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1 Semester - 2019 - Batch | Course Code |
Course |
Type |
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 | Course Code |
Course |
Type |
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 | Course Code |
Course |
Type |
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 | Course Code |
Course |
Type |
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 |
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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. | |||||||||||||||||||||||||||||||||||||||||||||
Assesment Pattern | |||||||||||||||||||||||||||||||||||||||||||||
Minimum marks required for passing ESE shall be as under: SEMESTER I to IV: 40% per paper Aggregate Average 50%
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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. |
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 |
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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. |
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Course Outcome |
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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
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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
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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
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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
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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 |
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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.
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Course Outcome |
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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
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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
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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.
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Unit-3 |
Teaching Hours:15 |
Generating functions and Central Limit Theorem
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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.
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Unit-4 |
Teaching Hours:15 |
Probability Distributions
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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 |
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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. |
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Course Outcome |
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Unit-1 |
Teaching Hours:8 |
Introduction to Managerial Economics
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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
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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
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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
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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:
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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 |
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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. |
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Course Outcome |
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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
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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
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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
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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
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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 |
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Introduce students to the structure of Indian Financial system and to provide an overview of various financial services and functioning of financial markets |
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Course Outcome |
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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
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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
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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
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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
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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.
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Text Books And Reference Books:
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.
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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 |
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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. |
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Course Outcome |
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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
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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
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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
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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
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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 |
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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. |
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Course Outcome |
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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
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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
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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
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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
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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 |
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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. |
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Course Outcome |
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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
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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
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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
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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
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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 |
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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. |
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Course Outcome |
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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
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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
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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
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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
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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 |
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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. |
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Course Outcome |
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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
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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
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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
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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
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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.
