## BSc Degree in Finaancial Maths and Acturial Science - Course Description

Degree Plan | Requirements | Course Descriptions

 AS 201 Financial Mathematics (3-0-3)

Theory of compound interest and the mathematics of investment and credit. Measurement of interest, annuities certain (level, non-level, and continuous), amortization schedules, sinking funds, investment yield rates, and valuation of bonds and other securities. Methods of loan measurement and payments (Islamic and Conventional) are illustrated in amortization and sinking fund schedules. Islamic views on interest and investments.

Prerequisite:  MATH 102

 AS 250 Quantitative Financial Models for Actuaries (2-2-3)

Introductory Derivatives: Forwards and Futures. Options and Related Strategies. European put and call options. Put-call parity. Arbitrage opportunities. Rational valuation of derivative securities. Binomial tree and Black-Scholes Pricing Models. Actuarial Applications of Options Embedded in Insurance Products. Risk Management and Hedging. Introductory Stochastic differential equations. Ito's formula. Other SOA FM and IFM/MFE topics. Spreadsheet programming software.

Prerequisite: AS 201, STAT 214

 AS 289 Actuarial Science Problem Lab I (0-2-1)

Preparation for the second Society of Actuaries and Casualty Actuarial Society professional examination, FM (Financial Mathematics).  Society approved calculators. Review exam logistics and exam-taking strategies.

Prerequisite: AS 201

 AS 322 Numerical Methods for Actuaries (2-2-3)

Computer arithmetic (Floating-point, error analysis), Matrices and linear equations, Numerical Integration and Differentiation, Interpolation, Smoothing, approximations, Computing probability functions, Solving nonlinear equations with application in maximum likelihood and nonlinear regression. Numerical programming language and database software use in Actuarial modeling, Monte Carlo simulation, and data analysis.

Note: Not to be taken for credit with MATH 371 or CISE 301

Prerequisite: MATH 201, ICS 103, STAT 214

 AS 350 Begin Cooperative Work (0-0-0)

See contents in AS 351.

Prerequisite: Same as in AS 351

 AS 351 Cooperative Work (0-0-6)

A continuous period of 28 weeks of industrial employment for Actuarial Science and Financial Mathematics students to work in appropriate industries or firms. The student is evaluated on his job performance and is required to submit and present an extensive formal report on his work experience.

Prerequisite: AS 250, AS 322, STAT 301, STAT 310, ENGL 214

 AS 352 End Cooperative Work (0-0-0)

See contents in AS 351.

Prerequisite: Same as in AS 351

 AS 380 Actuarial Contingencies I (2-2-3)

Introduction to life insurance mathematics based on a stochastic approach. Life insurance, annuities, benefit premiums, and net reserves. Parallel treatment of topics based on Takaful system.

Prerequisite: AS 201, STAT 301

 AS 389 Actuarial Science Problem Lab II (0-2-1)

Preparation for the first Society of Actuaries (SOA) and Casualty Actuarial Society (CSA) professional examination, Exam P (Probability). Society approved calculators. Review exam logistics and exam-taking strategies.

Prerequisite: STAT 301

 AS 450 Risk Modeling (2-2-3)

Types of Risks faced by an organization; Risk Modelling, its evaluation and Analysis; Techniques used in quantifying financial and non-financial risks. Covers value at risk (VaR), extreme value theory (EVT), scenario and stress testing, risk aggregation techniques including use of correlation, integrated risk distributions and copulas. Approaches for managing risk.

Prerequisite: AS 201, STAT 214

 AS 460 Enterprise Risk Analysis (2-2-3)

Enterprise risk management (ERM) framework and process. Importance of the of ERM function. Risk Management tools and techniques. Capital Management. Data Issues. Application of risk Analytics, from risk identification to treatment, on six actuarial fellowship fields: (1) Retirement Benefits, (2) Individual Life and Annuities, (3) Group and Health, (4) Investment, (5) General Insurance, and (6) General Corporate ERM.

Prerequisite: AS 450

 AS 470 Models for Risk Managing Financial Options and Derivatives (2-2-3)

Option Greeks and Elasticity. Risk management techniques (with delta-hedging method). Properties of Options. Cash flow characteristics and pricing of exotic options (Asian, barrier, compound, gap, and exchange). Real Options. Diffusion process for stock prices.1-dimensional Itô's lemma. Interest rate models. Vasicek and Cox-Ingersoll-Ross bond price models. Black-Derman-Toy binomial model. Simulation of stock prices.

Prerequisite: AS 250, STAT 301

 AS 476 Survival Models for Actuaries (2-2-3)

Introduction to survival models. Estimation and testing of models with various types of survival data; Non-parametric Estimation (Kaplan-Meier, Nelson-Aalen). Parametric survival models. Regression models for survival data; proportional hazards and Cox regression model. Techniques for estimating mortality rates. Graduation. Model Selection. A statistical/actuarial computing software will be used.

Prerequisite: STAT 302, STAT 310

 AS 481 Actuarial Contingencies II (3-2-4)

A continuation of Life Contingencies I. Development is based on a stochastic approach to life insurance models. Major topics include benefit premiums and reserves, and multi-life and multiple-decrement models. Parallel treatment of topics based on Takaful system. Application of such area in life insurance and property.

Prerequisite: AS 380

 AS 484 Actuarial Risk Theory and Credibility (3-2-4)

Claims Distributions (Severity, frequency, and aggregate). Risk Measures. Aggregate loss models (individual and collective Risk models). Parametric model Estimation. Introduction to credibility theory (limited fluctuation, greatest accuracy, Buhlmann, Buhlman-Straub, Empirical Bayes models). Introduction to Simulation. A statistical/actuarial computing software will be used.

Prerequisite: STAT 302

 AS 490 Topics in Actuarial Science and Financial Mathematics I (3-0-3)

Variable content. Presents a special topic in Actuarial Science or various insurance fields parallel to advancements as recognized by the Society of Actuaries.

Prerequisite: Junior Standing

 AS 491 Topics in Actuarial Science and Financial Mathematics II (3-0-3)

Variable content. Presents a special topic in Financial Mathematics, Financial Modeling, or Enterprise Risk Management fields parallel to advancements as recognized by the Society of Actuaries.

Prerequisite: Junior Standing