Department of
MATHEMATICS






Syllabus for
Master of Science (Actuarial Science)
Academic Year  (2019)

 
1 Semester - 2019 - Batch
Paper Code
Paper
Hours Per
Week
Credits
Marks
MAS131 FINANCIAL MATHEMATICS - I 4 4 100
MAS132 ACTUARIAL STATISTICS - I 4 4 100
MAS133 MANAGERIAL ECONOMICS 4 4 100
MAS134 CORPORATE FINANCE AND FINANCIAL REPORTING - I 4 4 100
MAS135 FINANCIAL MARKETS AND SERVICES 4 4 100
2 Semester - 2019 - Batch
Paper Code
Paper
Hours Per
Week
Credits
Marks
MAS231 FINANCIAL MATHEMATICS - II 4 4 100
MAS232 ACTUARIAL STATISTICS - II 4 4 100
MAS233 ACTUARIAL MODELING - I 4 4 100
MAS234 CORPORATE FINANCE AND FINANCIAL REPORTING - II 4 4 100
MAS235 LIFE INSURANCE AND PENSIONS 4 4 100
3 Semester - 2018 - Batch
Paper Code
Paper
Hours Per
Week
Credits
Marks
MAS331 FINANCIAL ECONOMICS - I 4 4 100
MAS332 GENERAL AND HEALTH INSURANCE 4 4 100
MAS333 LIFE CONTINGENCIES - I 4 4 100
MAS334 STATISTICAL METHODS AND MODELS 4 4 100
MAS335 ACTUARIAL MODELING - II 4 4 100
4 Semester - 2018 - Batch
Paper Code
Paper
Hours Per
Week
Credits
Marks
MAS431 LIFE CONTINGENCIES - II 4 4 100
MAS432 ENTERPRISE RISK MANAGEMENT 4 4 100
MAS433 FINANCIAL ECONOMICS - II 4 4 100
MAS434 RESEARCH METHODOLOGY 4 4 100
MAS451 ACTUARIAL APPLICATIONS USING EXCEL AND VBA MACROS 4 4 100
        

  

Assesment Pattern

PERCENTAGE

GRADE

GRADE POINT

INTERPRETATION

CLASS

75 & Above

   A+

  4.0

OUTSTANDING

DISTINCTION

70 --- 75

   A

  3.5

EXCELLENT

FIRST CLASS

65 --- 69

   B +

  3.0

VERY GOOD

FIRST CLASS

60 --- 64

   B

  2.5

GOOD

FIRST CLASS

55 --- 59

   C +

  2.0

AVERAGE

SECOND CLASS

50 --- 54

   C

  1.5

SATISFACTORY

SECOND CLASS

40 --- 49

   C -

  1.0

EXEMPTED WITH 50% AGGREGATE

PASS CLASS

39 & Below

   F

    0

Fail

Fail

 

Minimum marks required for passing ESE shall be as under:

SEMESTER I to IV: 40% per paper Aggregate Average 50%

 

Examination And Assesments

The applicable evaluations are CIA-1, CIA –2 (based on Mid-Sem examination), and CIA –3 based on internals.

Pattern of End Semester Examination question paper for 100 marks of 3 hours’ duration will be as follows:

There will be six questions, each carrying twenty marks, out of which any five has to be answered.  

Department Overview:
Department of Professional Studies (DPS) offers some of the most unique and inter-disciplinary courses in the field of commerce and management. It was established in the year 2002 as Centre for Career Advancement (CCA), and later upgraded to Department of Professional Studies in 2007. The department aims at professional training for wider career opportunities. This is achieved through value enhancement programmes (Add-on courses and programmes) along with the academic degrees to equip the students to meet the challenges and prospects of contemporary academia and the corporate sector. All courses of the department are conducted by academicians and highly qualified practicing professionals
Mission Statement:
Vision- To develop into a centre of excellence in education, training and research in the field of commerce and management Mission- To impart holistic education through state-of-the-art technology with the aim of producing professionals in the field of commerce and management, and also to launch new programmes to bridge the gap between academia and the corporate sector by meeting stakeholder requirements.
Introduction to Program:
M Sc Actuarial Science is designed to give candidates from quantitative, commerce and Economic backgrounds an opportunity to launch their careers in Actuarial Science. It is a discipline that applies Mathematical and Statistical methods to assess risk in the insurance and financial industries. This course provides a solid foundation in the core principles and techniques of Actuarial Science. MSc Actuarial Science is a two-year postgraduate course spread over four semesters comprising modules on Financial Mathematics, Actuarial Statistics, Insurance and Economics. The course covers key areas in global business with in-depth coverage of Risk Management opening a plethora of opportunities in the insurance and global investment sectors. The course is dedicated towards dealing with real-world scenarios and application of the analytical process that students are trained for; practical application, case studies and market analysis with experts guiding individuals will be an important aspect of the learning process. A qualified person in MSc actuarial science would be having a basic foundation and a solid platform from which they can proceed to becoming an actuary. They can use their quantitative skills to analyze data from the past and present, in order to predict the future and help others make prudent and intelligent financial decisions.
Program Objective:
Important objectives of the program ? M.Sc Actuarial Science are as follows: a. To provide specialized skills in the field of Actuarial Science. b. To create professional competence to take up independent positions in the areas of Life Insurance, General Insurance, pension, Investment etc. c. To inculcate initiative and professional outlook in students for better industry acceptance. d. To create higher levels of specialized career opportunities. A qualified person in M.Sc Actuarial Science would have a basic foundation and a solid platform from which they can proceed to becoming an actuary. They can use their quantitative skills to analyze data from the past and present, in order to predict the future and help others make prudent and intelligent financial decisions. They can work for the insurance sector viz. Life, Health, Property and General Insurance Companies, as well as for consulting firms, government agencies, banks, accounting firms, industrial corporations and financial service companies.

MAS131 - FINANCIAL MATHEMATICS - I (2019 Batch)

Total Teaching Hours for Semester:60
No of Lecture Hours/Week:4
Max Marks:100
Credits:4

Course Objectives/Course Description

 

The Master of Science in Actuarial Science program is designed to prepare students to pursue careers in quantitative finance. The aim of the Financial Mathematics course is to provide grounding in Financial Mathematics and their applications. 

