Page 167 - FINAL_HANDBOOK_20242025

Faculty of Science Handbook, Academic Session 2024/2025

Premiums: expectation and
variance of loss random Efficient market hypothesis.
variable, fully continuous and
discrete premiums, Assessment:
semicontinuous premiums, m- Continuous Assessment: 40%
thly premiums, gross Final Examination: 60%
premiums, probabilities,
percentiles.
SIQ3003
Assessment: ACTUARIAL MATHEMATICS
Continuous Assessment: 40% II
Final Examination: 60%
Reserves: fully continuous and
discrete reserves,
SIQ3002 semicontinuous reserves,
PORTFOLIO THEORY AND prospective and retrospective
ASSET MODELS reserves, expense reserves,
variance of loss, special
Utility theory: Features of utility formulas, recursive formulas.
functions, expected utility
theorem, risk aversion. Markov Chains: discrete and
continuous Markov chains,
Stochastic dominance: Kolmogorov’s forward
Absolute, first and second equations, premiums and
order stochastic dominance. reserves using Markov chains,
multiple-state models.
Measures of investment risk:
Variance, semi-variance, Multiple Decrement Models:
probability of shortfall, value-at- discrete and continuous
risk, expected shortfall. decrement models, probability
Portfolio theory: Mean- functions, fractional ages,
variance portfolio, multiple and associated single
diversification, efficient frontier, decrement tables, uniform
optimal portfolio selection, assumption.
efficient portfolio identification.
Multiple Life Models: joint life,
Models of asset returns: last survivor and contingent
Single-index models, fitting a probabilities, moments and
single index model, multi-index variance of multiple life models,
models. multiple life insurances and
Asset Pricing Model: Capital annuities.
Asset Pricing Model, Arbitrage
Pricing Theory.

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