| Probability (P) |
General probability; selected univariate and multivariate probability distributions |
MATH 106, 107, 208; STAT 380, 462; ACTS 401 |
| Financial Mathematics (FM) |
Determining equivalent measures of interest; estimating the rate of return on a fund; discounting or accumulating a sequence of payments with interest; determining yield rates, length of investment, amounts of investment contributions or amounts of investment returns for various types of financial transactions; basic calculations involving yield curves, spot rates, forward rates, duration, convexity, immunization, short sales; introduction to no-arbitrage as a fundamental concept in financial mathematics, and introduction to financial derivatives (forwards, options, futures, swaps) |
ACTS 440/840, ACTS 402 |
| *SOA Actuarial Models (MLC) – Life Contingencies Segment |
(2012) Decrements and decrement models, including multi-state transition models; cash flow models, including discrete and interest sensitive product models; insurances, annuities, and investments |
ACTS 470/870, 471/871, 403 |
| SOA Actuarial Models (MFE) – Financial Economics Segment |
Interest rate models; rational valuation of derivative securities - put-call parity, value of European and American options using the binomial model, value of European and American options using the Black-Scholes option-pricing model, option Greeks, cash flow characteristics of the following exotic options, Itô’s lemma in the one-dimensional case: Asian, barrier, compound, gap, and exchange; simulation; risk management techniques. |
ACTS 405, FINA 467 or 867 |
| Construction and Evaluation of Actuarial Models (C) |
Severity models; frequency models; aggregate models; risk measures; Ruin Theory, construction of empirical models; construction and selection of parametric models; credibility theory; simulation |
STAT 463; ACTS 425/825, 410/810, 473/873 ACTS 404 |
| W3C | CSS 