2017/18 Undergraduate Module Catalogue

MATH3520 Actuarial Mathematics 2

15 creditsClass Size: 90

Module manager: Dr Georgios Aivaliotis
Email: G.Aivaliotis@leeds.ac.uk

Taught: Semester 2 (Jan to Jun) View Timetable

Year running 2017/18

Pre-requisites

MATH3510

Actuarial Mathematics 1

This module is approved as a discovery module

Module summary

Introduction to advanced actuarial modelling of annuities and assurances with particular emphasis on fixed and variable benefit contracts, annuities and assurances involving two lives and evaluation of profitability. For exemptions from actuarial exams, please see http://www.mathsstudents.leeds.ac.uk/careers-employment/exemption-from-professional-exams.html

Objectives

See learning outcomes.

Learning outcomes
On completion of this module, students should be able to:
(i) understand the principles of advanced actuarial mathematics for life contingent risks,
(ii) evaluate premiums and reserves for assurance and annuity contracts, and
(iii) understand models of competing risks and multiple lives.

Syllabus

Premium calculation:
- present value of future loss randon variable
- equivalence principle
- net premium
- gross premium
- portfolio percentile premium principle

Policy values (reserves):
- future loss random variable
- policy values for policies with annual cash flows
- recursive formuӕ for policy values
- policy values for policies with continuous cash flows
- Thiele's differential equation

Multiple lives models:
- joint life
- last survivor
- independent survival models

Multiple states models:
- examples
- discrete time Markov processes
- continuous time Markov processes
- Kolmogorov's forward equations
- multiple decrement models

Discounting emerging cost techniques:
- determining premiums using a profit test
- profit criterion
- determining reserves using a profit test

Teaching methods

Delivery type	Number	Length hours	Student hours
Lecture	12	2.00	24.00
Tutorial	9	1.00	9.00
Private study hours			117.00
Total Contact hours			33.00
Total hours (100hr per 10 credits)			150.00

Private study

Consolidation of course notes and background reading:
- Faculty/Institute of Actuaries 'CT 5 Contingencies';
- Hans U. Gerber 'Life Insurance Mathematics', Springer.

Opportunities for Formative Feedback

- Assessment of success on five example sheets
- Contact during tutorials

Methods of assessment

Exams

Exam type	Exam duration	% of formal assessment
Standard exam (closed essays, MCQs etc)	3 hr 00 mins	100.00
Total percentage (Assessment Exams)		100.00

Normally resits will be assessed by the same methodology as the first attempt, unless otherwise stated

Reading list

The reading list is available from the Library website

Last updated: 05/04/2018

Disclaimer

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