Page 167 - FINAL_HANDBOOK_20252026
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Faculty of Science Handbook, Academic Session 2025/2026
Annuities: annuity immediate, annuity due, Premiums: expectation and variance of loss
perpetuity, m-thly annuity, continuous type random variable, fully continuous and
annuity, deferred annuities, varying discrete premiums, semicontinuous
annuities. premiums, m-thly premiums, gross
Loans: Amortization, sinking funds, premiums, probabilities, percentiles.
amortization with continuous payments.
Assessment:
Bonds: Types of bonds, pricing formula, Continuous Assessment: 40%
callable and serial bonds, other securities. Summative Assessment: 60%
Cash flows: Discounted cash flows, internal SIQ3002
rate of return, money-weighted and time PORTFOLIO THEORY AND ASSET MODELS
weighted rate of return.
Utility theory: Features of utility functions,
Term Structure of Interest Rate: Yield expected utility theorem, risk aversion.
curves, spot and forward rates, duration,
convexity, immunization. Stochastic dominance: Absolute, first and
second order stochastic dominance.
Introduction to Derivatives: Forward and
futures, short and long positions, arbitrage, Measures of investment risk: Variance,
put and call options, interest rate and semi-variance, probability of shortfall,
currency swaps, put-call parity, hedging. value-at-risk, expected shortfall.
Portfolio theory: Mean-variance portfolio,
Assessment: diversification, efficient frontier, optimal
Continuous Assessment: 40% portfolio selection, efficient portfolio
Summative Assessment: 60% identification.
SIQ3001 Models of asset returns: Single-index
ACTUARIAL MATHEMATICS I models, fitting a single index model, multi-
index models.
Survival distributions: lifetime probability Asset Pricing Model: Capital Asset Pricing
functions, force of mortality, moments and Model, Arbitrage Pricing Theory.
variance, parametric survival models,
percentiles, recursions, fractional ages, Efficient market hypothesis.
select and ultimate life tables.
Assessment:
Life Insurances: continuous type life Continuous Assessment: 40%
insurances, discrete type life insurances, Summative Assessment: 60%
probabilities, percentiles, recursive
formula, m-thly payments, varying SIQ3003
insurance. ACTUARIAL MATHEMATICS II
Life Annuities: continuous type life Reserves: fully continuous and discrete
annuities, discrete type life annuities, reserves, semicontinuous reserves,
expectation and variance, probabilities, prospective and retrospective reserves,
percentiles, recursive formulas, m-thly expense reserves, variance of loss, special
payments, varying annuities. formulas, recursive formulas.
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