Module manager: Dr Lanpeng Ji
Email: l.ji@leeds.ac.uk
Taught: Semester 2 (Jan to Jun) View Timetable
Year running 2024/25
| MATH3510 | Actuarial Mathematics 1 |
This module is approved as a discovery module
Introduction to advanced actuarial modelling of annuities and assurances with particular emphasis on fixed and variable benefit contracts, annuities and assurances involving two lives and evaluation of profitability.
See learning outcomes.
On completion of this module, students should be able to:
(i) understand the principles of advanced actuarial mathematics for life contingent risks,
(ii) evaluate premiums and reserves for assurance and annuity contracts, and
(iii) understand models of competing risks and multiple lives.
1. Premium calculation and policy values (recap):
- calculation of net and gross premiums and policy values
- portfolio percentile premium principle
- recursive relationships for policy values
2. Multiple lives models:
- joint life
- last survivor
- independent survival models
3. Multiple states models:
- discrete time Markov processes
- continuous time Markov processes
- Kolmogorov's forward equations
- multiple decrement models
4. Discounting emerging cost techniques:
- determining premiums using a profit test
- profit criterion
- determining reserves using a profit test
| Delivery type | Number | Length hours | Student hours |
|---|---|---|---|
| Lecture | 33 | 1 | 33 |
| Private study hours | 117 | ||
| Total Contact hours | 33 | ||
| Total hours (100hr per 10 credits) | 150 | ||
Consolidation of course notes and background reading:
- Institute and Faculty of Actuaries 'CM1 Actuarial Mathematics 1';
- David C.M. Dickson, Mary R. Hardy, Howard R. Waters 'Actuarial Mathematics for Life Contingent Risks';
- Hans U. Gerber 'Life Insurance Mathematics', Springer.
Workshops
Feedback on assignments
| Assessment type | Notes | % of formal assessment |
|---|---|---|
| Assignment | . | 20 |
| Total percentage (Assessment Coursework) | 20 | |
There is no resit available for the coursework component of this module. If the module is failed, the coursework mark will be carried forward and added to the resit exam mark with the same weighting as listed above.
| Exam type | Exam duration | % of formal assessment |
|---|---|---|
| Standard exam (closed essays, MCQs etc) | 3.0 Hrs 0 Mins | 80 |
| Total percentage (Assessment Exams) | 80 | |
Normally resits will be assessed by the same methodology as the first attempt, unless otherwise stated
The reading list is available from the Library website
Last updated: 4/29/2024
Errors, omissions, failed links etc should be notified to the Catalogue Team