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Undergraduate Bulletin 2011-2012

Courses of Instruction (ACTS)

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Course Formats
ACE Outcomes
ACTS 399
Independent Study LINK
Credit Hours: 1-3
Course Delivery: Classroom
Prereqs:
Permission.
ACTS 401
Problem Lab: Basic Actuarial Applications of Probability LINK
Credit Hours: 1
Course Format: Lab 1.5
Course Delivery: Classroom
Prereqs:
MATH 208/208H and STAT 462, or parallel, and both with a grade of "Pass" or "C" or better.
Calculus-based probability, both univariate and multivariate, applications to risk management-related problems. Problems as posed in the Society of Actuaries (SOA) Exam "P" and/or Casualty Actuarial Society (CAS) Exam "1". Determination of loss frequency distributions and their characteristics, expected value, variance, and percentiles. Determination of loss severity distributions and their characteristics, expected value, variance, and percentiles. Determination of loss sharing parameters, deductibles, and maximum payments.
ACTS 402
Problem Lab: Basic Actuarial Applications of Financial Mathematics LINK
Credit Hours: 1
Course Format: Lab 1.5
Course Delivery: Classroom
Prereqs:
ACTS 440/840 or parallel.
Application of basic mathematics of finance to problems involving valuation of financial transactions. Problems as posed in the "Society of Actuaries (SOA) Exam 'FM'" and/or "Casualty Actuarial Society (CAS) Exam '2'". Determining equivalent measures of interest; estimating the rate of return on a fund; discounting or accumulating a sequence of payments with interest; determining yield rate; length of investment; amounts of investment contributions or amounts of investment returns for various types of financial transactions; and basic calculations involving yield curves, spot rates, forward rates, duration, convexity, immunization and short sales; introduction to financial derivatives (forwards, options, futures, and swaps) and their use in risk management; and introduction to the concept of no-arbitage as a fundamental concept in financial mathematics.
ACTS 403
Problem Lab: Actuarial Models - Life Contingencies LINK
Credit Hours: 1
Course Format: Lab 1.5
Course Delivery: Classroom
Prereqs:
Problems as posed in the "Society of Actuaries (SOA) Exam 'M'" and/or "Casualty Actuarial Society (CAS) Exam '3'". Survival and severity models; "Markov Chain" models; life contingencies; and "Poisson" processes.
ACTS 404
Problem Lab: Construction and Evaluation of Actuarial Models LINK
Credit Hours: 1
Course Format: Lab 1
Course Delivery: Classroom
Prereqs:
Problems as posed in the Society of Actuaries (SOA) Exam "C" and/or Casualty Actuarial Society (CAS) Exam "4". Construction of empirical models; construction and selection of parametric models; credibility theory; interpolation and smoothing of data; and simulation.
ACTS 405
Problem Lab: Actuarial Models - Financial Economics LINK
Credit Hours: 1
Max credits per degree: 1
Course Format: Lab 1.5
Course Delivery: Classroom
Prereqs:

Problems as posed in the "Society of Actuaries (SOA) Exam 'M'". Interest rate models; rational valuation of derivative securities (option pricing: put-call parity, the binomial model, Black-Scholes formula, and actuarial applications; interpretation of option Greeks and delta-hedging; features of exotic options; an introduction to Brownian motion and Itรด's lemma); and risk management techniques.

ACTS 410/810
Introduction to Credibility, Smoothing of Data, and Simulation LINK
Credit Hours: 3
Course Format: Lecture
Course Delivery: Classroom
Prereqs:
This course is a prerequisite for: ACTS 404
Full, partial, Buhlmann, and Buhlmann-Straub credibility models. Introduction to empirical Bayes and statistical distributions used to model loss experience. Application of "polynomial splines" to actuarial data. Simulation of "discrete" and "continuous random" variables in context of actuarial models. Simulation to "p-value" of hypothesis test. "Bootstrap method" of estimating the "mean squared error" of an estimator.
ACTS 425/825
Survival Models LINK
Credit Hours: 3
Course Format: Lecture 3
Course Delivery: Classroom
Prereqs:
STAT 463 with a grade of "C" or better.
Parametric and tabular survival models. Estimation based on observations that might not be complete. Concomitant variables. Use of population data. Applications to groups with impaired lives.
ACTS 430/830
Actuarial Applications of Applied Statistics LINK
Credit Hours: 3
Course Format: Lecture 3
Course Delivery: Classroom
Prereqs:
STAT 463 with a grade of "C" or better.
Data sets processed and analyzed using statistical software.
Introduction to forecasting in actuarial science. Simple and multiple regression, instrumental variables, time series methods, and applications of methods in forecasting actuarial variables. Interest rates, inflation rates, and claim frequencies.
ACTS 440/840
Financial Mathematics LINK
Credit Hours: 4
Course Format: Lecture 6
Course Delivery: Classroom
Prereqs:
MATH 208/208H with a grade of "Pass" or "C" or better, or parallel.
This course is a prerequisite for: ACTS 402, ACTS 405, ACTS 470, FINA 338, FINA 412, FINA 467
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; and 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 and short sales; introduction to financial derivatives (forwards, options, futures, swaps) and their use in risk management; and introduction to the concept of no-arbitrage as a fundamental concept in financial mathematics.
ACTS 442/842
Principles of Pension Valuation LINK
Credit Hours: 3
Course Format: Lecture
Course Delivery: Classroom
Prereqs:
ACTS 471/871 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.
ACTS 450/850
Stochastic Processes for Actuaries LINK
Credit Hours: 3
Course Format: Lecture 3
Course Delivery: Classroom
Prereqs:
STAT 463 with a grade of "C" or better.
Introduction to stochastic processes and their applications in actuarial science. Discrete-time and continuous-time processes; Markov chains; the Poisson process; compound Poisson 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.
ACTS 470/870
Life Contingencies I LINK
Credit Hours: 3
Course Format: Lecture 3
Course Delivery: Classroom
Prereqs:
ACTS 440 and STAT 462, each with a grade of "C" or better.
This course is a prerequisite for: ACTS 403, ACTS 471
First course of a two-course sequence that includes ACTS 471.
Theory and applications of contingency mathematics in the areas of life and health insurance, annuities, and pensions. Probabilistic models.
ACTS 471/871
Life Contingencies II LINK
Credit Hours: 3
Course Format: Lecture 3
Course Delivery: Classroom
Prereqs:
ACTS 470 and STAT 462, each with a grade of "C" or better.
This course is a prerequisite for: ACTS 442, ACTS 475
Second course of a two-course sequence that includes ACTS 470.
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.
ACTS 473/873
Introduction to Risk Theory LINK
Credit Hours: 3
Course Format: Lecture 3
Course Delivery: Classroom
Prereqs:
STAT 462 with a 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.
ACTS 475/875
Actuarial Applications in Practice LINK
Credit Hours: 3
Course Format: Lecture 3
Course Delivery: Classroom
ACE Outcomes: 10
Prereqs:
Principles and practices of pricing and/or funding and valuation for life, health, property and liability insurance, and annuities and pension plans. Commercially available actuarial modeling software.