Courses

Please click on course titles below to see course descriptions.

Actuarial Science courses offered in Spring 2013

Complete listing of Actuarial Science program courses

Core Courses
Elective Courses
Professional Development

STAT W4105. Probability. 3 pts.

Prerequisite

MATH V1101 and MATH V1102, or the equivalent.

Description

Fundamentals, random variables and distribution functions in one or more dimensions; moments, conditional probabilities, and densities; Laplace transforms and characteristic functions. Infinite sequences of random variables; weak and strong laws of large numbers; central limit theorem.

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STAT W4107. Statistical Inference. 3 pts.

Prerequisite

STAT W4105, or the equivalent.

Description

Principles of statistical inference. Population parameters, sufficient statistics. Basic distribution theory. Point and interval estimation. Method of maximum likelihood. Method of least squares, regression. Introduction to the theory of hypothesis testing. Likelihood ratio tests. Nonparametric procedures. Statistical decision theory. Applications to engineering, medicine, and natural and social sciences.

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STAT W4109. Probability and Statistical Inference. 6 pts.

Prerequisite

MATH V1101 and MATH V1102, or the equivalent.

Description

Combination of STAT W4105 and STATW4107 in one semester.

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STAT W4840. Theory of Interest. 3 pts.

Description

Introduction to the mathematical theory of interest as well as the elements of economic and financial theory of interest. Topics include rates of interest and discount; simple, compound, real, nominal, effective, dollar (time)-weighted; present, current, future value; discount function; annuities; stocks and other financial instruments; definitions of key terms of modern financial analysis; yield curves; spot (forward) rates; duration; immunization; and short sales. The course will cover determining equivalent measures of interest; discounting; accumulating; determining yield rates; and amortization.

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ACTU K4821. Actuarial Methods. 6 pts.

Prerequisite

STAT W4105, STAT W4840

Description

This course covers the non-stochastic process portions of the MLC/3L exam, and is about pricing and reserving of life insurance. Topics include actuarial present value, the equivalence principle, premiums, three methods of calculating reserves, joint life and multiple hazard.

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ACTU K4823. Actuarial Models. 3 pts.

Prerequisite

STAT W4840, STAT W4107

Description

This course covers portions of the C/4 exam not covered elsewhere in the curriculum. Topics may include Bayesian statistics, credibility, and risk measures.

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ACTU K4830. Stochastic Processes for Actuarial Science. 3 pts.

Prerequisite

Or corequisite: Statistics W4606.

Description

This course covers the material and the theoretical background for exam MFE. Subjects include discrete time option pricing, martingales, change of measure/Girsanov's Theorem, Brownian motion, diffusions, interest rate models, and stochastic integration.

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STAT W4440. Linear Regression and Time Series Models. 3 pts.

Prerequisite

STAT W4105 or the equivalent and STAT W4107 or the equivalent.

Description

Theory and practice of regression analysis. Simple and multiple regression including testing, estimation and confidence procedures, modeling, regression diagnostics and plots, polynomial regression, fixed effects ANOVA and ANCOVA models, nonlinear regression, multiple comparisons, co-linearity and confounding, model selection. Emphasis on geometric approach to the theory and computer use to analyze data. Least squares smoothing and prediction, linear systems, Fourier analysis, and spectral estimation. Impulse response and transfer function. Fourier series, the fast Fourier transform, autocorrelation function, and spectral density. Univariate Box-Jenkins modeling and forecasting. Emphasis on applications. Examples from the physical sciences, social sciences, and business. Computing is an integral part of the course.

This class satisfies the applied statistics VEE requirement.

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STAT W4606. Elementary Stochastic Processes. 3 pts.

Prerequisite

STAT W4105, or the equivalent.

Description

Review of elements of probability theory. Poisson processes. Exponential distribution. Renewal theory. Wald's equation. Introduction to discrete and continuous time Markov chains and applications to queueing theory, inventory models, branching processes.

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BUSI K4003. Corporate Finance. 3 pts.

Prerequisite

One accounting course (ECON W2261/W4261 Introduction to Accounting and Finance or the equivalent) and one course in finance (BUSI K4001 Introductory Finance or the equivalent). Appropriate professional experience may meet either prerequisite.

