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Course Criteria
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3.00 Credits
(1 cr) Lab 1. Prereq: ACTS 440/840; FINA 467/867. Problems as posed in the Society of Actuaries ( SOA) Exam "M". Interest rate models; rational valuation of derivative securities (option pricing: put-call parity, the binomial model, Black- Scholes formula, and actuarial applications; interpretation of option Greeks and delta-hedging; features of exotic options; an introduction to Brownian motion and It?'s lemma); and risk management techniques.
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3.00 Credits
Lec. Prereq: STAT 463. Full, partial, Buhlmann, and Buhlmann-Straub credibility models. Introduction to empirical Bayes and statistical distributions used to model loss experience. Application of "polynomial splines" toactuarial data. Simulation of "discrete" and "continuous randomvariables in context of actuarial models. Simulation to "p-value"of hypothesis test. "Bootstrap method" of estimating the "measquared error" of an estimator.
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3.00 Credits
Lec. Prereq: STAT 463 with a grade of "C" or better.Parametric and tabular survival models. Estimation based on observations that might not be complete. Concomitant variables. Use of population data. Applications to groups with impaired lives.
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3.00 Credits
Lec. Prereq: STAT 463 with a grade of "C" or better . Data setsprocessed and analyzed using statistical software. Introduction to forecasting in actuarial science. Simple and multiple regression, instrumental variables, time series methods, and applications of methods in forecasting actuarial variables. Interest rates, inflation rates, and claim frequencies.
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4.00 Credits
Lec. Prereq: MATH 208 with a grade of "Pass" or "C" or better, or paralleApplication of financial mathematics to problems involving valuation of financial transactions; equivalent measures of interest; rate of return on a fund; discounting or accumulating a sequence of payments with interest; and yield rates, length of investment, amounts of investment contributions or amounts of investment returns for various types of financial transactions; loans and bonds. Introduction to the mathematics of modern financial analysis. Calculations involving yield curves, spot rates, forward rates, duration, convexity, immunization and short sales; introduction to financial derivatives (forwards, options, futures, and swaps) and their use in risk management; and introduction to the concept of no-arbitrage as a fundamental concept in financial mathematics.
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3.00 Credits
Lec. Prereq: ACTS 471/871 with a grade of "C" or better.Actuarial cost methods. Determination of normal costs and accrued liability. Effect on valuation results due to changes in experience, assumptions and plan provisions. Valuation of ancillary benefits. Determination of actuarially equivalent benefits at early or postponed retirement and optional forms of payment.
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3.00 Credits
Lec. Prereq: STAT 463 with a grade of "C" or better.Introduction to stochastic processes and their applications in actuarial science. Discrete-time and continuous-time processes; Markov chains; the Poisson process; compound Poisson processes; non-homogeneous Poisson processes; arithmetic and geometric Brownian motions. Applications of these processes in computation of resident fees for continuing care retirement communities. Pricing of financial instruments.
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3.00 Credits
Lec. Prereq: ACTS 440 and STAT 462, each with a grade of "C" or better . First course of atwo-course sequence that includes ACTS 471. Theory and applications of contingency mathematics in the areas of life and health insurance, annuities, and pensions. Probabilistic models.
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3.00 Credits
Lec. Prereq: ACTS 470 and STAT 462, each with a grade of "C" or better . Second course of atwo-course sequence that includes ACTS 470. Life insurance reserve for models based on a single life. Introduction to multiple life models for pensions and life insurance and to multiple decrement models.
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3.00 Credits
Lec. Prereq: STAT 462 with a grade of "C" or better.Applications of compound distributions in modeling of insurance loss. Continuous-time compound Poisson surplus processes, computation of ruin probabilities, the distributions of the deficit at the time of ruin, and the maximal aggregate loss. The effect of reinsurance on the probability of ruin.
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