ACTSC 600s


ACTSC 611 Financial Mathematics I (0.50) LEC,TUTCourse ID: 013389
Time value of money; simple and compound interest and discount; real returns; equations of value; loan schedules; valuation of fixed coupon bonds; valuation of real return bonds; term structure of interest rates; no arbitrage pricing; valuation of forward contracts; binomial option valuation. Duration and Immunization
Department Consent Required

ACTSC 612 Life Insurance Mathematics I (0.50) LEC,TUTCourse ID: 013390
Models for future lifetime; insurance and annuity functions; life tables and their use; future loss random variable for a contract; calculations of premiums and reserves; standard international actuarial notation.
Department Consent Required

ACTSC 613 Statistics for Actuarial Science (0.50) LEC,TUTCourse ID: 013391
Discrete and continuous random variables; generating functions; dependence; maximum likelihood estimation, functions of random variables; confidence intervals, hypothesis tests; condition expectation; compound distributions.
Department Consent Required

ACTSC 614 Corporate Finance (0.50) LEC,TUTCourse ID: 013392
Agency theory; investment decisions; long-term financing and cost of capital; principles of taxation; financial reporting; assessment of capital investment projects.
Department Consent Required

ACTSC 615 Economics (0.50) LEC,TUTCourse ID: 013393
Micro: Supply and demand; utility theory and risk aversion; production choices; competition; Macro: Fiscal and monetary policy; exchange rates; factors affecting inflation, unemployment, exchange rates and economic growth; introductory game theory; introduction to insurance economics.
Department Consent Required

ACTSC 621 Financial Mathematics II (0.50) LEC,TUTCourse ID: 013406
Mean-Variance portfolio theory; Capital-Asset Pricing Method, Arbitrage Pricing Theory, Efficient Markets Hypotheses; Capital structure and dividend policy.
Department Consent Required
Prereq: Open to Master of Actuarial Science students only

ACTSC 622 Life Insurance Mathematics II (0.50) LEC,TUTCourse ID: 013395
Multiple state models; premiums and reserves for stat dependent policies, including joint life and last survivor benefits; cashflow projection methods; deterministic, stochastic and stress testing; embedded options; introduction to pension valuation and funding.
Department Consent Required
Prereq: Open to Master of Actuarial Science students only

ACTSC 623 Applied Statistics (0.50) LEC,TUTCourse ID: 013396
Generalized linear models: multiple linear regression and normal linear model; exponential family; link functions; linear predicators; estimation; testing. Time series: Univariate ARIMA; multivariate AR; applications to economic series.
Department Consent Required
Prereq: Open to Master of Actuarial Science students only

ACTSC 624 Stochastic Processes for Actuarial Science (0.50) LEC,TUTCourse ID: 013397
Counting processes; Markov processes and Kolmogorov equations; Brownian motion and geometric Brownian motion; Ito's lemma Monte Carlo simulation.
Department Consent Required
Prereq: Open to Master of Actuarial Science students only

ACTSC 625 Casualty and Health Insurance Mathematics (0.50) LEC,TUTCourse ID: 013398
Frequency and severity models; compound distributions, calculation of moments and probabilities using recursion; Bayesian estimation and credibility; claims reserving for non-life insurance using run-off triangle methods, introductory ruin theory.
Department Consent Required
Prereq: Open to Master of Actuarial Science students only

ACTSC 631 Financial Mathematics III (0.50) LEC,TUTCourse ID: 013399
Risk measures, Binomial and lattice models for option pricing, Black-Scholes option pricing; term structure models. Credit risk; types of models and types of derivatives.
Department Consent Required
Prereq: Open to Master of Actuarial Science students only

ACTSC 632 Life Insurance Mathematics III (0.50) LEC,TUTCourse ID: 013400
Estimation for lifetime models; estimation for multiple state modes. Graduation. Mortality projection using the Lee Carter model. MLE for Markov multiple state models.
Department Consent Required
Prereq: Open to Master of Actuarial Science students only

ACTSC 633 Actuarial Risk Management (0.50) LEC,TUTCourse ID: 013401
The Actuarial Profession. The Actuarial Control Cycle Impact of Regulation. Consumer needs. Assessing risk. Modeling. Monitoring Experience. Pricing and reserving in life and non-life insurance.
Department Consent Required
Prereq: Open to Master of Actuarial Science students only

ACTSC 634 Quantitative Risk Management (0.50) LEC,TUTCourse ID: 013402
Enterprise Risk management. Pricing and valuation. Economic and regulatory capital. Solvency. Investment management.
Department Consent Required
Prereq: Open to Master of Actuarial Science students only