Learning Outcome

This subject will train the students and enhance them to compete and excel in the Institute of Actuaries exam for CT1.

Unit-1
Teaching Hours:15
Time value of money and Interest rates
 

Time value of money - Simple interest, compound interest, depreciation, investing over a period. Cash flow models – Zero coupon bonds, fixed interest securities, index linked securities, equity, annuity, an interest on loan, repayment loan, examples of cash flow scenarios. Interest rates - Nominal rate, effective rate and force of interest. 

Unit-2
Teaching Hours:15
Level annuities
 

Immediate and due Annuities - Present values and future values of an annuity - payments made in arrear, payment made in advance, perpetuities. Discounting and accumulation - Present value and accumulated value of a stream of payments using specified interest rates, net present value and deferred annuities.

Unit-3
Teaching Hours:15
Varying annuities
 

Increasing annuity immediate, increasing annuity due, decreasing annuity immediate, decreasing annuity due, annuity relationships, continuously payable annuity, continuously varying annuities - continuously increasing annuity and continuously decreasing annuity.

Unit-4
Teaching Hours:15
Project appraisal
 

Equation of value and the yield, project appraisals – net present value, internal rate of return, comparing projects, non-annual rates of interest, term annuities.

Text Books And Reference Books:

1.      Stephen G. Kellison, The theory of interest. Irwin Mc Graw Hill, 2008.

2.      Steven Roman, Introduction to the Mathematics of Finance: From risk management to options pricing. Springer, 2004.

Essential Reading / Recommended Reading

CT1 material from IAI and IFoA

Evaluation Pattern

The applicable evaluations are CIA-1, CIA –2 (based on Mid-Sem examination), and CIA –3 based on internals.

Pattern of End Semester Examination question paper for 100 marks of 3 hours’ duration will be as follows:

There will be six questions, each carrying twenty marks, out of which any five has to be answered. 

MAS132 - ACTUARIAL STATISTICS - I (2019 Batch)

Total Teaching Hours for Semester:60
No of Lecture Hours/Week:4
Max Marks:100
Credits:4

Course Objectives/Course Description

 

 

The aim of this course is to provide grounding knowledge in the aspects of Statistics and in particular Statistical modeling that are of relevance to actuarial work.

 

Learning Outcome

This subject will train the students and enhance them to compete and excel in the Institute of Actuaries exam for CT3.

Unit-1
Teaching Hours:15
Exploratory Data Analysis and Probability
 

Definition of Statistics, applications, data types and measurements, graphical representation using line plot, box plot, bar chart, stem and leaf etc.  measures of location of set of data using mean, median and mode; measures of spread of a set of data using standard deviation, range, quartile deviation etc. Concept of symmetry, skewness and kurtosis with real time applications. Set functions, concept of sample space, experiment and event; probability as set function; addition rule for probability, conditional probability, Bayes’ theorem with applications; and independence of events.

Unit-2
Teaching Hours:15
Random variables and Properties
 

Definition and types of random variables, distribution and probability functions; mathematical expectation-mean, variance, standard deviation, coefficient of skewness and moments; Jointly distributed random variables, marginal and conditional distributions; probability functions of marginal and conditional distributions; expected value of a function of two jointly distributed random variables; covariance and correlation; probability function of sum of two independent random variables as the convolution of two functions; mean and variance of linear combination of random variables; conditional expectations.

 

Unit-3
Teaching Hours:15
Generating functions and Central Limit Theorem
 

Definition and derivation of moment generating function of random variables, cumulant generating function and probability generating function of discrete, integer-valued random variables; generating moments and cumulants of random variables, by expansion as a series or by differentiation as appropriate; central limit theorem for independent, identically distributed random variables and its applications.

 

Unit-4
Teaching Hours:15
Probability Distributions
 

Definition and important characteristics of discrete and continuous distributions- Discrete: geometric, binomial, negative binomial, hypergeometric, poisson, and uniform on a finite set. Continuous: normal, log normal, exponential, gamma, beta, and uniform on an interval.

Text Books And Reference Books:

J.E.Freund, Mathematical Statistics. New Delhi, Prentice hall, 7th ed. 2004.

Essential Reading / Recommended Reading

CT3 material from IAI and IFoA

Evaluation Pattern

The applicable evaluations are CIA-1, CIA –2 (based on Mid-Sem examination), and CIA –3 based on internals.

Pattern of End Semester Examination question paper for 100 marks of 3 hours’ duration will be as follows:

There will be six questions, each carrying twenty marks, out of which any five has to be answered. 

MAS133 - MANAGERIAL ECONOMICS (2019 Batch)

Total Teaching Hours for Semester:60
No of Lecture Hours/Week:4
Max Marks:100
Credits:4

Course Objectives/Course Description

 

This course introduces the student to basics of economics applied to business context and provides an overview of the subject of Managerial Economics.  This course further helps the student to have a theorotical understanding of economics.

Learning Outcome

  •  Enable students to approach managerial decision problems using economic reasoning.

  • Use the theory of the firm to model business organizations

  • Apply demand theory to establish the elasticity of demand

  • Use demand estimation to understand demand trends and change

  • Use cost theory to establish short and long run behavior.

  • Describe market structures to establish market equilibrium.

Unit-1
Teaching Hours:8
Introduction to Managerial Economics
 

Meaning, nature & scope of Managerial Economics; Importance of Managerial Economics; Basic concepts – wants, goods, production & resources, Scarcity and choice, Opportunity cost, Utility, Value, Price, wealth, income, yield, profit, savings,  Value of Money.

Unit-2
Teaching Hours:16
Demand and Supply analysis
 

Demand (Determinants, Demand function) - Law of Demand – Variations in demand, Supply (Determinants, Supply function) – Law of Supply –Variations in Supply, Market equilibrium and changes in equilibrium (reference to product markets & factor markets), Time time dimension of market adjustment, dealing with uncertainty & risk.Market failure – meaning & types - Public goods – Externalities - Merit goods - Demerit goods.Elasticity of Demand – Price elasticity of demand – factors determining elasticity of demand – its measurement and its application in business decisions, concepts of Income, Cross elasticity of demand. Elasticity of Supply – factors determining elasticity of supply.

