Actuarial Statistics I

 

Uitgebreide vaknaam	Introduction to Actuarial Science
Leerdoelen	Upon completion of the course the student is able to: 1.Describe the most important actuarial notions from life insurance. 2.Give examples of the applicability of the actuarial models in the field of insurance, mortgages and pensions. 3.Explain how a life table is constructed, explain what the (un)certainties are in a life table and their consequences for life insurance and annuity products. 4.Calculate the present value of various life insurance products, based on the type of contract and the given life table using statistical software. 5.Explain how risks in a portfolio of life insurance products can be calculated. 6.Determine the most suitable technique from mathematics, statistics and probability to solve problems in life insurance. 7.Write down solutions and outcomes to life insurance problems (in English) and reflect on outcomes.
Omschrijving	The economics of insurance, individual risk models for a short term, survival distributions and life tables, life insurance, life annuities, and benefit premiums.
Uren per week	4
Onderwijsvorm	hoorcolleges, opdracht(en), practica
Toetsvorm	schriftelijk tentamen met open vragen
Vaksoort	bachelor
Coördinator	R.Wallerlei
Docent(en)	R.Wallerlei
Verplichte literatuur	Titel Auteur ISBN Prijs Actuarial Mathematics for Life Contingent Risks, 2nd Edition, 2013 Dickson, et al. 9781107044074 ca. €  89,00

Introductory Financial Mathematics

 

Unit code:	ACT712
Credit Rating:	3
Unit level:	Master
Teaching period(s):	Semester 2
Offered by	School of Mathematics
Available as a free choice unit?:	N

Requisites

None

 

Aims

The course unit unit aims to enable students to acquire active knowledge and understanding of some basic concepts in financial mathematics including stochastic models for stocks and pricing of contingent claims.

 

Overview

This course is intended to serve as a basic introduction to financial mathematics. It gives a mathematical perspective on the valuation of financial instruments (futures, options, etc.) and their risk-management. The purpose of the course is to introduce students to the stochastic techniques employed in derivative pricing.

 

Learning outcomes

On completion of this unit successful students will be able to price financial derivatives

 

Future topics requiring this course unit

Third level courses in financial mathematics.

 

Assessment methods

• Other - 20%
• Written exam - 80%

Assessment Further Information

• Coursework; Weighting within unit 20%
• 2 hours end of semester examination; Weighting within unit 80%

Syllabus

1.Overview of basic concepts in securities markets.

 

2.Stochastic models for stock prices.

 

3.Hedging strategies and managing market risk using derivatives.

 

4.Binomial option pricing model.

 

5.Risk-neutral valuation, replication and pricing of contingent claims.

 

6.Black-Scholes analysis.

 

7.Interest rate models.

Recommended reading

• J. Hull, Options, Futures and Other Derivatives, 7th Edition, Prentice-Hall, 2008.
• P. Wilmott, S. Howison and J. Dewynne, The Mathematics of Financial Derivatives: A Student Introduction, Cambridge University Press, 1995

Feedback methods

Feedback tutorials will provide an opportunity for students' work to be discussed and provide feedback on their understanding.  Coursework or in-class tests (where applicable) also provide an opportunity for students to receive feedback.  Students can also get feedback on their understanding directly from the lecturer, for example during the lecturer's office hour.

Study hours

• Lectures - 22 hours
• Tutorials - 11 hours
• Independent study hours - 67 hours

Teaching staff

Ruth, Wallerlei - Unit coordinator