Page 145 - FULL FINAL HANDBOOK 20232024

Faculty of Science Handbook, Academic Session 2023/2024

Asset Pricing Model: Capital Asset Pricing Model, SIQ3005 LIFE INSURANCE AND TAKAFUL
Arbitrage Pricing Theory.
Insurance products and unit-linked insurance; Group Life
Efficient market hypothesis. insurance; Operation of a Life Insurance company:
underwriting, claims, marketing and distribution
Assessment: methods; Profit testing; Takaful insurance; Regulations:
Continuous Assessment: 40% Insurance Act, taxation and role of Bank Negara in
Final Examination: 60% Insurance Industry.
Assessment:
Continuous Assessment: 40%
SIQ3003 ACTUARIAL MATHEMATICS II Final Examination: 60%
Reserves: fully continuous and discrete reserves,
semicontinuous reserves, prospective and retrospective
reserves, expense reserves, variance of loss, special SIQ3006 RISK THEORY
formulas, recursive formulas.
Loss distributions: Claim frequency and claim severity
Markov Chains: discrete and continuous Markov chains, distributions, creating new distributions, parameter
Kolmogorov’s forward equations, premiums and estimation methods, goodness-of-fit tests, risk sharing
reserves using Markov chains, multiple-state models. arrangements.
Multiple Decrement Models: discrete and continuous Aggregate risk models: Individual risk models, collective
decrement models, probability functions, fractional ages, risk models, reinsurance.
multiple and associated single decrement tables,
uniform assumption. Run-off triangle: Chain ladder method, average cost per
claims method, Bornheutter-Ferguson method.
Multiple Life Models: joint life, last survivor and
contingent probabilities, moments and variance of Credibility theory: Bayesian credibility methods,
multiple life models, multiple life insurances and credibility premium formula, empirical Bayes credibility
annuities. theory.
Assessment: Assessment:
Continuous Assessment: 40% Continuous Assessment: 40%
Final Examination: 60% Final Examination: 60%
SIQ3004 MATHEMATICS OF FINANCIAL SIQ3007 INDUSTRIAL TRAINING
DERIVATIVES
Candidates are required to spend a minimum of 16
Introduction to derivatives: Call and put options, weeks working with selected companies in selected
forwards, futures, put-call parity. areas of industry.
Binomial models: one-step model, arbitrage, upper and Assessment:
lower bounds of options prices, construction of multi-step Continuous Assessment: 100%
binomial tree.
The Black-Scholes model: Pricing formula, options
Greeks, trading strategies, volatility. SIQ3008 FOUNDATION OF ISLAMIC FINANCE
Hedging: Market making, delta hedging, Black-Scholes Introduction to Islamic finance and its practices; Riba,
partial differential equation, delta-gamma-theta gharar and maisir; Musharkah, mudharabah and
approximation. murabahah; Ijarah, salam and istisna’; Çomparison of
Islamic and conventional financial systems; Islamic
Exotic options: Asian options, barrier options, compound financial institutions and products, Islamic banking and
options, gap options, all-or-nothing options, exchange takaful, Islamic investment instruments; Capital market
options. in an Islamic framework, leasing, securitization and
sukuk; Modeling Islamic financial products using
Brownian motion and Itô’s lemma: Brownian motion, Itô’s mathematical software; Regulatory framework for
lemma, Sharpe ratio, martingale representation Islamic financial institutions in Malaysia.
theorem,
Assessment:
Term structure of interest rate: Vasicek model, Cox- Continuous Assessment: 40%
Ingersoll-Ross model, Black-Derman-Toy binomial tree. Final Examination: 60%
Models for credit risk: Structural, reduced form and
intensity based models, Merton model, valuing credit
risky bonds. SIQ3009 PENSION MATHEMATICS
Assessment: Pension benefit: defined benefits, defined contributions
Continuous Assessment: 40%
Final Examination: 60% Valuation of pension plan: unit credit, entry age normal,
individual level, frozen initial liability, aggregate
Ancillary benefits: disability pensions, survivor pensions,
death benefits, temporary early-retirement pensions and
severance benefits
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