial Risk Management (0.50) LEC,TUTCourse ID: 013401
The Actuarial Profession. The Actuarial Control Cycle Impact of Regulation. Consumer needs. Assessing risk. Modeling. Monitoring Experience. Pricing and reserving in life and non-life insurance.
Department Consent Required
Prereq: Master of Actuarial Science Students only

ACTSC 634 Quantitative Risk Management (0.50) LEC,TUTCourse ID: 013402
Enterprise Risk management. Pricing and valuation. Economic and regulatory capital. Solvency. Investment management.
Department Consent Required
Prereq: Master of Actuarial Science Students only

ACTSC 635 Profession Communications in Actuarial Science (0.50) LEC,TUTCourse ID: 013403
Elements of writing. Written project on an advanced topic, with a communications focus. Presentations: preparation and delivery.
Department Consent Required
Prereq: Master of Actuarial Science Students only

ACTSC 690 Literature & Research Studies (0.50) RDGCourse ID: 009455
Instructor Consent Required

ACTSC 800s

ACTSC 831 Loss Models 1 (0.50) LEC,TUTCourse ID: 000071
Models for loss severity: parametric models, effect of policy modifications; tail behabiour. 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.
Antireq: ACTSC 431

ACTSC 832 Loss Models 2 (0.50) LECCourse ID: 000072
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.
Antireq: ACTSC 432

ACTSC 833 Analysis of Mortality Data (0.50) LECCourse ID: 000073
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.
Antireq: ACTSC 433

ACTSC 845 Quantitative Enterprise Risk Management (0.50) LEC,TUTCourse ID: 010064
This course introduces enterprise risk management, with a focus on quantitative analysis and economic capital. Risk classification is first discussed with an emphasis on the types of risk most suited to quantitative methods. Risk measures, such as Value-at-Risk (VaR) and Conditional Tail Expectation (CTE or TVaR), are then introduced, and their use by firms and regulators to determine risk capital requirements is further highlighted. Different approaches are considered for developing loss distributions, including frequency/severity analysis and extreme value theory. Copulas and economic scenario generators are used to aggregate dependent risks. Different strategies for mitigating or transferring risk are reviewed. Additional topics that may be covered include credit risk, capital allocation and regulation of financial institutions.
Antireq: ACSTC 445

ACTSC 846 Mathematics of Financial Markets (0.50) LEC,TUTCourse ID: 011270
This course covers mathematical techniques for no-arbitrage pricing and hedging financial derivatives. Topics to be covered can be classified into three broad ares: derivatives markets (options; forwards and futures; other derivatives; put-call parity), discrete-time financial models (binomial models; general multi-period models; fundamental theorems of asset pricing; risk-neutral probability), and continuous-time financial models (basic stochastic calculus and Ito's lemma; Black-Scholes model; interest rate models and bond pricing).
Antireq: ACTSC 446

ACTSC 855 Advanced Life Insurance Practice (0.50) LECCourse ID: 000078
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.

ACTSC 900s

ACTSC 961 Mathematical Methods of Loss Reserving (0.50) LECCourse ID: 000082
Macro methods of runoff analysis: chain-ladder, least squares, separation, payment per claim incurred. Stochastic methods: Reid's method, see-saw, payment per unit of risk, autoregressive models, Kalman filter.

ACTSC 963 Insurance Surplus Mathematics (0.50) LECCourse ID: 011274
The analysis of the development over time of the surplus on a portfolio of insurance business is considered. The classical Poisson and Sparre Andersen risk models are studied. Unified treatment of moments and distributions of quantities related to the event of ruin is done through a discounted penalty function approach. Random variables of interest include the time of ruin itself, the deficit immediately after ruin occurs, and the surplus immediately prior to ruin. Defective renewal equations and Laplace transforms are utilized extensively. Prerequisites are familiarity with aggregate loss models at the level of ActSc 431/831 or equivalent.

ACTSC 964 Topics in Quantitative Risk Management (0.50) LECCourse ID: 011275
Fundamental concepts in quantitative risk management. Topics typically include: risk measures, extreme value theory, multivariate distributions and copulas. This course has a focus on mathematical and statistical techniques. Other topics may be covered at the discretion of the instructor.

ACTSC 965 Extreme Value Theory (0.50) LECCourse ID: 011276
Ruin Theory for heavy-tailed distributions. Fluctuation of maxima and upper order statistics. Extreme value distributions: Weibull, Frechet, Gumbel and generalized Pareto. Mean excess function. Statistical methods for external events. Estimation of parameters of extreme value and excess distributions. Applications in finance and insurance.

