MA312-6-SP-CO:
Contingencies II
2020/21
Mathematics, Statistics and Actuarial Science (School of)
Colchester Campus
Spring
Undergraduate: Level 6
Current
Sunday 17 January 2021
Friday 26 March 2021
15
16 July 2020
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),
MSCIN399 Actuarial Science and Data Science
This module covers the second part related to Contingencies of the Institute and Faculty of Actuaries CM1 syllabus (Actuarial Mathematics).
The aims of the Contingencies II module are:
1. to build and extend the methods developed in Contingencies I
2. to analyse in detail additional techniques used in pricing, reserving, assessing the profitability and evaluating insurance and pensions products.
On completion of this module, students should be able to:
1. Define and use straightforward functions involving two lives.
2. Describe methods which can be used to model cashflows contingent upon competing risks.
3. Describe the technique of discounted emerging costs, for use in pricing, reserving, and assessing profitability.
4. Describe the principal forms of heterogeneity within a population and the ways in which selection can occur.
5. Implement life contingencies in Microsoft Excel spreadsheet, using some of Excel's built-in financial and statistical functions and other useful tools.
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.
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.
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.
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.
5. Implement life contingencies in Microsoft Excel spreadsheet, using some of Excel's built-in financial and statistical functions and other useful tools.
Teaching will be delivered in a way that blends face-to-face classes, for those students that can be present on campus, with a range of online lectures, teaching, learning and collaborative support.
- Dickson, David C. M.; Hardy, Mary R.; Waters, Howard R. (2020) Actuarial mathematics for life contingent risks, Cambridge: Cambridge University Press.
- (2019) Core Reading for the 2020 Exams - CM1 Actuarial Mathematics: IFoA.
The above list is indicative of the essential reading for the course. The library makes provision for all reading list items, with digital provision where possible, and these resources are shared between students. Further reading can be obtained from this module's reading list.
Assessment items, weightings and deadlines
| Coursework / exam |
Description |
Deadline |
Coursework weighting |
| Coursework |
Test |
|
|
| Exam |
Main exam: 180 minutes 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
Dr Jackie Wong Siaw Tze, email: jw19203@essex.ac.uk.
Dr Jackie Wong & Dr Tolulope Fadina
Dr Jackie Wong (jw19203@essex.ac.uk), Dr Tolulope Fadina (t.fadina@essex.ac.uk)
Yes
Yes
No
Dr Dimitrina Dimitrova
Cass Business School, City, University of London
Senior Lecturer
Available via Moodle
Of 1501 hours, 0 (0%) hours available to students:
1501 hours not recorded due to service coverage or fault;
0 hours not recorded due to opt-out by lecturer(s).
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