Course Descriptions - Undergraduate Calendar 2023-2024

This course introduces financial markets and institutions, examining the role of finance in the global economy while introducing foundational principles of financial decision making. The course utilizes analytic and computational approaches to the topics, enabling students to develop data management and analysis competencies.

The theory of rates of interest and discount; annuities and sinking funds with practical applications to mortgage and bond questions. Yield rates. [Offered: F,W,S]

The theory of rates of interest and discount including the theoretical continuous case of forces of interest and discount. Annuities and sinking funds, including the continuous case. Practical and theoretical applications primarily to mortgages and bonds. Yield rates. [Offered: F,W,S]

The future lifetime random variable: probability and survival functions; force of mortality; complete and curtate expectation of life; Makeham and Gompertz mortality laws. Life tables: characteristics of population and insurance life tables; selection; fractional age assumptions. Life insurance payments and annuity payments: present value random variables; expected present values; higher moments; actuarial notation. Annual, 1/mthly and continuous cases. Relationships between insurance and annuity functions. Premiums: expense loadings. Present value of future loss random variables and distribution, net and gross cases. Equivalence principle. Portfolio percentile principle. Extra risks.

This course offers an overview of global capital markets and asset valuation. Topics may include an overview of financial markets and instruments, time value of money, valuation of financial assets, and financial risk and portfolio management. The course utilizes an analytic and computational approach to the topics, enabling students to develop data management and analysis competencies.

Policy Values: Annual, 1/mthly, and continuous cases. Thiele's equation. Modified premium policy values. Multiple state models: applications in life contingencies; assumptions; Kolmogorov equations; premiums, policy values, multiple decrement models. Joint life models: valuation of insurance benefits on joint lives, dependent and independent cases.

Introduction to property and casualty coverages. Claim payment process, development triangles, and diagnostic testing. Estimating ultimate claims using development, frequency-severity, expected and Bornhuetter Ferguson methods. Estimating unpaid claim and unallocated loss adjustment expense liabilities. Ratemaking process, including expense provisions, profit and contingencies, and adjustments for catastrophes and large losses. Pricing for deductibles and increased limits. Introduction to reinsurance pricing and reserving. Commercial lines pricing. [Offered: F,W]

Introduction to the collective risk model; models for loss frequency: (a, b, 0) and (a, b, 1) classes of distributions, compound distributions and mixtures; models for loss severity: exponential, gamma, lognormal, Pareto, Weibull, and mixtures; measures of distribution tails; impact of policy adjustments on loss frequency and severity; estimation of frequency and severity models. [Offered: F,W]

Introduction to financial markets. Different return and risk measures. Investment rules and capital budgeting. Rigorous derivations of Markowitz portfolio optimization and its application in investment decisions. Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT). Weighted average cost of capital (WACC) and efficient market hypothesis (EMH). Long-term financing, capital structure (MM propositions), and dividend policies. Introduction to options, forwards, and swaps. [Offered: F,W,S]

This is the first in a two-course sequence that deals with corporate financial decision making. Topics may include capital budgeting, cost of capital, security issuance, capital structure, payout policy and dividends, and short-term finance. Where suitable, topics are treated from a mathematical and quantitative perspective.

This course introduces the use of advanced econometric/statistical methods in studying financial market data, and in quantitatively assessing risks associated with financial investments. The methods presented in this course are tailored to address specific issues of interest in finance, such as the quantification of the risk-return tradeoff, the modelling of time-varying stock/bond market volatility and, possibly, also the statistical analysis of financial derivatives such as options.

Aggregate loss and payment models: properties, analytic results, convolution-type methods, recursive methods, inversion-type methods, and simulation; advanced aggregate claims models; reinsurance; applications to insurance pricing; insurance pricing using generalized linear models. [Offered: F,S]

Credibility theory: American credibility, Bayesian, Bühlmann, Bühlmann-Straub, and empirical Bayes parameter estimation. Risk theory: claim arrival dynamics, surplus models, first-passage times, applications to solvency, and their analytical and numerical analyses. [Offered: F,S]

This course introduces enterprise risk management, with a focus on quantitative analysis and economic capital. Risk classification is first discussed with an emphasis on the types of risk most suited to quantitative methods. Risk measures, such as Value-at-Risk (VaR) and Conditional Tail Expectation (CTE or TVaR), are then introduced and their use by firms and regulators to determine risk capital requirements is further highlighted. Different approaches are considered for developing loss distributions, including frequency/severity analysis and extreme value theory. Copulas and economic scenario generators are used to aggregate dependent risks. Different strategies for mitigating or transferring risk are reviewed. Additional topics that may be covered include credit risk, capital allocation, and regulation of financial institutions. [Offered: F,S]

This course covers mathematical techniques for no-arbitrage pricing and hedging financial derivatives. Topics to be covered can be classified into three broad areas: derivatives markets (options; forwards and futures; other derivatives; put-call parity), discrete-time financial models (binomial models; general multi-period models; Fundamental Theorems of Asset Pricing; risk-neutral probability), and continuous-time financial models (basic stochastic calculus and Itô's lemma; Black-Scholes model; interest rate models and bond pricing). [Offered: F,W]

Theory and practice of pension plan funding. Assumptions, basic actuarial functions, and population theory applied to private pensions. Concepts of normal costs, supplemental liability, unfunded liability arising from individual accrued benefit, and projected benefit cost methods.

Kaplan-Meier and Nelson-Aalen estimators for survival functions. Kernel density models. Validation of mortality tables. Estimators for Markov multiple state transition intensities. Longevity models, including deterministic and stochastic models such as Lee-Carter and Cairns-Blake-Dowd. [Offered: W]

Profit testing for traditional and non-traditional life insurance. Pricing and valuation of embedded options in life insurance products. Defined benefit and defined contribution pension plan design. Theory and practice of unit credit methods for pension plan funding and valuation for final average salary, career average earnings, and career average revalued earnings pension plans; post-retirement health benefits.

Reading course as announced by the department.

Reading course as announced by the department.

This is the second course of a two-course sequence that deals with corporate financial decision making. The course builds on the theory of financial management using cases to illustrate a variety of corporate financial decisions. Where suitable, topics are treated from a mathematical and quantitative perspective.

Advanced topics course as announced by the department. Topics and term offerings will vary.