ACTSC 966 Aggregate Claims Models (0.50) LECCourse ID: 011686
Mixed Poisson and nonhomogeneous birth processes for claim counts; analytic, recursive, asymptotic and approximate evaluation of compound distributions for aggregate claims; reliability concepts and analysis of stop-loss moments; applications for inflation, incurred but not reported claims, and infinite server queues. Prerequisites are familiarity with aggregate loss models at the level of ActSc 431/831 or equivalent.

ACTSC 970 Finance 1 (0.50) LECCourse ID: 000044
(Cross-listed with ACC 770)
The course introduces options and other derivative securities in different asset classes. The main focus is on methods of pricing in a multi-period setting, but continuous-time models are also discussed. Topics may include no-arbitrage pricing theory, the fundamental theory of asset pricing, complete and incomplete markets,and pricing of complex financial instruments.

ACTSC 971 Finance 2 (0.50) LECCourse ID: 000045
(Cross-listed with ACC 771)
The course discusses methods and tools for modeling of financial derivatives in the continuous-time setting. Both theory and practical applications are discussed. The first part covers methods of pricing and hedging of derivatives under different assumptions about the dynamics of the underlying economic factors. Topics normally include currency derivatives, American and exotic options, futures contracts, stochastic volatility models and mean-variance hedging. The second part deals with modeling and pricing of interest-rate products. Topics may include short interest rate models, the Heath-Jarrow-Morton Framework, and Libor and swap market models.

ACTSC 972 Finance 3 (0.50) LECCourse ID: 000046
(Cross-listed with ACC 772)
The course will cover selected and advanced topics in quantitative finance and risk management, with a particular focus on current developments. Topics may include robust and Bayesian portfolio optimization, limits to arbitrage, derivatives pricing under model uncertainty, credit risk models, and models of systematic risk.

ACTSC 973 Portfolio Optimization (0.50) LECCourse ID: 011622
(Cross-listed with CO 778)
Basic optimization: quadratic minimization subject to leanear equality constraints. Effecient portfolios: the efficient frontier, the capital market line, Sharpe ratios and threshold returns. Practical portfolio optimization: short sales restrictions target portfolios, transactions costs. Quadratic programming theory. Special purpose quadratic programming algorithms for portfolio optimization: today's large investment firms expect to solve problems with at least 1000 assets, transactions costs and various side constraints in just a few minutes of computation time. This requires very specialized QP algorithms. An overview of such algorithms will be presented with computational results from commercial problems. The efficient frontier, the capital market line, Sharpe ratios and threshold returns in practice.

ACTSC 974 Financial Econometrics (0.50) LECCourse ID: 014063
(Cross-listed with STAT 974)
The focus of this course is on the statistical modelling, estimation and inference and forecasting of nonlinear financial time series, with a special emphasis on volatility and correlation of asset prices and returns. Topics to be covered normally include: review on distribution and dynamic behaviour of financial time series, univariate and multivariate GARCH processes, long-memory time-series processes, stochastic volatility models, modelling of extreme values, copulas, realized volatility and correlation modelling for ultra high frequency data and continuous time models.

ACTSC 991 Topics in Actuarial Science (0.50) LECCourse ID: 000085
Instructor Consent Required
1 Finance 1
2 Finance 3
3 Aggregate Claims Models
4 Enterprise Risk Management
5 Comptatnl Method in Ruin Thry
6 Surplus Processes Ruin Theory
7 Credit Derivative Securities
8 Stoch Modelling Insurance&Fin
9 Dependence in ruin theory
10 Stoch Modelling Insurance&Fin
11 Pension Reform Issues
12 Risk Selection
13 Health and Life Insurance
14 Monte Carlo for Fin,Insur&Stat
15 Pricing catastrophe risk
16 Managing Longevity Risk
17 Quantitative Risk Management
18 Copulas & Dependence Modeling
19 Optimal Reinsurance Designs
20 Managing Longevity Risk
21 Risk Management
22 Mathematical Intro to Copulas
23 Risk Measurement
24 Stochastic Control
25 An Introduction to Copulas
26 Finance Optimization Problems

ACTSC 992 Seminar in Actuarial Science (0.50) SEMCourse ID: 000093
Instructor Consent Required