| |
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. |
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Course Outcome |
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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
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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
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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
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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
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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 |
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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.
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Course Outcome |
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This subject will train the students and enhance them to compete and excel in the Institute of Actuaries exam |
Unit-1 |
Teaching Hours:15 |
The life table
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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
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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
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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
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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 |
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The aim of this course is to provide a further grounding in mathematical and statistical techniques of particular relevance to financial work. |
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Course 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
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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
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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
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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
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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 |
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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. |
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Course 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
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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
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Parametric models for the hazard function, covariates, form of Cox model. proportional hazard model, estimating regression parameters, partial likelihood, hypothesis testing, Balducci’s assumption, generalized model, actuarial estimate, strengths and weaknesses. | |
Unit-3 |
Teaching Hours:20 |
Graduation and Statistical tests
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Introduction, graduation of observed mortality rates, the underlying assumptions, comparison with other tables, standard tables graduation, the need for graduation, reasons for graduation, the theoretical argument, the practical Argument , features of a graduation, smooth graduation, testing the smoothness of a graduation, problems on Chi- Square test, standardized deviations test, signs test cumulative deviations, grouping of sign test, serial corrections tests. | |
Unit-4 |
Teaching Hours:10 |
Methods of Graduation
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Graduation by Parametric Formula, the graduation process, graphical graduation, the graphical graduation process, comparison of different methods, graduation by parametric formula, graduation by reference to a standard table, Statistical tests of a graduation, testing a graduation and effect of duplicate policies. | |
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. 1. Zdzislaw Brzezniak and Tomasz Zastawniak, Basic stochastic processes: A course through exercises. Springer, 2000. 2. Grimmett Geoffery and David Stizaker, Probability and random processes. Oxford University press, 2001. 3. J. Medhi, Stochastic Processes, John Wiley, 1994. | |
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. | |
MAS431 - LIFE CONTINGENCIES - II (2018 Batch) | |
Total Teaching Hours for Semester:60 |
No of Lecture Hours/Week:4 |
Max Marks:100 |
Credits:4 |
Course Objectives/Course Description |
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This course develops the basic actuarial techniques that are used in later work. Topics covered include simple annuities and assurance, profit testing, competing risk, pension funds and mortality. |
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Course Outcome |
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This subject will train the students and enhance them to compete and excel in the Institute of Actuaries exam. |
Unit-1 |
Teaching Hours:15 |
Simple annuities and assurances involving two lives
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Random variables to describe join life functions, joint lifetime variables and function, last survivor lifetime random variables, determining simple probabilities involving two lives, evaluating probabilities of death or survival of either or both of two lives, evaluating last survivor functions, determining present values involving two lives, present values of joint life and last survivor assurances and annuities, contingent and reversionary benefits, contingent probabilities of death, present values of contingent assurances and reversionary annuities, present values of functions with specified terms, expected present values of last survivor assurances, annuities and reversionary annuities that depend upon terms. | |
Unit-2 |
Teaching Hours:15 |
Profit testing and competing risk
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Profit testing - determining premium and provisions using profit testing, profit criterion, linked policy using cash flow techniques ,Zeroising negative and effect of pricing used provisioning bases on a profit test, valuing benefits that are contingent upon competing risk, multiple state approach, multiple decrement tables, deriving department probabilities from transition intensities, deriving the independent probabilities from the dependent probabilities, multiple decrement tables, premium conversion relationships and profit testing. | |
Unit-3 |
Teaching Hours:15 |
Pension funds
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Salary scale, salary related pension benefits and contributions, age retirement benefits, III health retirement benefits , death in service benefits, scheme contributions, expected cash flows generated by pension and contributions, classifications of benefits, determining expected cash flows, expected amount payable, probability of payments, expected cash flows using commutation functions to value salary related benefits and contributions, death benefits, members contributions, benefits and options available to an individual leaving a pension scheme, return of contribution, a referred pension, immediate pension and transfer of cash equivalent. | |
Unit-4 |
Teaching Hours:15 |
Mortality
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Standardization, principal factors contributing to variation in mortality and morbidity, occupation , nutrition, housing , climate and geographical location, education, genetics, selection - temporary initial selection, class selection time selection, adverse selection, spurious selection, selection in life assurance and pensions business, life assurance, pension funds, crude mortality rate, AS15 and IFRS. | |
Text Books And Reference Books:
1. Newton L. Bowers, Actuarial Mathematics, The society of Actuaries, 1986. 2. David C. M. Dickson, Mary R. Hardy, Howard R. Waters, Actuarial Mathematics for life contingent risk. Cambridge University Press, 2009. | |
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. | |
MAS432 - ENTERPRISE RISK MANAGEMENT (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 will enable students to develop a good understanding good understanding of the approach, considerations and implementation aspects of Enterprise Risk Management, with a strong appreciation of ‘real life’ constraints and issues. |
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Course Outcome |
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This subject will train the students and enhance them to compete and excel in the Institute of Actuaries exam |
Unit-1 |
Teaching Hours:10 |
Solvency and Capital management