Unit-3
Teaching Hours:20
Production Analysis and Market Structure
 

Production Analysis: Production – Firm and Industry – Production function – Short run & long run – Law of variable proportions - Returns to scale (increasing, constant and decreasing returns to scale) – Economies of scale and Diseconomies of scale. Cost - Cost concepts (Absolute cost and opportunity cost, Accounting cost and Economic cost) – Fixed and Variable cost – TC, AC & MC, Cost-output relationship in the short run - Cost-output relationship in the long run. Revenue – TR, AR & MR - Revenue with no change in price – Revenue with change in price.   Market Structure: Features of perfect competition and monopoly – Concept of price discrimination – Features of Monopolistic competition & Oligopoly – Price indeterminateness – Cartel formation - Different forms of price leadership – Game theory. Regulation – Competition policy - Scope of regulation.

Unit-4
Teaching Hours:16
Business and Macroeconomy
 

Macroeconomy– meaning, measuring the size of the economy - National income – methods of national income estimation - Business use of national income data - Understanding national income: the circular flow model & its components. Macroeconomic analysis - Aggregate Demand & Aggregate Supply Framework.Monetary system: Meaning & functions of money, Money multiplier, supply of money, demand for money, equilibrium in the money market, effect of a change in the money supply Macroeconomic problems – Business Cycles/ Unemployment & Inflation, Philips Curve Macroeconomic policies – Demand side & Supply side policies, Fiscal policy & Monetary policy. International trade, balance of payments and exchange rates.

Text Books And Reference Books:
  1. N.Gregory Mankiw,  Principles of Economics.

  2. Stockman,  Introduction to Macroeconomics.

  3. William H Branson,  Macroeconomic Theory and Policy. 

  4. John Sloman, Economics for Business

  5.  

Essential Reading / Recommended Reading

1.       Paul.A.Samuelson, William D Nordhaus, Michael J  Mandel, Macroeconomics.

2.       RudigerDornbusch, Stanley Fischer, Macroeconomics.

 Paul A Samuelson, Foundations of Economic Analysis. 

 

Evaluation Pattern

The course assesment and evaluation is based on two internal CIAs of 20 marks one mid semester examination for 50 marks and one End semester Exam of 100 marks. 

MAS134 - CORPORATE FINANCE AND FINANCIAL REPORTING - I (2019 Batch)

Total Teaching Hours for Semester:60
No of Lecture Hours/Week:4
Max Marks:100
Credits:4

Course Objectives/Course Description

 

The course focuses on financial decision making in the modern corporation. The basic issues include capital budgeting/corporate investment, capital structure, corporate sources of funding, dividend policy and corporate contingent claims, international finance, and financial risk management. Some areas of corporate finance that are covered in electives - leasing, mergers and acquisitions, working capital management - will be omitted or covered in less detail than they merit. Course concepts are integrated into the standard theories of risk and return, valuation of assets and market structure.

Learning Outcome

This subject will train the students and enhance them to compete and excel in the Institute of Actuaries exam for CT2.

Unit-1
Teaching Hours:15
Introduction to Accounts
 

Introduction to accounts, accounting standards, basic accounting concepts, contents of annual report, director’s report, auditor’s report, international financial reporting standards, credit, debit, asset, liability, income, expense profit and loss account, balance sheet and cash flow statement.

Unit-2
Teaching Hours:15
Generating Accounts
 

Construct profit and loss account, balance sheet and cash flow statement. Depreciation - concept, methods of calculation. Reserves -  types and uses.

Unit-3
Teaching Hours:15
Group Accounts
 

Holding company, subsidiary company, minority holding, consolidated balance sheet. Insurance company accounts - technical and non-technical account, profit and loss accounts and balance sheet.

Unit-4
Teaching Hours:15
Accounting ratios
 

Interpretation of accounts using accounting ratios, Accounting ratios to assess security of loan capital and their interpretation. Accounting ratios to enable shareholder analysis and their interpretation. limitations of accounts, financial institutions.

Text Books And Reference Books:

Robert Rachlin and Allen Sweery, Accounting and financial fundamental for non-financial executives. AMACOM, 1996. 

Essential Reading / Recommended Reading

CT2 material from IAI and IFoA

Evaluation Pattern

The applicable evaluations are CIA-1, CIA –2 (based on Mid-Sem examination), and CIA –3 based on internals.

Pattern of End Semester Examination question paper for 100 marks of 3 hours’ duration will be as follows:

There will be six questions, each carrying twenty marks, out of which any five has to be answered. 

MAS135 - FINANCIAL MARKETS AND SERVICES (2019 Batch)

Total Teaching Hours for Semester:60
No of Lecture Hours/Week:4
Max Marks:100
Credits:4

Course Objectives/Course Description

 

Introduce students to the structure of Indian Financial system and to provide an overview of various financial services and functioning of financial markets

Learning Outcome

This subject will train the students and enhance them to compete and excel in the Institute of Actuaries exam and also help them know the financial services and markets

Unit-1
Teaching Hours:15
Introduction
 

Indian financial system: Introduction, meaning, objectives and importance, structure of the Indian financial system and the financial sector reforms. Money market and money market instruments: Players and intermediaries, their role, various instruments like commercial paper, certificate of deposits, call money market, repos and reverse repos, various money market instruments for lending and borrowing, factors governing the money market interest rates and credit rating for money market instruments. Capital markets: Role of capital markets in corporate finance, primary and secondary markets, regulation in the market, role of SEBI and investor protection

Unit-2
Teaching Hours:14
Indian Banking Environment
 

 

Role and functions of banks in the Indian financial system, CRR and SLR requirements and their impact on the call money market, Role of the regulator, a brief understanding of the Negotiable instruments act. Understanding a bank balance sheet, ratio analysis pertaining to bank’s financial statements and their interpretation. Risk management in banks, need for asset liability management in banks and financial institutions, use of derivative instruments in risk management, treasury and currency risk pertaining to the banking system.