ACTSC 635 Profession Communications in Actuarial Science (0.50) LEC,TUTCourse ID: 013403
Elements of writing. Written project on an advanced topic, with a communications focus. Presentations: preparation and delivery.
Department Consent Required
Prereq: Open to Master of Actuarial Science students only

ACTSC 690 Literature & Research Studies (0.50) RDGCourse ID: 009455
Instructor Consent Required

ACTSC 800s


ACTSC 831 Loss Models 1 (0.50) LEC,TUTCourse ID: 000071
Models for loss severity: parametric models, effect of policy modifications; tail behabiour. Models for loss frequency: (a,b,0), (a,b,1), mixed Poisson models; compound Poisson models. Aggregate claims models: moments and moment generating function: recursion. Classical ruin theory.
Antirequisite: ACTSC 431

ACTSC 832 Loss Models 2 (0.50) LECCourse ID: 000072
Credibility theory: limited fluctuation; Bayesian; Buhlmann; Buhlmann-Straub; empirical Bayes parameter estimation statistical inference for loss models; maximum likelihood estimation; effect of policy modifications; model selection.
Antirequisite: ACTSC 432

ACTSC 833 Analysis of Mortality Data (0.50) LECCourse ID: 000073
The Mathematics of Survival Models, some examples of parametric survival models. Tabular survival models, estimates from complete and incomplete data samples. Parametric survival models, determining the optimal parameters. Maximum likelihood estimators, derivation and properties. Product limit estimators, Kaplan-Meier and Nelson Aalen. Practical aspects.
Antirequisite: ACTSC 433

ACTSC 845 Asset-Liability Management (0.50) LEC,TUTCourse ID: 010064
Duration analysis and immunization. Portfolio selection. Interest rate derivative securities and their applications in asset-liability management. Stochastic investment modelling for actuarial applications.
Antirequisite: ACSTC 445

ACTSC 846 Mathematical Models in Finance (0.50) LEC,TUTCourse ID: 011270
Mathematical techniques used to price and hedge derivative securities in modern finance. Modelling, analysis and computations for financial derivative products, including exotic options and swaps in all asset classes. Applications of erivatives in practice.
Antirequisite: STAT 446; ACTSC 446

ACTSC 853 Basic Pension Mathematics (0.50) LECCourse ID: 000076
Theory and practice of pension plan funding. Assumptions, basic actuarial functions and population theory applied to private pensions. Concepts of normal costs, supplemental liability, unfunded liability arising from individual accrued benefit and projected benefit cost methods.
Antirequisite: ACTSC 453

ACTSC 855 Advanced Life Insurance Practice (0.50) LECCourse ID: 000078
Cash flow projection methods for pricing, reserving and profit testing, deterministic, stochastic and stress testing; pricing and risk management of embedded options in insurance products; mortality and maturity guarantees for equity-linked life insurance.

ACTSC 862 Introduction to Property and Casualty Pricing (0.50) LECCourse ID: 011273
An introduction ot property/casualty rate making. The economics of insurance. The ratemaking process. Individual risk rating. Reinsuance, expense issues. Pricing for dedutibles and increased limits.
Antirequisite: ACTSC 462

ACTSC 863 Introduction fo Property and Casuality Loss Reserving (0.50) LECCourse ID: 000080
An introduction to property/casualty loss reserving techniques. Claim payment process. Chain-ladder methods, Stochastic models.

ACTSC 900s


ACTSC 936 Longitudinal Data Analysis (0.50) LECCourse ID: 013085
This course is designed to teach students the appropriate techniques for analyzing data that is collected over time. This data could arise from biomedical, population public health studies as well as finance and actuarial science applications. The course will teach how to recognize the added complexity of longitudinal data versus the univariate response data which is typically seen in introductory and generalized linear model courses. The course emphasizes the importance of the covariance structure for longitudinal responses. The students will study the difference between subject-specific and population-averaged models and how to recognize problems where one or the other approach might be more appropriate. They will be expected to use statistical software in applications in order to analyze longitudinal data.
Prerequisite: STAT 431/831 and STAT 330

ACTSC 961 Mathematical Methods of Loss Reserving (0.50) LECCourse ID: 000082
Macro methods of runoff analysis: chain-ladder, least squares, separation, payment per claim incurred. Stochastic methods: Reid's method, see-saw, payment per unit of risk, autoregressive models, Kalman filter.

ACTSC 963 Ruin and Queuing Theory (0.50) LECCourse ID: 011274
Probabilistic aspects of various ruin theoretic models (which may also be viewed as queuing models) to describe the surplus process of a portfolio of business will be considered. The common underlying theme of these models involves compound geometric distributions and their many and varied properties. The results may often be applied with little modification ot equilibrium waiting time distributions in various single server queues.