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Understanding financial statements of an insurance company, assets and liabilities, reserving for policy liabilities-current rules and regulations, what is required solvency margin, current solvency margin rules for Indian insurance companies, calculation of required solvency margin/required capital, shortcomings of a formula based approach to solvency. | |
Unit-2 |
Teaching Hours:24 |
Risk management
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Risks faced by various providers of financial services, risk management and risk mitigation in banks and insurance companies-market risk, credit risk, operational risk, liability risk etc., how has risk based capital framework evolved and evolving in insurance companies and banks, Risk Based capital framework- Solvency 2 for insurance companies, Basel 2/3 for Banks, the three pillar framework of Basel 2/3 and Solvency 2, internal models, economic capital, role of actuary in the risk based capital regime. Case studies on failure of risk management processes. | |
Unit-3 |
Teaching Hours:20 |
Introduction to ERM and Process of ERM
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What is risk, risk management, traditional risk management, what is enterprise risk management, traditional risk management vs ERM, Process of ERM- Risk categories, risk identification, prioritisation of risks, understanding cause and implications, co-relation between risks, aggregation of risks, risk assessment and classification, COSO framework, risk management- missions, objectives, strategies, risk appetite and tolerance, risk management process, communication and awareness, monitoring, risk governance, other ERM framework. | |
Unit-4 |
Teaching Hours:6 |
Corporate Governance
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What is Corporate Governance, risk governance framework, the three lines of defense related to risk governance, Evolution of corporate governance in India, Corporate Governance for insurance companies in India , Companies Act 2013, ICFR, IFC, Role of Board and Committees, failure of corporate governance, risks | |
Text Books And Reference Books:
1. Kenneth Black and Harold D. Skipper, Life and HealthInsurance. Prentice Hall. 2. Insurance Institute of India, IC 27: Health Insurance, Insurance Institute of India, 2010. 3. Sim Segal, Corporate Value of Enterprise Risk Management: The next step in business management, Wiley, 2011. | |
Essential Reading / Recommended Reading
1. Insurance Institute of India, IC 37: Health Insurance operations, Insurance Institute of India, 2012. 2. A Structured Approach to Enterprise Risk Management (ERM) and the Requirements of ISO 31000, The Institute of Risk Management, London. 3. COSO Enterprise Risk Management – Integrated Framework, AICPA. | |
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. | |
MAS433 - FINANCIAL ECONOMICS - II (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), stochastic calculus and Brownian motion will be applied extensively in arriving at derivative valuation formulae. Stochastic models of asset pricing, Black Sholes models, credit risk models will be covered extensively. |
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Course Outcome |
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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 |
Stochastic Models of Security Prices and Derivative Valuation
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The continuous time lognormal model, properties, empirical test of random walk, market efficiency, cross sectional and longitudinal properties, auto regressive models, the wilkie model, Introduction to valuation of derivative securities, the principle of no arbitrage, European Call and Put options, American options, factors affecting option prices, pricing forward contracts, Put call parity, The greeks – delta, gamma, theta, vega, rho and lambda.
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Unit-2 |
Teaching Hours:10 |
Binomial and Black Sholes Models
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The binomial model – the share price and cash process, One period, Two period and n period binomial trees, risk neutral probability measure, State price deflators, black Sholes option pricing formula and assumptions, the PDE approach, implied volatility.
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Unit-3 |
Teaching Hours:15 |
The 5 step Methods
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The 5 step methods for Garman Kohlhagen formula, self financing strategies, tradable assets, previsible process, replicating strategies, equivalent measures, the Cameron- Martin- Girsanov theorem, The martingale representation theorem, diffusion model, 5 step discrete model, 5 step continuous model, delta hedging and martigale approach, risk neutral pricing. | |
Unit-4 |
Teaching Hours:15 |
Stochastic Models for Term Structure of Interest Rates and Credit Risk
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Relationship between interest rates and bond prices, desirable characteristics of term structure model, the risk neutral approach to pricing, the state price deflator approach to pricing, The Vasicek Model, CIR Model, Hull and White model, limitations of the models, credit events and recovery rates, modeling credit risk – structural models, reduced form models and intensity based models, the merton model and JLT model (Basics)
| |
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. | |
MAS434 - RESEARCH METHODOLOGY (2018 Batch) | |
Total Teaching Hours for Semester:60 |
No of Lecture Hours/Week:4 |
Max Marks:100 |
Credits:4 |
Course Objectives/Course Description |
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The aim of this paper is to introduce some key elements of research methodology to first time research students. |
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Course Outcome |
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This subject will train the students to write a research paper |
Unit-1 |
Teaching Hours:15 |
Introduction
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: Meaning of research, significance of research, the research process, types of research, research objectives, research approaches, research hypotheses, criteria of good research, characteristics, research in an evolutionary perspective, defining the research problem. Research design and measurement:Research design, definition, types of research design, exploratory and causal research design, descriptive and experimental design, different types of experimental design, validity of findings, internal and external validity, variables in research, measurement and scaling, different scales, construction of instrument, validity and reliability of instrument. | |
Unit-2 |
Teaching Hours:15 |
Data collection, preparation and analysis
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Types of data, primary vs secondary data, methods of primary data collection, survey vs observation, experiments, construction of questionnaire and instrument, validation of questionnaire, sampling plan, sample size, determinants optimal sample size, sampling techniques, probability vs non–probability sampling methods, data preparation, editing, coding, data entry, validity of data, qualitative vs quantitative data analyses, bivariate and multivariate statistical techniques, factor analysis, discriminant analysis, cluster analysis, multiple regression and correlation, multidimensional scaling, application of statistical software for data analysis. | |
Unit-3 |
Teaching Hours:15 |
Report design, writing and ethics in business research
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Research report, different types, contents of report, need of executive summary, chapterization, contents of chapter, report writing, the role of audience, readability, comprehension, tone, final proof, report format, title of the report, ethics in research, ethical behaviour of research, subjectivity and objectivity in research. | |
Unit-4 |
Teaching Hours:15 |
SPSS
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Data Preparation and data entry, Descriptive Statistics, Data Editing, Charts, Hypotheses Testing, Correlation, Simple regression & Chi Square, Comparing Means, ANOVA & TWO way ANOVA, Non Parametric tests, Factor Analysis & Reliability, Multiple regression, Logistic Regression, Cluster Analysis, Discriminant Analysis | |
Text Books And Reference Books:
1. Uma Sekaran, Research methods for Business. Wiley India, 2006. 2. Donald R. Cooper and Pamela S. Schindler, Business Research methods. Tata Mc Graw Hill, 2006. 1. Alan Bryman and Emma Bell, Business Research methods. Oxford 2. O. R. Krishnaswami, Methodology of Research in Social Sciences. Himalaya Publishing, 2010.
