Actuarial Science
Courses for Actuarial Science (ACTS) +/-
805. Actuarial Science Seminar (3 cr) Lec.
Prereq: Permission
Variety of topics.
810. Introduction to Credibility, Smoothing of Data, and Simulation (3 cr) Lec.
Prereq: STAT 463
Full, partial, Buhlmann and Buhlman-Straub credibility models. Introduction to empirical Bayes and statistical distributions used to model loss experience. Application of polynomial splines to actuarial data. Simulation of both discrete and continuous random variables in context of actuarial models. Simulation to estimate “p-value” of hypothesis test. “Bootstrap method” to estimate the mean squared error of an estimator.
825. Survival Models (3 cr) Lec.
Prereq: STAT 883 with grad of C or better
Parametric and tabular survival models. Estimation based on observations that might not be complete. Concomitant variable. Use of population data. Application to groups of people with impaired lives.
830. Actuarial Applications of Applied Statistics (3 cr) Lec.
Prereq: STAT 883 with grade of C or better
Data sets are processed and analyzed using statistical software. Introduction to forecasting in actuarial science. Simple and multiple regression, instrumental variables, and time series methods, and application of these methods in forecasting actuarial variables. Interest rates, inflation rates, and claim frequencies.
840. Financial Mathematics (4 cr) Lec.
Prereq: MATH 208 with a grade of C or better; or parallel
Application 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. 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, and immunization.
842. Principles of Pension Valuation (3 cr) Lec.
Prereq: ACTS 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.
850. Stochastic Processes for Actuaries (3 cr) Lec.
Prereq: STAT 463 with grade of C or better
Introduction to stochastic processes and their applications in actuarial science. Discrete-time and continuous-time 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.
*860. Loss Distributions (3 cr)
Prereq: STAT 883 with grade of C or better
Introduction to a variety of credibility models and statistical distributions useful to insurance, and making inference from insurance data.
870. Life Contingencies I (3 cr) Lec.
Prereq: ACTS 840 and STAT 882, each with a grade of C or better
First course of a two course sequence that includes ACTS 871. Theory and applications of contingency mathematics in the areas of life and health insurance, annuities and pensions. Probabilistic models.
871. Life Contingencies II (3 cr) Lec.
Prereq: ACTS 870 and STAT 882, each with a grade of C or better
Second course of a two course sequence that includes ACTS 870. 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.
873. Introduction to Risk Theory (3 cr) Lec.
Prereq: STAT 882 with 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.
875. Actuarial Applications in Practice (3 cr) Lec.
Prereq: ACTS 871 and FINA 307
Principles and practices of pricing, funding, and valuation for life, health, property, and liability insurance; annuities; and pension plans. Commercially available actuarial modeling software.
898. Special Topics (FINA 898) (3 cr per sem)
Prereq: Permission
Special topics in actuarial science.
*899. Masters Thesis (6-10 cr)
Prereq: Admission to masters degree program and permission of major adviser
930. Fundamentals of Pension Mathematics (3 cr)
Prereq: ACTS 870 with a grade of C or better
Basic theory of pension mathematics. Funding methods, unit credit, entry age normal, aggregate cost, actuarial assumptions, tax deductible contributions, multi-employer pension plans, deposit administration dividend formulas, variable annuities, and ERISA.
950. Seminar in Actuarial Science (1-3 cr per sem, max 3)
Prereq: or parallel: ACTS 870 with a grade of C or better
960. Reading Course in Casualty Actuarial Science (1-3 cr per sem, max 6)
Prereq: Permission
973. Actuarial Risk Theory (FINA 973) (3 cr)
Prereq: ACTS 870 with a grade of C or better
Advanced topics in actuarial theory including Utility Theory, Risk Theory, and Ruin Theory, and their applications.
975. Stochastic Calculus (FINA 975) (3 cr) Lec.
Prereq: STAT 883 with a grade of C or better
Introduction to sigma-fields and information structures, the Riemann integral, the Riemann Stieltjes integral, the Lebesque integral, conditional expection, martingales, Brownian motion, the Ito integral and Ito calculus, equilibrium price measures, and the Black-Scholes option pricing model.
Description
For a brief description of the program, application requirements and contact information, view the graduate program summary.
Program Director: Warren Luckner, Society of Actuaries, M.A.
