STOR 372 Syllabus

STOR 372 Syllabus - STOR 372: Long-Term Actuarial Models...

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STOR 372: Long-Term Actuarial Models FALL 2011 Instructor : Charles Dunn, FSA E-mail : Textbooks : Actuarial Mathematics by Bowers, et al, Second edition published 1997 by Society of Actuaries This is the only textbook required for this course. It is also the required textbook for STOR 472. Financial Mathematics textbooks (not required): Mathematics of Investment and Credit by Samuel Broverman Fourth edition published 2008 by ACTEX Publications Financial Mathematics- A Practical Guide for Actuaries and other Business Professionals by Ruckman and Francis Second edition published 2005 by BPP Professional Education Mathematical Interest Theory by Daniel and Vaaler Second edition published 2009 by The Mathematical Association of America The Theory of Interest by Stephen Kellison Third edition published 2008 by Irwin/McGraw-Hill Prerequisites : A working knowledge of derivatives and integrals of elementary functions. Familiarity with the meaning of certain basic probability concepts such as random variable, expected value, variance, and distribution function. You may take a probability course concurrently. Course Content : Calculus-Based Compound Interest : Theory of compound interest in both finite and continuous time; application of concepts of present value and accumulated value to various streams of cash flow; nominal and effective interest and discount rates, and the force of interest (selected material from Financial Math textbooks) Failure Time Distributions : Discrete and continuous univariate probability distributions for failure time random variables, and their relation to life table functions, survival functions, and the force of mortality (Chapter 3 in Actuarial Mathematics) Formulating Present Value Models : Formulating models (stochastic and deterministic) for the present value, with respect to an assumed deterministic interest rate structure, of a set of future contingent cash
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This note was uploaded on 11/02/2011 for the course STOR 372 taught by Professor Dunn during the Spring '11 term at UNC.

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STOR 372 Syllabus - STOR 372: Long-Term Actuarial Models...

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