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Essential Reading / Recommended Reading Research articles | |
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. | |
MAS451 - ACTUARIAL APPLICATIONS USING EXCEL AND VBA MACROS (2018 Batch) | |
Total Teaching Hours for Semester:60 |
No of Lecture Hours/Week:4 |
Max Marks:100 |
Credits:4 |
Course Objectives/Course Description |
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This course provides students with a practical understanding of the various software tools used by actuaries in practice and equips them with the necessary skills to solve actuarial related issues with Excel, VBA programming and SQL programming. Students will learn how to apply these skills through hands - on exercises and projects. |
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Course Outcome |
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This subject will train the students and enhance them to compete and excel in the Institute of Actuaries exam. |
Unit-1 |
Teaching Hours:15 |
Data Cleaning, using Excel and developing Actuarial applications
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Understanding of data, real-life data, data cleaning, meaning, need and methodology. Life insurance - fitting of mortality curves, graduation applications, estimation of CDF of lifespan, plotting observed data and confidence limits, preparing columns of life table, calculation of gross premium, net premium, profit testing, joint life applications, calculating unit prices, unit movements and simple embedded values.General Insurance - scatter plot for loss data, fitting of loss distribution, distribution for aggregate losses, ruin probability, pricing, experience rating, reserving and GLM. | |
Unit-2 |
Teaching Hours:15 |
Pension, Employee Benefits and Health care
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Calculating expected liability for employee benefits such as gratuity, leave encashment, pension (defined benefit), disclosures under accounting standards, reconciliation and experience adjustments, funding requirement, expectedpension based on defined contribution and calculating profits of annuity products, expected losses payable on a healthcare policy for different kinds of loss events, aggregate benefits payable on healthcare policies, pricing of health policies using burning cost model floater principles, calculating Beta from one year’s period for share prices, CAPM, calculating volatility, computing option prices using binomial model and Black-Scholes model, accounting disclosures using ESOP guidance note and interest rate model applications. | |
Unit-3 |
Teaching Hours:15 |
Project appraisal and other applications
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Calculation of discounted payback period, IRR and NPV, solving simple and compound interest rate problems, demonstrating a comprehension of scenario and stress tests, analysis of sensitivity, evaluating effects of internal and external factors on discount rates. | |
Unit-4 |
Teaching Hours:15 |
Programming Excel with VBA
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Introduction of VBA macros, VBA sub-procedure, VBA functions, create VBA macros, record actions to create them, write VBA code functions and VBA examples. | |
Text Books And Reference Books:
1. Edward W. Frees, Regression Modeling with actuarial and Financial Applications. Cambridge University Press, 2009. 2. Stuart A. Khugman, Harry H. Panjer and Gordan E. Willmot,Loss Models: From Data to Decisions. Wiley-Interscience, 2008. 1. Alistair Neill, Life Contingencies. Butterworth-heinemann, 1977. 2. J. Bagajewicz, Philip Booth and Robert Chadburn, Modern Actuarial Theory and Practice. Crc press, 2004.
| |
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. |