Page 87 - Handbook Bachelor Degree of Science Academic Session 20212022

Faculty of Science Handbook, Academic Session 2021/2022

SIQ3006 RISK THEORY
SIQ3009 PENSION MATHEMATICS
Loss distributions: Claim frequency and claim severity
distributions, creating new distributions, parameter Pension benefit: defined benefits, defined contributions
estimation methods, goodness-of-fit tests, risk sharing
arrangements. Valuation of pension plan: unit credit, entry age normal,
individual level, frozen initial liability, aggregate
Aggregate risk models: Individual risk models, collective risk
models, reinsurance. Ancillary benefits: disability pensions, survivor pensions,
death benefits, temporary early-retirement pensions and
Run-off triangle: Chain ladder method, average cost per severance benefits
claims method, Bornheutter-Ferguson method.
Asset valuations: market value, smoothed market values,
Credibility theory: Bayesian credibility methods, credibility group annuity contracts and individual life insurance
premium formula, empirical Bayes credibility theory. contracts.
Assessment: Actuarial assumptions: the Service Table, secondary
Continuous Assessment: 40% decrements, interest, inflation, and salary Increases.
Final Examination: 60%
Assessment:
References: Continuous Assessment: 40%
1. Klugman, S. A., Panjer, H. H., & Willmot, G. E. Final Examination: 60%
(2019). Loss models: from data to decisions (5th
Edition). John Wiley & Sons. References:
2. Cunningham, R. J. (2011). Models for quantifying 1. Anderson, A. W. (2006). Pension mathematics for
risk. Actex Publications actuaries, (3rd Edition). Actex Publications.
3. Dickson, D. (2010). Insurance Risk and Ruin. 2. Booth, P., Chadburn, R., Haberman, S., James, D.,
Cambridge University Press Khorasanee, Z., Plumb, R. (2005). Modern Actuarial
4. Tse, Y. K. (2009). Nonlife actuarial models: theory, Theory and Practice, (2nd Edition). CRC Press.
methods and evaluation. Cambridge University 3. Aitken, W. H. (1996), A Problem-Solving Approach to
Press. Pension Funding and Valuation, (2nd Edition). Actex
Publications.
SIQ3007 INDUSTRIAL TRAINING 4. Dickson, D. C., Hardy, M. R., & Waters, H. R. (2020).
Actuarial mathematics for life contingent risks, (3rd
Candidates are required to spend a minimum of 16 weeks Edtion). Cambridge University Press.
working with selected companies in selected areas of 5. Micocci, M., Gregoriou, G. N., & Masala, G. B. (Eds.).
industry. (2010). Pension Fund Risk Management: financial
and actuarial modeling. CRC Press.
Assessment: 6. Allen, E., Melone, J., Rasenbloom, J., & Mahoney D.
Continuous Assessment: 100% (2017). Retirement Plans: 401(k)s, IRAs, and Other
Deferred Compensation Approaches, (12th Edition).
References: McGraw-Hill Education.
Universiti Malaya Guidebook untuk Latihan Industri
SIQ3008 FOUNDATION OF ISLAMIC FINANCE SIQ3010 SURVIVAL MODELS

Introduction to Islamic finance and its practices; Riba, gharar Estimation of lifetime distributions: lifetime distributions,
and maisir; Musharkah, mudharabah and murabahah; cohort studies, censoring, Kaplan-Meier estimates, Cox
Ijarah, salam and istisna’; Çomparison of Islamic and regression model and its estimation.
conventional financial systems; Islamic financial institutions
and products, Islamic banking and takaful, Islamic Markov models: Multi-state Markov models, Kolmogorov
investment instruments; Capital market in an Islamic forward equations, estimation of the force of mortality,
framework, leasing, securitization and sukuk; Modeling estimation of multi-state model transition intensities.
Islamic financial products using mathematical software;
Regulatory framework for Islamic financial institutions in Binomial and Poisson models of mortality: Binomial model of
Malaysia. mortality, uniform and constant force of mortality
assumptions, maximum likelihood estimator for the rate of
Assessment: mortality, Poisson models.
Continuous Assessment: 40%
Final Examination: 60% Graduation and statistical tests: methods of graduating
crude estimates, Chi-square test, standardised deviation
References: test, sign test, grouping of sign test, serial correlations test.
1. Taqi Usmani, M. (2004). An introduction to Islamic
finance. Arham Shamsi. Exposed to risk: Exact exposed to risk, approximate
2. El-Gamal, M. A. (2006). Islamic finance: Law, exposed to risk using census data.
economics, and practice. Cambridge University
Press. Assessment:
3. Iqbal, Z., & Mirakhor, A. (2011). An introduction to Continuous Assessment: 40%
Islamic finance: theory and practice. Vol. 687. John Final Examination: 60%
Wiley & Sons.
4. Mirakhor, A., & Krichene, N. (2014). Introductory
Mathematics and Statistics for Islamic Finance. John
Wiley & Sons.
5. Habib, S. F. (2018). Fundamentals of Islamic Finance
and Banking. John Wiley & Sons.
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