Unit-3
Teaching Hours:14
Mutual Funds in India and Credit Rating Agencies
 

Mutual funds in India: Mutual fund as a collective investment vehicle,  the role of SEBI and AMFI, the various types of funds and schemes within funds, investment restrictions of mutual funds, NAVs of the schemes, assessing the performance of the mutual funds through MWRR and TWRR calculations. Credit rating agencies: Need for credit rating, the role of CRAs, Regulatory framework, rating process and methodology, rating symbols, need for continuous monitoring, investor education and protection. Measuring investment performance using Compounded Annual Growth Rate (CAGR) and Internal Rate of Return (IRR) calculations.

Unit-4
Teaching Hours:18
Hedge funds and Venture Capital
 

Hedge funds: Hedge funds as an investment opportunity for insurance companies, types of hedge funds-Global tactical asset allocation fund, market neutral funds, event driven funds,  factors governing the investment of hedge funds, limitations of these funds, Regulation of hedge funds in India. Venture capital: Role of venture capital funds in project funding, risks involved, the role of the regulator and different types of venture capital funds in India, case studies on successful venture capital funds. Comprehensive case studies involving various aspects of financial services industry.

 

Text Books And Reference Books:
  1. Jones Rabk J., Fabozzi Frank J. and Modigliani Franco. (2013) Foundations Of Financial Markets and Institutions, 3rd edition, Pears
  2. P N Varshney & D K Mittal: Indian Financial System 2011, Sultan Chand & Sons

     

2.     

Essential Reading / Recommended Reading

Material from IAI and IFoA

Evaluation Pattern

 

The applicable evaluations are CIA-1, CIA –2 (based on Mid-Sem examination), and CIA –3 based on internals.

 

Pattern of End Semester Examination question paper for 100 marks of 3 hours’ duration will be as follows:

 

There will be six questions, each carrying twenty marks, out of which any five has to be answered. 

 

MAS231 - FINANCIAL MATHEMATICS - II (2019 Batch)

Total Teaching Hours for Semester:60
No of Lecture Hours/Week:4
Max Marks:100
Credits:4

Course Objectives/Course Description

 

The Master of Science in Actuarial Science program is designed to prepare students to pursue careers in quantitative finance.  Increasingly firms of all types, but especially financial institutions, investment banks, and commodities firms, rely upon highly sophisticated mathematical models to identify, measure, and manage risk.

Learning Outcome

This subject will train the students and enhance them to compete and excel in the Institute of Actuaries exam for CT1.

Unit-1
Teaching Hours:15
Loan schedules and investments
 

Loan schedule - Flat rate, annual effective rate, loan repayment schedules with payment of equal capital components or payment of equal installments with varying interest and capital components. Investments - fixed interest government borrowings, tax, security, debentures and unsecured loan stocks, money-weighted and time-weighted rates of return and linked internal rate of interest on investment or a fund.

Unit-2
Teaching Hours:15
Problems involving compound growths
 

Compound interest problems in various forms of Actuarial applications, government securities, other fixed interest securities, real rates of interest, calculating yields, equities, properties, real-estate, commodities, and numismatics. 

Unit-3
Teaching Hours:15
Term structure of interest rates
 

Discrete time, par yield, yield to maturity, spot rates and forward rates, continuous spot rates, duration and convexity of a cash flow sequence and their use in Redington’s immunization of portfolio of liabilities.

Unit-4
Teaching Hours:15
Stochastic Models for Interest rates
 

Fixed interest rate models and variable interest rate models with independent distributions for successive periods, arbitrage pricing and derivatives, forward and future contracts, their pricing.

Text Books And Reference Books:

1.  Stephen G. Kellison, The theory of interest. Irwin Mc Graw Hill, 2008.

2.  Steven Roman, Introduction to the Mathematics of Finance: From risk management to options pricing. Springer, 2004.

Essential Reading / Recommended Reading

CT1 material from IAI and IFoA

Evaluation Pattern

The applicable evaluations are CIA-1, CIA –2 (based on Mid-Sem examination), and CIA –3 based on internals.

Pattern of End Semester Examination question paper for 100 marks of 3 hours’ duration will be as follows:

There will be six questions, each carrying twenty marks, out of which any five has to be answered. 

MAS232 - ACTUARIAL STATISTICS - II (2019 Batch)

Total Teaching Hours for Semester:60
No of Lecture Hours/Week:4
Max Marks:100
Credits:4

Course Objectives/Course Description

 

Application of statistical methods used for a description of analysis of business problems. The development of analytic skills is enhanced by use of one of the widely available statistical packages and graphing calculation.

Learning Outcome

This subject will train the students and enhance them to compete and excel in the Institute of Actuaries exam for CT3.

Unit-1
Teaching Hours:15
Random Sampling and Sampling Distributions
 

Population, sample, parameter and statistic, random sample, sampling distributions of a statistics; sampling distribution of sample mean, sample variance in terms of the population mean, variance and sample size; sampling distribution of t-statistics, F-statistic, and Chi-square statistic and their statistical properties and applications.

Unit-2
Teaching Hours:15
Statistical Inference
 

Concepts of estimator, estimate; method of moments and method of maximum likelihood estimation for constructing estimators of population parameters; Properties of best estimator: unbiasedness, consistency, efficiency and mean square error; asymptotic distribution of maximum likelihood estimators; concept of confidence interval, construction of confidence intervals for an unknown parameter using sampling distributions, mean and variance of normal distribution, binomial probability and poisson mean, two-sample situations involving the normal distribution and binomial and poisson distributions using normal approximation.

Unit-3
Teaching Hours:15
Hypothesis testing
 

Concept of hypothesis, simple and composite hypothesis; null and alternative hypothesis; type1 and type II errors, test statistic, likelihood ratio, critical region, level of significance, probability value, and power of a test. Basic tests for one and two-sample situations involving normal, binomial, and poisson distributions and paired data. Chi-square test for goodness of fit, single variance, and independence of two classification criteria.