Graduate Chair: Colin M. Ramsay, Ph.D.
Departments Cooperating: Economics, Finance, Mathematics and Statistics
The University of Nebraska-Lincoln offers a complete program in actuarial science. The graduate program in actuarial science at UNL is open to students with undergraduate degrees in a variety of disciplines. No previous course work in actuarial science is required.
Students seeking admission to the actuarial science program:
1. Submit official GMAT score. Applicants must have a minimum of 575.
2. Submit proof of any Society of Actuaries exams passed.
4. Must submit an official University transcript. Applicants are expected to have a cumulative grade point average (GPA) of at least 3.0 on the 4-point scale (with A=4 points).
5. Must submit three letters of reference from persons who are familiar with their academic ability. The person who writes the letter must use the Actuarial Science Graduate Reference Report form. Each applicant must also complete and return the Actuarial Science Graduate Admissions Checklist.
6. Applicants whose first language is not English must submit a Test of English as a Foreign Language (TOEFL). Applicants should attain a minimum score of 80 IBT.
To be admitted with full graduate standing for work in actuarial science at the University of Nebraska-Lincoln, a student must satisfy the following: (i) the student must pass Exams P and FM of the society of Actuaries; and (ii) the student's undergraduate preparation must have included at least three semesters of calculus, one semester of principles of macro-economics, one semester of principles of linear algebra, one semester of introductory computer programming, one semester of introductory mathematical probability, and one semester of introductory mathematical statistics.
To be admitted with provisional standing, a student’s undergraduate preparation must, in the judgment of the Committee, constitute reasonable preparation for actuarial study at the University of Nebraska-Lincoln and is based on how much of the requirements for full graduate standing the student has completed.
Masters Degree Program.
The masters degree program must be completed without a thesis (Option II) and all requirements under this option must be met. Option I (with a thesis) usually is not open for this degree. The non-thesis route (Option II) is required because students will find the additional course work more valuable to them than the thesis, especially with regards to the Society of Actuaries exams. A total of 36 hours is required. The MS degree program is expected to take two years (24 months) for students admitted with deficiencies. For those admitted without deficiencies it normally takes 21 months.
In place of the usual major and minor requirements, the masters program must include ACTS 840, 870, 871, 873 and Finance 812, and at least 6 additional hours from actuarial science. The program must include at least 12 hours earned in courses open exclusively to graduate students (900-level courses or 800-level courses without 400 or lower level counterparts).
Minors are available in insurance, economics (non-insurance), statistics, or finance. However, the recommended minor is finance. These minors are subject to the approval of the Actuarial Science Graduate Committee. Minors require at least 9 hours in the minor area in addition to the major requirements cited above.
Grades.
It should be noted that within the actuarial science program the normal graduate school scholarship requirement, “B” or better applies to all 800-level major and minor courses. The normal graduate school scholarship requirement, “C” or better, for 900-level courses remains the same for the actuarial degree program. However, a student who receives a “C” grade or lower in his/her minor area may be required to take a Comprehensive Exam in the minor area.
Memorandum of Courses.
The Memorandum of Courses, which contains the proposed list of courses for the student’s graduate program, must be filed with the Graduate Studies Office, 1100 Seaton Hall, before completion of the end of their second semester. Students should check with the Graduate Studies Office for further clarification.
The following courses cannot be included as a part of your memorandum of courses: Economics (ECON) 815, 816, 819, 837 and 854; Mathematics (MATH) 800, 813, 814, 820, 821 and 822; Statistics (STAT) 880 and 881; Computer Science & Engineering (CSCE) 840.
Comprehensive Examinations.
Masters degree students will be expected to pass a written comprehensive examination on actuarial science. The Actuarial Science Comprehensive Exam for students graduating in May or August is held on the first Tuesday of April and for students graduating in December, on the Tuesday before Thanksgiving (in November). Students may be expected to pass another written comprehensive examination on their minor area. Check with your minor department. In addition, an oral examination may be required.
Actuarial Science as a Minor.
Students enrolled in other departments may choose to use actuarial science as their minor area under Option II. A minor in actuarial science must include ACTS 840, 870, 871, and 873. Students wishing to take this minor should contact the chair or adviser of their major area, and the Graduate Adviser of the Actuarial Science Program.