Description

An exploration of the central concepts of corporate finance for those who already have some basic knowledge of finance and accounting. This case-based course considers project valuation; cost of capital; capital structure; firm valuation; the interplay between financial decisions, strategic consideration, and economic analyses; and the provision and acquisition of funds. These concepts are analyzed in relation to agency problems: market domination, risk profile, and risk resolution; and market efficiency or the lack thereof. The validity of analytic tools is tested on issues such as highly leveraged transactions, hybrid securities, volatility in initial public offerings, mergers and acquisitions, divestitures, acquisition and control premiums, corporate restructurings, and sustainable and unsustainable market inefficiencies.

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ECON W5211. Intermediate Microeconomics. 3 pts.

Prerequisite

ECON W1105 or the equivalent; MATH V1101, MATH V1201 (or Math V1207).

Description

The determination of the relative prices of goods and factors of production and the allocation of resources.

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ECON W5213. Intermediate Macroeconomics. 3 pts.

Prerequisite

ECON W1105, or the equivalent; MATH V1101 or MATH V1107.

Description

National income accounting, output and employment; Keynesian and neo-Keynesian analysis; alternative schools; economic growth.

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ACTU K4620. Special Topics: Investment and ALM for Actuaries. 3 pts.

Description

This course develops an understanding of the fundamental concepts of Investment and Asset Liability Management (ALM) for actuaries. A basic knowledge of financial mathematics is assumed. This course is an elective course which provides students with the knowledge to apply in a practical sense the theoretical framework that they learned from the foundational actuarial examinations.

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ACTU K4620. Special Topics: Pensions and ERISA. 3 pts.

Description

This course is a workshop in ERISA and Taxation Rules for Actuaries. Actuarial science can be applied and cover a number of welfare benefit arrangements (such as life insurance, medical, disability, severance etc.), qualified plans and nonqualified deferred compensation plans. The services and products that are developed in the actuarial field may be governed by certain federal laws. In the U.S. these arrangements are governed by the Employee Retirement Income Security Act ("ERISA"). In addition, certain federal taxation and reporting rules may apply. To be successful in the field will require an understanding of these rules, reporting requirements, taxation rules and the government agencies (Internal Revenue Service, Department of Labor and Pension Benefit Guarantee Corporation) responsible for oversight of such arrangements. Other topics covered will include SEPs, Simple Plans, 403(b) plans, 457 plans and Nonqualified Deferred Compensation Plans.

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ACTU K4625 Special Topics: Health Insurance 3 pts.

Description

This course develops an understanding of the fundamental concepts of health care design and management in the United States as well as an overview of the environment of health care and health care plans, followed by health plan designs and cost-control techniques. In addition, this course provides an overview of rules and regulations as it relates to managed care. A basic knowledge of financial mathematics is assumed.

 

ACTU K7001. Integrated Projects. 3 pts.

Prerequisite

Students must have their transcripts and resumes approved by the program director in order to be eligible for this course.

Description

This course is particularly applicable to students who are looking to develop their skills in a particular area of application of actuarial science. The course is delivered in a project format that will integrate specific elements of the curriculum into an applied project, giving students hands-on actuarial science application experience. Students may team up and undertake a special actuarial project and present as consultants or in house actuaries to a panel of actuaries who will grade the overall effectiveness of their approach, solution and communication. This course will help students increase their understanding of the real-world constraints under which actuaries operate. The course also serves the purpose of sharpening the students analytical and communication skills, by allowing them to apply their previous experience and knowledge gained from the program to real-world problems.

 

ACTU K7003 Topics: Property and Casualty. 3 pts.

Description

This course will provide an broad overview of the Property Casualty Insurance Industry. No prior knowledge of the P&C industry will be assumed. Topics include: Ratemaking, Reserving, Insurance Operations, Reinsurance, and other Specialty Topics.

 

ACTU K7004 Enterprise Risk Management. 3 pts.

Description

Enterprise risk management (ERM) is a significant advancement in the field of risk management. ERM provides a process for companies to identify, measure, manage, and disclose all key risks to increase value to stakeholders. ERM provides a better framework for fundamental risk-return decision-making at the highest levels, elevating ERM to an advancement in business management. This course will cover the latest methodologies in ERM and how they are implemented in practice, and will address all major aspects of ERM, including ERM framework; risk identification; risk quantification; risk decision-making; risk messaging; and risk governance. Students will learn how to effectively design and implement an ERM program at corporate entities (financial services and non-financial services companies) as well as non-corporate entities, such as non-profits, government agencies, and for individuals.

 

ACTU K4846. Quantitative Risk Management. 3 pts.

Description

Quantitative risk management covering the mathematical part of enterprise risk management. Simimulating financial time series. Interest rates and inflation. Risk measures. Long-tailed data. Copulae.

