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ST345: Life Contingencies

Lecturer(s)

Dr Murray Pollock

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

Prerequisite(s)/corequisite: ST202 Stochastic Processes, ST334 Actuarial Methods

Commitment: 4 lectures per week, including example class. This module runs in Term 2.

Content:

  • Simple assurance and annuities, and their evaluation.
  • Net premiums and reserves.
  • Variable benefits and annuities.
  • Gross premiums and reserves for fixed and variable benefit contracts.
  • Annuities and assurances involving two lives.
  • Multiple state models, including multiple decrements.
  • Cashflow projection techniques.
  • Factors affecting mortality; selection and standardisation.

Aims: : To cover the syllabus required for the Institute and Faculty of Actuaries (IFOA) exam "CT5 Contingencies".

Objectives: To provide a grounding in the mathematical techniques which can be used to model and value cashflows dependent on death, survival, or other uncertain risks.

To meet the syllabus requirements given by the IFOA for CT5, considerable additional work will be set in class, which won’t be covered in class, but may nonetheless be examinable.

Bibliography: Core Reading for the 2018 exams - CT5 Contingencies. Institute and Faculty of Actuaries (2018) [Available for purchase from the Undergraduate Support Office].; Formulae and Tables for Examinations of the Faculty of Actuaries and the Institute of Actuaries. Institute of Actuaries and Faculty of Actuaries (2002) [Available on loan from the Undergraduate Support Office].; Dickson, D.C., Hardy, M., Hardy, M.R. and Waters, H.R.. Actuarial mathematics for life contingent risks. Cambridge University Press, Second edition (2013).; Dickson, D.C., Hardy, M., Hardy, M.R. and Waters, H.R.. Solutions manual for actuarial mathematics for life contingent risks. Cambridge University Press, Second edition (2013).; Turnbull, C.. A History of British Actuarial Thought. Palgrave Macmillan (2017).

Assessment: Two-hour examination (70%) and two one-hour class tests (15% each).

Feedback: Feedback on class test 1 will be returned after two weeks. Feedback on class test 2 will be returned after three weeks.