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Faculty of Science Handbook, Session 2017/2018

Exotic options: Asian options, barrier options, compound Aggregate risk models: Individual risk models, collective
options, gap options, all-or-nothing options, exchange risk models, reinsurance.
options.
Run-off triangle: Chain ladder method, average cost per
Brownian motion and Itô’s lemma: Brownian motion, Itô’s claims method, Bornheutter-Ferguson method.
lemma, Sharpe ratio, martingale representation theorem
Credibility theory: Bayesian credibility methods, credibility
Term structure of interest rate: Vasicek model, Cox- premium formula, empirical Bayes credibility theory.
Ingersoll-Ross model, Black-Derman-Toy binomial tree
Assessment:
Models for credit risk: Structural, reduced form and intensity Continuous Assessment: 40%
based models, Merton model, valuing credit risky bonds Final Examination: 60%
Assessment: Medium of Instruction:
Continuous Assessment: 40% English
Final Examination: 60%
Humanity Skill:
Medium of Instruction: CS2, CT3
English
References:
Humanity Skill: 1. Klugman, S. A., Panjer, H. H., & Willmot, G. E. (2012).
CS3, CT3 Loss models: from data to decisions (Vol. 715). John
Wiley & Sons.
References: 2. Cunningham, R. J. (2011). Models for quantifying risk.
1. McDonald, R. L. (2013). Derivatives Markets, (3 rd Actex Publications.
Edition); Pearson Education. 3. Dickson, D. (2010). Insurance Risk and Ruin.
2. McDonald, R. L. (2009). Fundamentals of Derivatives Cambridge University Press.
Markets; Pearson Education. 4. Tse, Y. K. (2009). Nonlife actuarial models: theory,
3. Hull, J. C. (2012). Option, Futures and other methods and evaluation. Cambridge University Press.
th
Derivatives (8 Edition): Pearson Education.
4. Hull, J. C. (2014). Fundamentals of Futures and
th
Options Markets (8 Edition); Pearson Education. SIQ3007 INDUSTRIAL TRAINING
5. Weishaus, A. (2012). ASM Study manual for Exam
th
MFE/Exam 3F: Financial Economics (8 Edition). Subject to the training offered by the relevant company.
Assessment:
SIQ3005 LIFE INSURANCE AND TAKAFUL Continuous Assessment: 100%
Insurance products and unit-linked insurance; Group Life Medium of Instruction:
insurance; Operation of a Life Insurance company: English
underwriting, claims, marketing and distribution methods;
Profit testing ; Takaful insurance; Regulations: Insurance Humanity Skill:
Act, taxation and role of Bank Negara. CS4, CT3, TS3, LL2, KK1, EM2, LS1

Assessment:
Continuous Assessment: 40% SIQ3008 PENSION MATHEMATICS
Final Examination: 60%
Economic and social security; Pensions and their variants;
Medium of Instruction: Pension system in Malaysia; Employee Provident Fund
English (EPF); Social Security Organization (SOCSO); Government
pension scheme; Annuity scheme; Modeling pension plans
Humanity Skill: using mathematical software; International pension
CS2, CT1, LL2 legislation and regulation; Malaysia regulatory framework
related to retirement.
References:
1. Fisher, Omar Clark (2013). A Takaful Primer: Basics of Assessment:
Islamic Insurance. Thomson Reuters. Continuous Assessment: 50%
2. Archer, S., Karim, R. A. A., & Nienhaus, V. (Eds.). Final Examination: 50%
(2011). Takaful Islamic Insurance: Concepts and
Regulatory Issues (Vol. 764). John Wiley & Sons. Medium of Instruction:
3. Yusof, Mohd Fadzli (2006). Mengenali Takaful, IBS English
Buku Sdn Bhd.
4. Gonulal, S. O. (Ed.). (2012). Takaful and Mutual Humanity Skill:
Insurance: Alternative Approaches to Managing Risks. CS3, CT3
World Bank Publications.
References:
1. Anderson, A. W. (2006). Pension mathematics for
SIQ3006 RISK THEORY actuaries. Actex Publications.
2. Asher, M. G. (1994). Social Security in Malaysia and
Loss distributions: Claim frequency and claim severity Singapore: Practices, Issues, and Reform Directions.
distributions, creating new distributions, parameter
estimation methods, goodness-of-fit tests, risk sharing Institute of Strategic and International Studies,
arrangements. Malaysia.
3. Bakar, S. H. A., & Yunus, F. (2000). Social security
policies in Malaysia: the Employees’ Provident Fund

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