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ST334 Actuarial Methods

Lecturer(s): Dr Gechun Liang

Important: This module is only available to students on four year degrees MMORSE and MMathStat in the Department of Statistics.

New for 19/20: BSc students with their home department in Statistics are permitted to take this module if they have permission from all relevant parties via an Unusual Option form.

Prerequisite(s): ST218/219 Mathematical Statistics A&B

This module runs in Term 1.

Commitment: This will be a reading course based on handouts; there will be a one two-hour session every week.

Content:

  • Interest rates and discount rates.
  • Equations of value and compound interest calculations.
  • Discounted cash flow.
  • Types of investment.
  • Concept of arbitrage.
  • Introduction to the term structure of interest rates.
  • Stochastic interest rate models.

Aims: To cover the syllabus for Actuarial CT1

Objectives: At the end of the course, students will:

  • be familiar with basic financial terminology and be able to understand the financial press.
  • be able to carry out basic financial calculations.

Leads to: Knowledge of basic financial terminology necessary for several other modules.

Assessment: 3 one-hour class tests (each 15%) with 2-hour examination in January (55%).

Deadline: Class Test 1: week 4, Class Test 2: week 7 and Class Test 3: week 10.

Feedback: Feedback on class tests will be returned after 2 weeks, following each test. The results of the January examination will be available in week 10 of term 2.

Examination Period: January