Registry
Module Specifications
Current Academic Year 2012 - 2013
Please note that this information is subject to change.
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| Description | |||||||||||||||||||||||||||||||||||||||||
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The aim of the module is, in conjunction with module MS442, to provide a grounding in the mathematical techniques that can be used to model and value cashflows dependent on death, survival, or other uncertain risks and to provide a grounding in the mathematical and statistical techniques generally of particular relevance to financial work. A second aim, in respect of part 1, is to provide students with the opportunity to be recommended for exemption from subject CT5 of the professional examinations of the Institute of Actuaries and the Faculty of Actuaries in Scotland, in conjunction with module MS442. A third aim, in respect of part 2, is to provide students with the opportunity to be recommended for exemption from subject CT6, in conjunction with modules MS344 and MS447. | |||||||||||||||||||||||||||||||||||||||||
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All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml |
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| Indicative Content and Learning Activities | |||||||||||||||||||||||||||||||||||||||||
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Part 1. Define and use straightforward functions involving one life. In respect of these functions. define assurance and annuity contracts and develop formulae for the means and variances of the present values of the payments under the contracts; [CT5 - (i)]. define practical methods of evaluating expected values and variances of contracts; [CT5 - (ii)]. describe and calculate net premiums and net premium reserves; [CT5 - (iii)]. describe the calculation of net premiums and net premium reserves for increasing and decreasing benefits; [CT5 - (iv)]. and describe gross premiums and gross premium reserves [CT5 - (v)]. Part 2 Explain the concept of ruin for a risk model. aggregate claims process and cash flow process for a risk; probability of ruin in finite/infinite and continuous/discrete time; relationships between probabilities of ruin. [CT6 - (iv)]. Describe the fundamental concepts of rating and apply them to simple experience rating systems. describe the basic methodology used in rating for insurance and banking; explain the workings of a simple experience rating system based on claim frequency and calculate the probability of a policyholder making a claim; calculate the stationary distribution of the numbers of policyholders. [CT6 - (vi)]. Explain the concepts of a Generalised Linear Model and describe how the model may apply. be familiar with the concepts of Multiple Linear Regression and the Normal Linear Model; define exponential functions and show that various distributions may be written in this form; state the mean and variance for the exponential family and define and evaluate the variance function and the scale parameter; explain what is meant by a link function and the canonical link function; explain what is meant by a variable, a factor taking categorical values and interaction term; define and show the use of a linear predictor; define the deviance and scaled deviance and state how parameters may be estimated; define and use the Pearson and deviance residuals; and apply statistical tests for a fitted model. [CT6 - (viii)]. ". | |||||||||||||||||||||||||||||||||||||||||
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