ACTSC 964 Insurance Solvency (0.50) LECCourse ID: 011275
This course explores the ways that insurers and regulators in different countries try to monitor and control solvency. In particular we consider the efficacy of different regimes, as well as the effect on product design and pricing. Companies may use different methods to assess their own insolvency risk. We will consider how internal assessment of solvency may differ from the regulator's assessment, and we will look at how insurers try to manage the insolvency risk using asset-liability modelling and financial risk management. Solvency assessment may take a whole company perspective, or may be considered by individual product portfolios and both approaches will be discussed. A substantial element of the course will be a review of some of the recent research in this area. Although the emphasis will be on life insurance, we will also look at the methods and problems associated with non life business.

ACTSC 965 Extreme Value Theory (0.50) LECCourse ID: 011276
Ruin Theory for heavy-tailed distributions. Fluctuation of maxima and upper order statistics. Extreme value distributions: Weibull, Frechet, Gumbel and generalized Pareto. Mean excess function. Statistical methods for external events. Estimation of parameters of extreme value and excess distributions. Applications in finance and insurance.

ACTSC 966 Aggregate Claims Models (0.50) LECCourse ID: 011686
Mixed Poisson and nonhomogeneous birth processes for claim counts; analytic, recursive, asymptotic and approximate evaluation of compound distributions for aggregate claims; reliability concepts and analysis of stop-loss moments; applications for inflation, incurred but not reported claims, and infinite server queues.
Prerequisite: ACTS431/ACTS831

ACTSC 970 Finance 1 (0.50) LECCourse ID: 000044
(Cross-listed with ACC 770)
Current paradigms in the theory of finance and the supporting empirical evidence.

ACTSC 971 Finance 2 (0.50) LECCourse ID: 000045
(Cross-listed with ACC 771)
This course deals with stochastic interest rate models in both discrete time and continuous time. It also covers the theory and practice of instruments such as options, futures, derivative securities and other complex financial instruments.

ACTSC 972 Finance 3 (0.50) LECCourse ID: 000046
(Cross-listed with ACC 772)
This course covers topics in the pricing and valuation of derivative securities. It focuses on the underlying theoretical models and examines applications to contemporary finance problems.

ACTSC 973 Portfolio Optimization (0.50) LECCourse ID: 011622
(Cross-listed with CO 778)
Basic optimization: quadratic minimization subject to leanear equality constraints. Effecient portfolios: the efficient frontier, the capital market line, Sharpe ratios and threshold returns. Practical portfolio optimization: short sales restrictions target portfolios, transactions costs. Quadratic programming theory. Special purpose quadratic programming algorithms for portfolio optimization: today's large investment firms expect to solve problems with at least 1000 assets, transactions costs and various side constraints in just a few minutes of computation time. This requires very specialized QP algorithms. An overview of such algorithms will be presented with computational results from commercial problems. The efficient frontier, the capital market line, Sharpe ratios and threshold returns in practice.

ACTSC 974 Financial Econometrics (0.50) LECCourse ID: 014063
(Cross-listed with STAT 974)
The focus of this course is on the statistical modelling, estimation and inference and forecasting of nonlinear financial time series, with a special emphasis on volatility and correlation of asset prices and returns. Topics to be covered normally include: review on distribution and dynamic behaviour of financial time series, univariate and multivariate GARCH processes, long-memory time-series processes, stochastic volatility models, modelling of extreme values, copulas, realized volatility and correlation modelling for ultra high frequency data and continuous time models.

ACTSC 980 Social Insurance (0.50) LECCourse ID: 000083
Review of the history and present status of the major Canadian Social Insurance systems such as CPP, Medicare, UIC and OAS. Possible future developments. Costing problems and trends. Financing, past, present and future.

ACTSC 991 Topics in Actuarial Science (0.50) LECCourse ID: 000085
Instructor Consent Required
1 Finance 1
2 Finance 3
3 Aggregate Claims Models
4 Enterprise Risk Management
5 Comptatnl Method in Ruin Thry
6 Surplus Processes Ruin Theory
7 Credit Derivative Securities
8 Stoch Modelling Insurance&Fin
9 Dependence in ruin theory
10 Stoch Modelling Insurance&Fin
11 Pension Reform Issues
12 Risk Selection
13 Health and Life Insurance
14 Monte Carlo for Fin,Insur&Stat
15 Pricing catastrophe risk
16 Managing Longevity Risk
17 Quantitative Risk Management
18 Copulas & Dependence Modeling

ACTSC 992 Seminar in Actuarial Science (0.50) SEMCourse ID: 000093
Instructor Consent Required