Unit-4
Teaching Hours:15
Correlation and Regression
 

Concept of correlation, types of correlation, correlation coefficient and its significance. Regression analysis: response and exploratory variables, simple regression model (with single explanatory variable), least square estimates of simple regression model and their significance; multiple linear regression model (with several explanatory variables).

Note: Use R to fit simple and multiple linear regression models and for checking the validity of assumptions.

Text Books And Reference Books:

J.E.Freund, Mathematical Statistics. New Delhi, Prentice hall, 7th ed. 2004.

Essential Reading / Recommended Reading

CT3 material from IAI and IFoA

Evaluation Pattern

The applicable evaluations are CIA-1, CIA –2 (based on Mid-Sem examination), and CIA –3 based on internals.

Pattern of End Semester Examination question paper for 100 marks of 3 hours’ duration will be as follows:

There will be six questions, each carrying twenty marks, out of which any five has to be answered. 

MAS233 - ACTUARIAL MODELING - I (2019 Batch)

Total Teaching Hours for Semester:60
No of Lecture Hours/Week:4
Max Marks:100
Credits:4

Course Objectives/Course Description

 

The aim of Actuarial modeling is to study advanced non-life insurance mathematics, individual risk models, collective risk models, ruin models, Actuarial reserve models: Bonus-malus system, IBNR techniques and generalized linear models in Actuarial Science.

Learning Outcome

This subject will train the students and enhance them to compete and excel in the Institute of Actuaries exam for CT4.

Unit-1
Teaching Hours:15
Principles of Actuarial modeling
 

Principles of Actuarial modeling, binomial and Poisson Models, generalization of the model, maximizing the likelihood, the actuarial estimate, strengths and weakness of the binomial model and Poisson model, estimating the underlying force of mortality.

Unit-2
Teaching Hours:15
Markov Chains
 

Markov property, filtration, Poisson process. Markov Chains - Basic features, Chapman-Kolmogorov equations, time-homogeneous and time-inhomogeneous Markov chains, model for no claim discount policy, simple random walk, a model for accident proneness, stationary probability distribution, irreducibility, modeling using Markov Chains. 

Unit-3
Teaching Hours:15
General Markov model and Markov jump processes
 

Assumptions, analysis, a simple two decrement model, time-homogeneous Markov jump processes, structure Markov jump processes, time-inhomogeneous Markov jump processes, applications to mortality and morbidity models.

Unit-4
Teaching Hours:15
Stochastic processes
 

Stochastic Processes - Definition, types, stationary process, and weakly stationary process. 

Text Books And Reference Books:

1.      Newton L. Bowers, Actuarial Mathematics. The society of Actuaries, 1986.

Fsa Dick London, Survival Models and their estimation. Actex, 1997.

Essential Reading / Recommended Reading

CT4 material from IAI and IFoA

Evaluation Pattern

The applicable evaluations are CIA-1, CIA –2 (based on Mid-Sem examination), and CIA –3 based on internals.

Pattern of End Semester Examination question paper for 100 marks of 3 hours’ duration will be as follows:

There will be six questions, each carrying twenty marks, out of which any five has to be answered. 

MAS234 - CORPORATE FINANCE AND FINANCIAL REPORTING - II (2019 Batch)

Total Teaching Hours for Semester:60
No of Lecture Hours/Week:4
Max Marks:100
Credits:4

Course Objectives/Course Description

 

The course focuses on financial decision making in the modern corporation. The basic issues include: capital budgeting/corporate investment, capital structure, corporate sources of funding, dividend policy and corporate contingent claims, international finance, and financial risk management. Some areas of corporate finance that are covered in electives - leasing, mergers and acquisitions, working capital management - will be omitted or covered in less detail than they merit. Course concepts are integrated into the standard theories of risk and return, valuation of assets and market structure.

Learning Outcome

This subject will train the students and enhance them to compete and excel in the Institute of Actuaries exam for CT2.

Unit-1
Teaching Hours:15
Key principles of Finance and term sources
 

The key principles of finance, role of directors and managers, agency theory, company ownership, sole trader, partnership firm, limited company (private and public), and limited liability partnership in UK. Term sources - Medium term and short term sourcesof Finance for an organization. medium term sources - hire purchase, credit sale, leasing, bank loans. Short term sources - bank overdraft, trade credit, factoring, bill of exchange, commercial paper.

Unit-2
Teaching Hours:15
Taxation and Financial instruments
 

Taxation - personal taxation, company taxation, capital gains tax, other taxes, double taxation relief. Financial instruments - debenture stocks, unsecured loan stocks, eurobonds, preference shares, ordinary shares, convertible unsecured loan stocks, convertible preference shares, warrants, floating-rate notes, subordinated debt, options issued by companies, capital structure and dividend policy, Share buyback.

Unit-3
Teaching Hours:15
Methods of obtaining a quotation and derivatives
 

Methods of obtaining a quotation - Introduction, offer for sale, offer for sale by tender, offer for subscription, placing, right issue, scrip issue. Derivatives - forward contracts, future contracts, options and swaps, their  characteristics and uses for hedging, weighted average cost of capital, Modigliani and Miller’s two propositions of irrelevance Capital Asset Pricing Models.

Unit-4
Teaching Hours:15
Project appraisal methods and risk analysis
 

Cost of capital for the company, cost of capital for a project,NPV, IRR, Payback Period, Discounted Payback Period, evaluation of risky projects, risk analysis and dealing with risks, risk matrices, Stochastic modeling, risk mitigation.

Text Books And Reference Books:

1.      Richard A. Brealey, Steward C. Myers, Franklin Allen and Pitabas Mohanty, Principles of Corporate Finance. McGraw-hill, 2012.

Stephen A. Ross, Bradford D. Jordan and Randolph Westerfield, Essentials of Corporate Finance. McGraw-hill, 2010.

Essential Reading / Recommended Reading

CT2 material from IAI and IFoA

Evaluation Pattern

The applicable evaluations are CIA-1, CIA –2 (based on Mid-Sem examination), and CIA –3 based on internals.

