MATH3520 Actuarial Mathematics 2

15 creditsClass Size: 110

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

Taught: Semester 2 (Jan to Jun) View Timetable

Year running 2020/21

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.

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

1. Premium calculation and policy values (recap):
- calculation of net and gross premiums and policy values
- recursive relationships for policy values

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

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

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

Teaching methods

Due to COVID-19, teaching and assessment activities are being kept under review - see module enrolment pages for information

 Delivery type Number Length hours Student hours Lecture 17 1.00 17.00 Private study hours 133.00 Total Contact hours 17.00 Total hours (100hr per 10 credits) 150.00

Private study

Consolidation of course notes and background reading:
- Institute and Faculty of Actuaries 'CM1 Actuarial Mathematics 1';
- David C.M. Dickson, Mary R. Hardy, Howard R. Waters 'Actuarial Mathematics for Life Contingent Risks';
- Hans U. Gerber 'Life Insurance Mathematics', Springer.

Opportunities for Formative Feedback

Workshops
Feedback on assignments

Methods of assessment

Due to COVID-19, teaching and assessment activities are being kept under review - see module enrolment pages for information

Coursework
 Assessment type Notes % of formal assessment Assignment . 20.00 Total percentage (Assessment Coursework) 20.00

There is no resit available for the coursework component of this module. If the module is failed, the coursework mark will be carried forward and added to the resit exam mark with the same weighting as listed above.

Exams
 Exam type Exam duration % of formal assessment Open Book exam 3 hr 00 mins 80.00 Total percentage (Assessment Exams) 80.00

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