UCT BUS3018F-Actuarial Science II: Models

Third year, First Semester, Two two-hour lectures per week.
Convener : Associate Professor I. L. MacDonald
Prerequisites

• BUS2024H Actuarial Science I: Financial Mathematics
• MAM2000W Mathematics II
• STA2004F Statistics 2004
• STA2005S Statistics 2005
• BUS1003H Introduction to Actuarial Science

Course Outline
Principles of actuarial modelling; principles and classification of stochastic processes; definition and application of Markov chains and processes. Survival models, estimation of lifetime distributions; multiple states; single and multiple decrements, transition intensities and maximum likelihood estimators. Binomial model of mortality, multiple state models. Process of graduation. Testing crude estimates; standard tables.
Duly Performed Requirements
Timeous submission of all tutorial exercises and writing of all class tests. An overall average of 40% for classwork.
Assessment

• Tutorial and Tests 40%
• Examination (3hrs) 60%