Pattern of End Semester Examination question paper for 100 marks of 3 hours’ duration will be as follows:

There will be six questions, each carrying twenty marks, out of which any five has to be answered. 

MAS235 - LIFE INSURANCE AND PENSIONS (2019 Batch)

Total Teaching Hours for Semester:60
No of Lecture Hours/Week:4
Max Marks:100
Credits:4

Course Objectives/Course Description

 

 This course will make the students understand the areas of risk management, techniques available to handle the same and focus on insurance as a risk management tool for individuals and corporates and instill the students ability to apply, in simple situations, the mathematical and economic techniques and the principles of actuarial planning and control needed for the operation on sound financial lines of providers of insurance products.

Learning Outcome

This subject will train the students and enhance them to compete and excel in the Institute of Actuaries exam and also help them know the Insurance sector.

Unit-1
Teaching Hours:12
Introduction to Insurance
 

Introduction and Overview - Definition of risk and categories of risks, insurable risks, types of insurance, risk management and objectives. Key insurance concepts - Concept and role of insurance, fundamental principles, indemnity, insurable interest, subrogation, utmost good faith, contract conditions. Differences between life and non-life contracts, need for regulation and the role of the regulator in the insurance business, professionals in the insurance business-need for professionalism, intermediaries in the insurance contract. IRDA regulations on Actuaries, Financial planning - Needs analysis, life cycle planning, asset allocation and taxation.

Unit-2
Teaching Hours:24
Life Insurance Basics and Underwriting
 

Introduction to Life insurance contracts - Contract conditions and requirements. Types of life insurance products - term life insurance, whole life insurance, endowment policies, unit linked insurance plans and other related products. Riders to a life insurance policy - waiver of premium riders, disability benefit riders, accelerated benefit riders, how a rider works and the advantages of riders. Life insurance policy provisions - incontestability provision, grace period provision, reinstatement provision, operation of free look-in period etc. Life insurance policy beneficiaries - naming a beneficiary, change of beneficiary and related concepts. Factors determining the calculation of premium - understanding mortality. Life insurance underwriting: Life insurance underwriting - Need for risk classification and grouping of risks, agents' role in underwriting, underwriting policy, process of underwriting and restrictions on post-selection underwriting. Documents and premium - Underwriting and actuarial framework. Methods of funding life insurance - Life insurance reserves. Channels of distribution, lapse and surrenders and its impact on insurance business. Reinsurance- need for reinsurance, types of reinsurance, treaty and facultative, proportionate and non-proportionate reinsurance.

Unit-3
Teaching Hours:12
Group Term Insurance and Group Gratuity Schemes
 

Different types of group insurance schemes. Group term Insurance: Group OYRTA Plans, Employers Deposit Linked Insurance Scheme (EDLI), mortgage cover, graded cover, etc. Types of groups covered, benefits provided, group underwriting for employer-employee and other groups, premium rating, Expected claims cost, premium calculation for different group schemes, experience rating-its rationale and methods, prospective and retrospective rating. Group term products- UPR and IBNR Reserve, calculation of UPR and IBNR reserves for Group term policies. Social Security Schemes, social insurance, employer mandated social insurance programs, social insurance programs in India.

Unit-4
Teaching Hours:12
Individual and Group Pension and Group Gratuity Products
 

Need for pension,  role of government in providing pensions, Employee Provident Fund, Employee Pension Scheme 1995, occupational pension schemes, individual personal pension plans, installation and operation of employer run pension schemes, defined  contribution and defined pension plans, associated risks to employer and employees,, insurer administer and self-administered pension schemes, exempt superannuation scheme,  income tax act and rules,  investment norms for self-administered pension schemes, insurer administered pension schemes, National Pensions Scheme, PFRDA and its regulatory aspects. Payment of gratuity act, installation and administration of a gratuity scheme, nature of gratuity liability, exempt gratuity scheme, income tax act and rules, insurance company administered and self-administered gratuity schemes, investment norms for self-administered gratuity schemes, insurer administered gratuity schemes- unit linked, variable insurance plans.

Text Books And Reference Books:

 

1.      Emmett. J. Vaughan and Therese Vaughan, Fundamentals of risk and insurance. Wiley publications, 2011.

2.      Kenneth Black and Harold D. Skipper, Life and Health Insurance. Pearson Education publication, 1999.




 

Essential Reading / Recommended Reading

Material from IAI and IFoA

Evaluation Pattern

The applicable evaluations are CIA-1, CIA –2 (based on Mid-Sem examination), and CIA –3 based on internals.

Pattern of End Semester Examination question paper for 100 marks of 3 hours’ duration will be as follows:

There will be six questions, each carrying twenty marks, out of which any five has to be answered. 

MAS331 - FINANCIAL ECONOMICS - I (2018 Batch)

Total Teaching Hours for Semester:60
No of Lecture Hours/Week:4
Max Marks:100
Credits:4

Course Objectives/Course Description

 

The Financial Economics includes courses covering the working of the financial markets for bonds, stocks, currencies and derivatives (futures and forwards, options and swaps), the asset pricing models and valuation principles. Behavioral finance and stochastic dominance concepts are covered. Also stochastic calculus and Brownian motion will be applied extensively in arriving at derivative valuation formulae. 

Learning Outcome

This subject will train the students and enhance them to compete and excel in the Institute of Actuaries exam for CT8.

Unit-1
Teaching Hours:20
Introduction to Financial Economics
 

Introduction to financial economics, economic models, economic vs statistical models, General modeling principles, Efficient market hypothesis (EMH), Three forms of EMH, Active vs Passive Investment Strategies, over reactions, under reactions, anomalies,  utility theory – consumer choice and preferences, the expected utility theorem, certainty equivalence, risk seeking and risk averse investor, Measuring risk aversion, the log utility function and power utility function, Limitations of utility theory, Stochastic dominance, first order and second order stochastic dominance, relationship between dominance concepts and utility theory. Behavioral finance – anchoring, prospect theory, framing, myopic loss aversion, estimating probabilities,  over confidence, mental accounting and the effect of options.