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ACTU K4850. Oral Communication for Actuaries. 3 pts.

Description

This course is a workshop in communication techniques. Students make presentations individually and in teams. It covers communicating effectively, structuring presentations, delivery techniques and PowerPoint presentations.

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ACTU K4930. Special Topics. Points Vary.

Course Description

This course is offered in two consecutive sections, each exploring a different aspect of the field. Students may register for one or both sections.

Section 001 - Life and Annuity Insurance
One of core actuarial functions in a life insurance company is the financial reporting which involves the valuation of the life insurance liabilities.  There are many types of valuations (e.g., statutory valuation, the general acceptable accounting principle valuation, taxation valuation, etc.).  Also, there are many types of accounting principles that valuation actuaries must follow (e.g., Statutory accounting principle, General Acceptable Accounting Principle, International Accounting Principle, Tax based accounting, etc.).  There are also valuation requirements, insurance law and regulations, and/or actuarial guidelines that valuation actuaries must comply with. 

This course will provide students with a solid foundation in the valuation of life insurance liabilities under US Statutory, US General Acceptable Accounting Principle, tax methods and regulations.  The course will equip students to take exam Individual Life and Annuities U.S.–Company/Sponsor Perspective (CSP-IU) that fits the current SOA FSA exam scheme (proceed to become FSA).

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BUSI B6301. Corporate Finance, A. 3 pts.

Description

This is the core course in finance that may be considered the first course in corporate perspective. It focuses on the primary tasks of the corporate treasurer, showing students how to use ratio analysis to assess corporate performance and project financial statements and cash needs for both projects and whole companies. It devotes substantial time to the question of how much debt is optimal in a firm's capital structure. It then introduces discounted cash flow and shows how to estimate a weighted average cost of capital to use as a discount rate appropriate to a particular company or project. By the end of the course, students have all the tools necessary to value a company by projecting its free cash flow and discounting it at an appropriate rate.

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ECON W2261. Introduction to Accounting and Finance. 4 pts.

Prerequisite

Econ W1105

Description

The concepts and methods underlying the financial statements of business corporations. Attention to problems of asset valuation, income determination, cash flows, and cost and profit behavior in response to changes in the level of business activity. Analysis of selected corporate financial statements, capital structure, and leverage. Strategies and analytical methods for the evaluation of capital projects.

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IEOR E4404. Simulation. 3 pts.

Prerequisite

SIEO W3600 or SIEO W4150 and knowledge of Java, C, or FORTRAN.

Description

Generation of random numbers from given distributions; variance reduction; statistical output analysis; introduction to simulation languages; application to financial, telecommunications, computer, and production systems. Recitation Section Required.

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MATH W4071. Introduction to the Mathematics of Finance. 3 pts.

Prerequisite

MATH V1202, V3027, STAT W4150, SEIOW4150, or their equivalents.

Description

The mathematics of finance, principally the problem of pricing of derivative securities, developed using only calculus and basic probability. Topics include mathematical models for financial instruments, Brownian motion, normal and lognormal distributions, the BlackûScholes formula, and binomial models.

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STAT G6503. Statistical Inference and Time-Series Modelling. 3 pts.

Prerequisite

STAT W4105 and W4107 or the equivalent.

Description

Modeling and inference for random processes, from natural sciences to finance and economics. ARMA, ARCH, GARCH and nonlinear models, parameter estimation, prediction and filtering.

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STAT G6505. Stochastic Methods in Finance. 3 pts.

Prerequisite

STAT G6501 or the equivalent.

Description

Mathematical theory and probabilistic tools for modeling and analyzing security markets are developed. Pricing options in complete and incomplete markets, equivalent martingale measures, utility maximization, term structure of interest rates.

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STAT G8263. Stochastic Differential Equations and Applications. 3 pts.

Prerequisite

Statistics G6105-G6106 or member of the department’s permission.

Description

Elements of the general theory of stochastic processes; Martingales; Doob-Meyer decomposition; Strochastic integrals; differential equations; existence and uniqueness of strong and weak partial differential equations; comparison and approximation theorems; Stroock-Varadhan theory; applications to stochastic optimization.

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STAT W4201. Advanced Data Analysis. 3 pts.

