Acad Unit: 4.0
Pre-requisite: AB103
Descriptive statistics. Random variables. Probability distributions. Expectations. Moment generating functions and cumulants. Independence and convolution. Functions of random variables. Conditional expectation and compound distribution. Central Limit Theorem. Random sampling and sampling distributions. Point and interval estimation. Testing of hypotheses; one and two sample problems; chi-square tests. Analysis of variance. Linear regression and correlation analysis
Acad Unit: 4.0
Pre-requisite: AB103
Life time random variable (distribution, density and survival function, hazard rate, life expectancy); estimation for censored lifetime data (Kaplan-Meier and Nelson-Aalon estimate, Cox model); multiple state models, estimators of transition intensities; Binomial model of mortality; test of consistency of estimates and graduation of rates; assurance and annuity contracts (moments of the present value of payments, commutation functions; random future loss and equivalence principle; net premium, reserve policy value.
Acad Unit: 4.0
Pre-requisite: AB103
Deterministic and stochastic models; sensitivity testing; stochastic process; Markov chain and process; Kolmogorov equations; Poisson process; sickness and marriage models; univariate time series models (ARIMA). Box-Jenkins procedure; transfer function and multivariate autoregressive models; Gauss-Wiener process; Monte Carlo simulation.
Acad Unit: 4.0
Pre-requisite: Nil
Contingent cash flow models. Compound interest, discounting and time value of money. Nominal and effective interest rates. Effects of inflation. Actuarial functions. Equation of value. General loan schedule. Discounted cash flow and investment project appraisal. Valuation of fixed interest securities and index-linked bonds. Effects of income and capital gains tax. Optional redemption dates. Pricing forward contracts. Term structure of interest rates. Duration, convexity and immunisation. Stochastic interest rate models.
BA219 PRINCIPLES OF RISK AND INSURANCE
Acad Unit: 4.0
Pre-requisite: Nil
This subject covers risk and risk management, an overview of the insurance industry in Singapore, legal aspects of insurance contracts, an overview of life and general insurance products, and application of students’ knowledge to corporate risk management. The structure of this subject is also to let business students specializing in other majors to get the basic understanding of insurance.
BA309 LIFE CONTINGENCIES AND DEMOGRAPHY
Acad Unit: 4.0
Pre-requisite: Nil
Joint life functions. Evaluation of joint life and last survivor annuities and assurances, including considering their continuous equivalents and treating them as expected values of functions of random variables. Select life functions: select and ultimate life table; probabilities of survival for select lives; net premium and net premium policy values using select mortality. Variable benefit, disability and long-term care contract types: net premiums and reserves. Future expenses and bonus. Gross premiums and reserving. Discounted emerging costs, asset shares and retrospective reserves. Surrenders and alterations. Cost of guarantees and options. Forms of heterogeneity within a population. Occurrence of selection. Standardised mortality/morbidity rate and ratio. Population projection models. Disability insurance contracts.
BA311 INSURANCE ECONOMICS AND RISK ASSESSMENT
Acad Unit: 4.0
Pre-requisite: Nil
This subject covers risk attitudes of the insured and of the insurer in handling risks. In particular, students will learn how to evaluate risk attitudes of insured in purchasing different types of insurance products and how insurers can provide those products using fair pricing strategies. In line with these objectives, students will learn the impact of adverse selection, moral hazard, risk aversion on pricing insurance products.
Acad Unit: 4.0
Pre-requisite: Nil
Historical review of computers and their use in Actuarial Science; Programming Concepts; Common Programming Languages in Actuarial Applications; Database Concepts; Spreadsheets; Actuarial Applications Software.
Acad Unit: 4.0
Pre-requisite: BA215
Bayesian statistics. Loss distributions: Effects of reinsurance arrangements; moments and moment generation functions of the gamma, exponential, Pareto, generalised Pareto, normal, lognormal, Weibull and Burr distributions; fitting loss distributions; concepts of deductibles and retention limits; proportional and excess of loss reinsurance; claim amounts distributions of insurer and reinsurer under reinsurance. Risk models for short-term insurance contracts – compound Poisson, compound binomial and compound negative binomial distributions; aggregate claims distributions. Ruin theory: the adjustment coefficient; Lundberg’s inequality; effect on the probability of ruin of changing parameter values; effect of simple reinsurance arrangements. Credibility theory: "American Credibility", Bayesian approach to credibility theory and empirical Bayes credibility theory; credibility premium formulae derived from the empirical Bayes credibility approach. Simple experience rating systems. Analysis of run-off triangles. Concepts and applications of the Generalised Linear Model.
BA323 ACTUARIAL ASPECTS OF ASSET VALUATION
Acad Unit: 4.0
Pre-requisite: Nil
Expected utility theory and its applications to asset pricing and portfolio selection models. Measures of risk and risk aversion. Stochastic dominance. Mean-variance portfolio theory. Efficient frontier. Single and multifactor models of asset returns. Asset-liability modelling. Equilibrium models of pricing assets: procedure, assumptions and principal results. Capital Asset Pricing Model. Arbitrage Pricing Theory model. Efficient Market Hypothesis. Stochastic asset models. Parameter estimation for asset pricing models. Models for the term structure of interest rates: no-arbitrage versus general equilibrium models. Models for valuing derivative securities. Options pricing theory. Put-call parity. Black-Scholes pricing formula and its Garman-Kohlhagen form. Implied volatility. Numerical methods for valuing options.
BA324 INSURER OPERATIONS AND FINANCIAL ANALYSIS
Acad Unit: 4.0
Pre-requisite: Nil
In this subject, students will learn how the insurance market is structured, how insurers market their products, what fundamentals of underwriting and claims management they use. These topics can be discussed with reference to life or general insurance. Additionally, students will learn how to evaluate financial soundness of insurance companies using evaluation tools specifically designed for the insurance industry.
BA325 ANALYSIS OF LIFE AND HEALTH INSURANCE
Acad Unit: 4.0
Pre-requisite: Nil
This subject is designed for in-depth analysis of life insurance products available in Singapore and abroad. Students will learn how term life, whole life, annuities and investment-linked products are designed, advantages and disadvantages of these products, and how to improve existing products. They will also learn products available in other countries for comparison purposes. Health insurance (inclusive of long-term care) available using CPF funds and from the private insurance industry as well as group insurance will also be covered.
BA326 ANALYSIS OF GENERAL INSURANCE
Acad Unit: 4.0
Pre-requisite: Nil
This subject is designed for in-depth analysis of general insurance products available in Singapore. Various classes of insurance, including household insurance, motor insurance, workmen’s compensation insurance, commercial property liability insurance, products liability insurance and professional liability insurance will be discussed. This subject can, therefore, be useful in assessing risk transfer mechanisms for individuals and for corporations.