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2019/20 Taught Postgraduate Module Catalogue

MATH5325M Models in Actuarial Science

15 creditsClass Size: 60

Module manager: Dr Lanpeng Ji
Email: L.Ji@leeds.ac.uk

Taught: Semester 2 View Timetable

Year running 2019/20

Pre-requisite qualifications

MATH5315M or MATH2715 or MATH2735. Alternatively, admission to MSc Statistics with applications to Finance.

This module is not available for students who have taken both MATH2750 and MATH2775. This does not apply to students on MSc programmes.

This module is not approved as an Elective

Objectives

The module provides a grounding in stochastic processes and survival models and their application in actuarial science.

Learning outcomes
Students will have opportunities to develop a good understanding of stochastic processes and survival models. They should be able to apply these models in actuarial contexts.

Skills outcomes
On completion of the module students are expected to be able to:
- communicate both verbally and in writing the fundamentals of stochastic processes and survival models
- apply these concepts in actuarial work.


Syllabus


- Principles of actuarial modelling
- Stochastic processes
- Markov chains
- Markov jump processes
- Survival models
- Estimating the lifetime distribution Fx(t)
- The Cox regression model
- Estimation in the Markov model
- Binomial and Poisson models
- Exposed to risk
- Graduation and statistical tests
- Methods of graduation.

Teaching methods

Delivery typeNumberLength hoursStudent hours
Lecture112.0022.00
Seminar111.0011.00
Private study hours117.00
Total Contact hours33.00
Total hours (100hr per 10 credits)150.00

Private study

- Pre-lecture reading 3 h each (30 h)
- Post-lecture reading 3 h each (30 h)
- Seminar reading and preparation (60 h).

Opportunities for Formative Feedback

- Student contributions made to seminar discussion.
- At least one piece of coursework.

Methods of assessment


Exams
Exam typeExam duration% of formal assessment
Standard exam (closed essays, MCQs etc)2 hr 30 mins100.00
Total percentage (Assessment Exams)100.00

The resit for this module will be 100% by 2.5 hours examination

Reading list

The reading list is available from the Library website

Last updated: 30/04/2019

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