MA312-6-AU-CO:
Contingencies II
2019/20
Mathematics, Statistics and Actuarial Science (School of)
Colchester Campus
Autumn
Undergraduate: Level 6
Current
Thursday 03 October 2019
Saturday 14 December 2019
15
27 October 2019
Requisites for this module
MA212
(none)
(none)
(none)
(none)
BSC N233 Actuarial Science (Including Placement Year),
BSC N323 Actuarial Science,
BSC N324 Actuarial Science (Including Year Abroad),
BSC N325 Actuarial Science (Including Foundation Year)
The aim of the Contingencies II module is to build and extend the methods developed in Contingencies I to obtain additional techniques for use in pricing and evaluating insurance and pensions products and insurance companies. This module covers the second part of the Institute and Faculty of Actuaries CT5 syllabus (Contingencies, Core Technical).
Syllabus
1. Simple assurances and annuities involving two lives
Define and use straightforward functions involving two lives and those that involve a fixed term as well as age. In respect of these functions: define assurance and annuity contracts and develop formulae for the means and variances of the present value of the payments under the contracts; define practical methods of evaluating means and variances under contracts; describe and calculate net premiums and net premium reserves; describe the calculation of net premiums and net premium reserves for increasing and decreasing benefits; and describe gross premiums and gross premium reserves [CT5-(vi)].
2. Competing risks
Describe methods that can be used to model cashflows contingent on competing risks: use of multiple-state Markov models; use of Kolmogorov equations; and derivation of transition intensities [CT5-(vii)].
3. Discounted cashflows
Describe the technique of discounted emerging costs for use in pricing, reserving and assessing profitability. Develop profit testing techniques for unit linked and traditional products; use profit testing for pricing and reserving; use multiple decrement tables and practical alternatives; and apply the techniques to cashflows dependent on non-human contingent risks [CT5-(viii)].
4. Mortality and morbidity
Describe the principal forms of heterogeneity within a population and the ways in which selection can occur. Describe the factors that affect human morbidity and mortality. Define and give examples of the main forms of selection: describe selection in the context of pension schemes and life assurance contracts; explain why it is necessary to have different mortality tables for different classes of lives; explain how decrements can have a selective effect; describe the use of risk classification, genetic information and a single figure index for measuring mortality in a population, with examples and illustrations of use [CT5-(ix)].
On completion of this module, students should be able to:
Define and use straightforward functions involving two lives.
Describe methods which can be used to model cashflows contingent upon competing risks.
Describe the technique of discounted emerging costs, for use in pricing, reserving, and assessing profitability.
Describe the principal forms of heterogeneity within a population and the ways in which selection can occur.
No additional information available.
This module has 30 lectures in the autumn term. There are 3 revision lectures in the summer term.
This module does not appear to have any essential texts. To see non-essential items, please refer to the module's reading list.
Assessment items, weightings and deadlines
| Coursework / exam |
Description |
Deadline |
Coursework weighting |
| Coursework |
Homework 1 |
|
|
| Coursework |
Homework 2 |
|
|
| Exam |
Main exam: 24hr during Summer (Main Period)
|
Exam format definitions
- Remote, open book: Your exam will take place remotely via an online learning platform. You may refer to any physical or electronic materials during the exam.
- In-person, open book: Your exam will take place on campus under invigilation. You may refer to any physical materials such as paper study notes or a textbook during the exam. Electronic devices may not be used in the exam.
- In-person, open book (restricted): The exam will take place on campus under invigilation. You may refer only to specific physical materials such as a named textbook during the exam. Permitted materials will be specified by your department. Electronic devices may not be used in the exam.
- In-person, closed book: The exam will take place on campus under invigilation. You may not refer to any physical materials or electronic devices during the exam. There may be times when a paper dictionary,
for example, may be permitted in an otherwise closed book exam. Any exceptions will be specified by your department.
Your department will provide further guidance before your exams.
Overall assessment
Reassessment
Module supervisor and teaching staff
Prof Spyridon Vrontos, email: svrontos@essex.ac.uk.
Nor Abdul Aziz (nsbabd@essex.ac.uk)
Dr Spyridon Vrontos (svrontos@essex.ac.uk)
Yes
Yes
No
Dr Dimitrina Dimitrova
Cass Business School, City, University of London
Senior Lecturer
Available via Moodle
Of 113 hours, 30 (26.5%) hours available to students:
83 hours not recorded due to service coverage or fault;
0 hours not recorded due to opt-out by lecturer(s).
Disclaimer: The University makes every effort to ensure that this information on its Module Directory is accurate and up-to-date. Exceptionally it can
be necessary to make changes, for example to programmes, modules, facilities or fees. Examples of such reasons might include a change of law or regulatory requirements,
industrial action, lack of demand, departure of key personnel, change in government policy, or withdrawal/reduction of funding. Changes to modules may for example consist
of variations to the content and method of delivery or assessment of modules and other services, to discontinue modules and other services and to merge or combine modules.
The University will endeavour to keep such changes to a minimum, and will also keep students informed appropriately by updating our programme specifications and module directory.
The full Procedures, Rules and Regulations of the University governing how it operates are set out in the Charter, Statutes and Ordinances and in the University Regulations, Policy and Procedures.