Description

This is a course on getting the most out of data for students in statistics, biostatistics, the sciences, social sciences, humanities, health sciences, law and engineering. The emphasis is on hands-on experience, involving case studies with real data and using the statistical package S, which will be taught from scratch. Students are also be encouraged to use other statistical packages of their choice, e.g., SAS, SPSS or BMDP. The course covers exploratory data analysis, model formulation, goodness of fit testing, and other standard and non-standard statistical procedures, including linear regression, analysis of variance, nonlinear regression, generalized linear models, survival analysis, time series analysis, and modern regression methods. Prospective students and auditors of the class are invited to propose a data set of their choice for use as case study material. In addition to homework and a midterm, the grade will be based on a final project. There will be no final exam.

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STAT W4240. Data Mining. 3 pts.

Description

Data Mining is a dynamic and fast growing field at the interface of statistics and computer science. The emergence of massive datasets containing millions or even billions of observations provides the primary impetus for the field. Such datasets arise, for instance, in large-scale retailing, telecommunications, astronomy, computational biology, and internet commerce. The analysis of data on this scale presents exciting new computational and statistical challenges. This course provides an overview of current research in data mining and is suitable for graduate students from many disciplines. Specific topics covered include databases and data warehousing, exploratory data analysis and visualization, descriptive modeling, predictive modeling, pattern and rule discovery, text mining, Bayesian data mining, and causal inference.

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STAT W4290. Statistical Methods in Finance. 3 pts.

Description

This is a master-level course introducing statistical methodologies in quantitative finance. Financial applications and statistical methodologies are intertwined in all lectures, with several research topics being introduced through problems in a term project. Lecture notes by the instructor will be distributed. The course will cover: linear regression with applications to single and multi-factor pricing models, multivariate analysis and their applications in Markowitz's portfolio management, estimation and modeling of volatilities, calculation of value-at-risk, nonparametric methods with applications to option pricing and interest rate markets.

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STAT W4315. Linear Regression Models. 3 pts.

Prerequisite

STAT W4105 or the equivalent and STAT W3659 or the equivalent.

Description

Theory and practice of regression analysis. Simple and multiple regression including testing, estimation and confidence procedures, modeling, regression diagnostics and plots, polynomial regression, fixed effects ANOVA and ANCOVA models, nonlinear regression, multiple comparisons, co-linearity and confounding, model selection. Emphasis on geometric approach to the theory and computer use to analyze data.

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STAT W4413. Nonparametric Statistics. 3 pts.

Description

Statistical inference without parametric model assumption. Hypothesis testing using ranks, permutations, and order statistics. Nonparametric analogs of analysis of variance. Tolerance limits. Robust estimation. Introduction to sequential statistical procedures. Applications to quality control and clinical trials.

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STAT W4437. Time Series Analysis. 3 pts.

Prerequisite

STAT W4315 or the equivalent

Description

Least squares smoothing and prediction, linear systems, Fourier analysis, and spectral estimation. Impulse response and transfer function. Fourier series, the fast Fourier transform, autocorrelation function, and spectral density. Univariate Box-Jenkins modeling and forecasting. Emphasis on applications. Examples from the physical sciences, social sciences, and business. Computing is an integral part of the course.

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STAT W4635. Stochastic Processes for Finance. 3 pts.

Prerequisite

STAT W4105, or the equivalent.

Description

Discrete and continuous time Markov chains, poisson process, Brownian motion, martingales, stochastic integration, change of measure.

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STAT W6501. Stochastic Processes and Applications, I. 3 pts.

Prerequisite

STAT W4105 or the equivalent.

Description

Advanced treatment of discrete and continuous-time Markov chains; elements of renewal theory; Martingales and their basic properties. Brownian motion: construction, basic properties, sample paths. Stochastic integration, Ito's rule, applications. Introduction to stochastic differential equations and diffusion processes.

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STAT W4543. Survival Analysis. 3 pts.

Prerequisite

STAT W4107 or the equivalent

Description

Survival distributions, types of censored data, estimation for various survival models, nonparametric estimation of survival distributions, the proportional hazard and accelerated lifetime models for covariate data, regression analysis with lifetime data.

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ACTU K4900. Proseminar in Actuarial Science. 2 pts.

Description

Industry representatives conduct a series of noncredit seminar sessions designed to expose students to the actuarial profession as well as to address a range of topics in actuarial science.

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ACTU K4995. Internship in Actuarial Science. 1 pt.

Description

Supervised, structured internships provide students with industry experience key to professional advancement in the field. Students with either an on-campus or off-campus internship may enroll in this for credit. Enrolled students will be expected to submit a paper relating their internship experience to coursework they have completed. Students need to register for this course to receive credit.

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