Unit-2
Teaching Hours:10
Measures of Investment Risk and Portfolio theory
 

Measures of Investment risk- variance, semi variance, shortfall probabilities, Value at Risk (VaR), Tail VaR, modern portfolio theory – Mean variance portfolio theory, opportunity set, efficient frontier, benefits of diversification.

Unit-3
Teaching Hours:15
Models of Asset returns and Asset Pricing Models
 

Models of asset returns – multifactor models, macro-economic models, fundamental factor models, statistical factor models. Asset pricing models – CAPM, the separation theorem, Capital Market line (CML), Security Market Line (SML), Beta, zero beta model, arbitrage pricing theory

Unit-4
Teaching Hours:15
Brownian motion and Stochastic Process
 

Product differentiation,integrals for simple integrands, properties of the integral, integrals for general integrands, Brownian motion – properties, standard and geometric Brownian motion, non-differentiability of sample paths, martingales – discrete and continuous,  stochastic calculus and Ito processes, Ito process for random numbers, stochastic differential equations, Diffusion and Ito process, The Ornstein Uhlenbeck process. 

Text Books And Reference Books:

1.      Panjer, Financial Economic: with applications to investments, insurance and pension. Society of Actuarial, 1998.

Essential Reading / Recommended Reading

CT8 material from IAI and IFoA

Evaluation Pattern

The applicable evaluations are CIA-1, CIA –2 (based on Mid-Sem examination), and CIA –3 based on internals.

Pattern of End Semester Examination question paper for 100 marks of 3 hours’ duration will be as follows:

There will be six questions, each carrying twenty marks, out of which any five has to be answered. 

MAS332 - GENERAL AND HEALTH INSURANCE (2018 Batch)

Total Teaching Hours for Semester:60
No of Lecture Hours/Week:4
Max Marks:100
Credits:4

Course Objectives/Course Description

 

The aim of the course is to enable the students to understand the various types of general insurance policies that are available in the market, the range of coverage in each type of policy, the clauses used and how the rates and premium are determined.

 

Learning Outcome

This subject will train the students and enhance them to compete and excel in the Institute of Actuaries exam

Unit-1
Teaching Hours:10
Introduction to non-life Insurance
 

Requirements of non-life insurance contract, framework of general insurance in India, organization and working of general insurance companies, financial management of general insurance companies and their investments, role of regulators, capital management and planning and reporting requirements.

Unit-2
Teaching Hours:20
Products of General Insurance
 

Liability insurance, Property insurance, Financial loss insurance and fixed benefits insurance - Understanding the various products under each category and the risks attached. Fire insurance contracts - requirements, how a fire insurance contract works, understanding the cover note and various other aspects of fire insurance, consequential loss policy, underwriting factors. Marine insurance - understanding the various types of marine contracts like single voyage policy, multiple voyage policy etc, the working of marine insurance contract, underwriting factors, challenges for the marine insurance segment. Motor vehicle insurance - Underwriting factors, coverage under the policy, rating parameters, no-claim bonus and its relevance, other related factors. Future innovation of general insurance products in India: Analysis of General Insurance products in the developed nations and studying the potential of those products being introduced in Indian markets.

Unit-3
Teaching Hours:10
Product Design and Development
 

Steps involved in product design and development, general insurance pricing, underwriting & claims management in general insurance, challenges in underwriting & claims management, role of reinsurance in general insurance . Technology impact on General insurance product distribution - understanding the new distribution channels and impact of the technology on the product design, pricing and claim settlement.

Unit-4
Teaching Hours:20
Introduction to Health Insurance and Underwriting
 

Healthcare – Public / Private services, stakeholders in healthcare services, healthcare financing – Public/Private, role of Government & public agencies, insurance as a healthcare financing tool, products and coverage, indemnity products (individual & group), critical Illness Plans, long term care plans, travel insurance plans / International covers, micro-insurance, high deducible / floater / benefit plans, distribution of health insurance - channels of distribution, issues related to selling/ mis-selling. Underwriting: Risk classification & assessment, pricing considerations, underwriting considerations & practices, adverse selection / pre-existing conditions, group underwriting, proposal/ policy forms, standard clauses & terms, tailor-made policies. Claims Management - Standard Claims Process, cashless procedure, claim reserving, fraud management in claims, customer services / customer grievance management, importance of coding (ICD-10) and data management, regulations related to health insurance.

Text Books And Reference Books:

1.      Emmett. J. Vaughan and Therese Vaughan, Fundamentals of risk and insurance. Wiley publications, 2011.

2.      Kenneth Black and Harold D. Skipper, Life and Health Insurance. Pearson Education publication, 1999.

Essential Reading / Recommended Reading

1.      M.J.Mathews, Insurance-Principles and Practices.

2.      Principles of Insurance-Volume 1, 2 and 3: A publication of the Insurance Institute of India.

3.      Practices of general Insurance-Volume 1, 2 and 3: A publication of the Insurance Institute of India.

Evaluation Pattern

The applicable evaluations are CIA-1, CIA –2 (based on Mid-Sem examination), and CIA –3 based on internals.

Pattern of End Semester Examination question paper for 100 marks of 3 hours’ duration will be as follows:

There will be six questions, each carrying twenty marks, out of which any five has to be answered. 

MAS333 - LIFE CONTINGENCIES - I (2018 Batch)

Total Teaching Hours for Semester:60
No of Lecture Hours/Week:4
Max Marks:100
Credits:4

Course Objectives/Course Description

 

This course develops the basic actuarial techniques that are used in later work. Topics covered include the life table, life assurance contracts, life annuity contracts, net premium, provisions, variable benefits and with – profit polices.

Learning Outcome

This subject will train the students and enhance them to compete and excel in the Institute of Actuaries exam for CT5.

Unit-1
Teaching Hours:15
The life table
 

Constructing a life table , using the life table, the pattern of human mortality, life table functions at non-integer ages, method 1 - uniform distribution of deaths (UDD), methods 2 - constant force of mortality (CFM), the general patterns of mortality, mortality characteristics, the shape of qx, lx, dx, using the life table to evaluate means and variances, evaluating means and variances without use of the life table, select mortality, displaying select rates, constructing select and ultimate life tables, using tabulated select life table functions, evaluating means and variances using select mortality.

