AS 4140 Mathematical Foundations of Actuarial Science
Credit Hours 3.0
Prerequisites RMI 3750 or MATH 4751
Description

This course covers 1) uni-variate probability distributions, including binomial, negative binomial, geometric, hypergeometric, Poisson, uniform, exponential, chi-square, beta, Pareto, lognormal, gamma, Weibull, and normal; 2) multivariate joint distributions, conditional and marginal distributions; 3) moments and moment generating function, 4) transform of variables, 5) order statistics, and 6) central limit theorem. The purpose of this course of reading is to develop knowledge of the fundamental probability tools for quantitatively assessing risk. The application of these tools to problems encountered in actuarial science is emphasized. A thorough command of probability topics and the supporting calculus is assumed.

AS 4230 Theory of Interest
Credit Hours 3.0
Prerequisites MATH 2215
Description

Topics include measurement of interest, accumulation and discount, forces of interest and discount, equations of value, annuities, perpetuities, amortization and sinking funds, yield rates, bonds and securities, depreciation, depletion, and capitalized costs.

AS 4260 Microeconomic Foundations of Actuarial Science
Credit Hours 3.0
Prerequisites ECON 2106 and concurrent registration in AS 4230
Description

CSP: 1. This course covers the applications of interest theory and calculus to intermediate microeconomics in an actuarial context.

AS 4320 Introduction to Stochastic Actuarial Models
Credit Hours 3.0
Prerequisites MATH 4751
Requirements Must meet RCB upper division course requirements and 45 semester hours, CSP: 2
Description

This course covers the application of basic stochastic models in an actuarial setting. Topics include review of frequency-severity models, introduction to compound distri- butions, stochastic models, and simulation techniques.

AS 4340 Life Contingencies I
Credit Hours 3.0
Prerequisites MATH 4751
Corequisites AS 4230
Requirements Must meet RCB upper division course requirements and 45 semester hours, CSP: 2
Description

This course is an introduction to life contingencies as applied in actuarial practice. Topics include present value random variables for contingent annuities and insurance, their distributions and actuarial present values, equivalence principle, and other principles for determining premiums.

AS 4350 Life Contingencies II
Credit Hours 3.0
Prerequisites AS 4340
Requirements Must meet RCB upper division course requirements and 45 semester hours, CSP: 2
Description

This course is a continuation of the study of life contingencies. Topics include insurance and annuity reserves, characterization of discrete and continuous multiple decrement models in insurance and employee benefits, and multiple life models.

AS 4389 Directed Readings in Actuarial Science
Credit Hours 1.0 - 3.0
Prerequisites Consent of instructor
Description
AS 4510 Derivative Valuation and Risk Management
Credit Hours 3.0
Prerequisites MATH 2212 and FI 4000 or permission of instructor
Requirements Must meet RCB upper division course requirements and 45 semester hours, CSP: 1, 2, 5, 6, 7
Description

This couse introduces quantitative methods for pricing financial derivatives, treating in detail the program of valuation by “no-arbitrage.” Institutional features of derivative markets are covered along with theory and application. The discrete-time binomial pricing model is studied in depth. An introduction to the elements of stochastic calculus (Brownian Motion, and Ito’s formula) then enables students to work with the mainstream continuous-time models of Black-Scholes-Merton and others. These methods are applied to price and hedge standard securities such as stock options, interest rate caps, swaps, swaptions, and commodity futures. Students will see application to insurance and actuarial science. The course will cover Society of Actuaries required reading.