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Course Criteria
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4.00 Credits
Continuous models. Review of continuous probability and simulation of continuous random variables. Continuous time stochastic processes: Poisson process, Markov chains, Brownian motion, including simulation of these processes. Applications to Black-Scholes model, insurance and ruin problems and related topics.
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4.00 Credits
Describes mathematical methods for estimating and evaluating asset pricing models, equilibrium and derivative pricing, options, bonds, and the term-structure of interest rates. Also introduces finance optimization models for risk management and financial engineering.
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4.00 Credits
Introduction to fixed Income Markets. Topics include: measurement of interest, annuities certain, varying annuities, amortization schedules, sinking funds, bonds and related securities, depreciation.
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4.00 Credits
Probabilistic and deterministic contingency mathematics in life and health insurance, annuities, and pensions. Topics include: survival distributions and life tables, life insurance, life annuities, net premiums, net premium reserves.
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4.00 Credits
Net premium reserves, multiple life functions, multiple decrement models, valuation theory for pension plans, insurance models including expenses, nonforfeiture benefits and dividends.
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4.00 Credits
Risk measures, individual and collective risk models, credibility theory; applications to actuarial and financial mathematics.
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4.00 Credits
Stationary and non-stationary models, seasonal time series, ARMA models: calculation of ACF, PACF, mean and ACF estimation. Barlett's formula, model estimation: Yule-Walker estimates, ML method. identification techniques, diagnostic checking forecasting, spectral analysis, the periodogram. Current software and applications.
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4.00 Credits
Properties of survival models, including both parametric and tabular models; methods of estimating them from both complete and incomplete samples, including the actuarial, moment and maximum likelihood estimation techniques, and the estimation of life tables from general population data.
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1.00 Credits
Problem solving sessions to prepare students for the first four actuarial examinations. Topics corresponding to these examinations (general mathematics, mathematical statistics, applied statistics and mathematics, and actuarial mathematics) will be offered in different quarters.
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1.00 - 4.00 Credits
Faculty sponsored academic internship in industrial or research firms.
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