Unit-2
Teaching Hours:15
Life assurance contracts and life annuity contracts
 

Life assurance contracts - pricing of life insurance contracts, equations of value, allowance for investment income, present value random variables , expected present value, variance of the present value random variables for life assurance contracts, life assurance benefits payable immediately on death, claim acceleration approximation . Life annuity contracts - annuity due, temporary annuity, temporary annuity due, deferred annuities, deferred annuities due, continuous annuities and evaluation of assurance and annuities.

Unit-3
Teaching Hours:15
Net premium and provisions
 

Premiums, frequency of payment, the net premium definition, notation, the insurer’s loss random variables, provisions, prospective provision, retrospective provision, conditions for equality of prospective and retrospective provisions, provision conventions, net premium provisions, whole life policies, continuous functions, non-annual premiums, term assurances, other contracts, recursive calculation  of  provisions, conditions for recursive calculations, net premium provisions at successive durations, the equations of equilibrium for a whole life assurance, mortality profit dead stain at risk, expected death strain, actual death strain.

Unit-4
Teaching Hours:15
Variable benefits and with-profit policies
 

Variable payments, whole life assurance, term assurance, whole life annuity payable annually in arrears and advance, temporary annuities, with-profit contracts, types of bonus, calculating net premiums and net premium provisions for with-profit contracts, net future loss random variables, gross premiums and provisions for fixed and variables benefit contract.

Text Books And Reference Books:

1.      Newton L. Bowers, Actuarial Mathematics, The society of Actuaries, 1986.

David C. M. Dickson, Mary R. Hardy, Howard R. Waters, Actuarial Mathematics for life contingent risk. Cambridge University Press, 2009.

Essential Reading / Recommended Reading

CT5 material from IAI and IFoA

Evaluation Pattern

The applicable evaluations are CIA-1, CIA –2 (based on Mid-Sem examination), and CIA –3 based on internals.

Pattern of End Semester Examination question paper for 100 marks of 3 hours’ duration will be as follows:

There will be six questions, each carrying twenty marks, out of which any five has to be answered. 

MAS334 - STATISTICAL METHODS AND MODELS (2018 Batch)

Total Teaching Hours for Semester:60
No of Lecture Hours/Week:4
Max Marks:100
Credits:4

Course Objectives/Course Description

 

The aim of this course is to provide a further grounding in mathematical and statistical techniques of particular relevance to financial work.

Learning Outcome

This subject will train the students and enhance them to compete and excel in the Institute of Actuaries exam for CT6

Unit-1
Teaching Hours:15
Decision Theory and Bayesian Statistics
 

Decision theory: Optimum strategies under the theory of games, decision function and a risk function, apply decision criteria to determine which decision functions are best with respect to a specified criterion, minimax criterion and the Bayes criterion.Bayesian Statistics: Bayes’ Theorem, Prior and posterior distributions, Loss Functions, Credibility Theory: Credibility- The credibility premium formula; credibility factor, Bayesian credibility, The Poisson/gamma model, the normal/normal model Empirical Bayes credibility theory: Model 1, Model 2.

Unit-2
Teaching Hours:15
Loss Distributions and Ruin Theory
 

Properties of the statistical distributions which are suitable for modelling individual and aggregate losses, moments and moment generating functions of loss distributions including the gamma, exponential, Pareto, generalised Pareto, normal, lognormal, Weibull and Burr distributions, statistical inference to select suitable loss distributions for sets of claims, concepts of excesses (deductibles) and retention limits, operation of simple forms of proportional and excess of loss reinsurance. Ruin Theory: The surplus process, The probability of ruin in discrete and  continuous time, The Poisson process, The compound Poisson process, Lundberg’s inequality and the adjustment coefficient, Reinsurance and ruin probability.

Unit-3
Teaching Hours:15
Risk Models and Generalised Linear Models
 

Models appropriate for short term insurance contracts in terms of the numbers of claims and the amounts of individual claims, major simplifying assumptions underlying the models, moment generating function of the sum of N independent random variables. Generalised linear models: Exponential families; Link functions and linear predictors; Deviance of model fitting, The saturated model, Scaled deviance, Likelihood ratio test, Residuals analysis and assessment of model fit - Goodness-of-fit tests

Unit-4
Teaching Hours:15
Run-off Triangles
 

Projections using development factors, Standard methods for projecting run-off triangles - Basic chain-ladder method, Inflation-adjusted chain ladder method, Average cost per claim method, Bornhuetter-Ferguson method

Text Books And Reference Books:

1.      Newton L. Bowers, Actuarial Mathematics. The society of Actuaries, 1986.

 

2.      Fsa Dick London, Survival Models and their estimation. Actex, 1997.

Essential Reading / Recommended Reading

CT6 material from IAI and IFoA

Evaluation Pattern

The applicable evaluations are CIA-1, CIA –2 (based on Mid-Sem examination), and CIA –3 based on internals.

Pattern of End Semester Examination question paper for 100 marks of 3 hours’ duration will be as follows:

There will be six questions, each carrying twenty marks, out of which any five has to be answered. 

MAS335 - ACTUARIAL MODELING - II (2018 Batch)

Total Teaching Hours for Semester:60
No of Lecture Hours/Week:4
Max Marks:100
Credits:4

Course Objectives/Course Description

 

Advanced non-life insurance mathematics. Individual risk models, collective risk models, ruin models. Actuarial reserve models: Bonus-malus system, IBNR techniques. Generalized linear models in Actuarial Science. 

Learning Outcome

This subject will train the students and enhance them to compete and excel in the Institute of Actuaries exam.

Unit-1
Teaching Hours:15
Survival Models
 

Distribution of future lifetime, force of mortality, rates of mortality, expectations of life, Gompertz’s law and Makeham’s law, estimating the lifetime distribution function using the Kaplan-Meier and Nelson-Aalen models.

Unit-2
Teaching Hours:15
Cox Regression model