34 graduate courses in the Fall 2015 Graduate Calendar, from Waterloo’s archived copy.
Time value of money; simple and compound interest and discount; real returns; equations of value; loan schedules; valuation of fixed coupon bonds; valuation of real return bonds; term structure of interest rates; no arbitrage pricing; valuation of forward contracts; binomial option valuation. Duration and Immunization
Department Consent Required
LEC, TUT · Course ID 013389Archived pageACTSC 611 today
Models for future lifetime; insurance and annuity functions; life tables and their use; future loss random variable for a contract; calculations of premiums and reserves; standard international actuarial notation.
Department Consent Required
LEC, TUT · Course ID 013390Archived pageACTSC 612 today
Discrete and continuous random variables; generating functions; dependence; maximum likelihood estimation, functions of random variables; confidence intervals, hypothesis tests; condition expectation; compound distributions.
Department Consent Required
LEC, TUT · Course ID 013391Archived pageACTSC 613 today
Agency theory; investment decisions; long-term financing and cost of capital; principles of taxation; financial reporting; assessment of capital investment projects.
Department Consent Required
LEC, TUT · Course ID 013392Archived pageACTSC 614 today
Micro: Supply and demand; utility theory and risk aversion; production choices; competition; Macro: Fiscal and monetary policy; exchange rates; factors affecting inflation, unemployment, exchange rates and economic growth; introductory game theory; introduction to insurance economics.
Department Consent Required
LEC, TUT · Course ID 013393Archived pageACTSC 615 today
Mean-Variance portfolio theory; Capital-Asset Pricing Method, Arbitrage Pricing Theory, Efficient Markets Hypotheses; Capital structure and dividend policy.
Department Consent Required
Prereq: Master of Actuarial Science Students only
LEC, TUT · Course ID 013406Archived pageACTSC 621 today
Multiple state models; premiums and reserves for stat dependent policies, including joint life and last survivor benefits; cashflow projection methods; deterministic, stochastic and stress testing; embedded options; introduction to pension valuation and funding.
Department Consent Required
Prereq: Master of Actuarial Science Students only
LEC, TUT · Course ID 013395Archived pageACTSC 622 today
Generalized linear models: multiple linear regression and normal linear model; exponential family; link functions; linear predicators; estimation; testing. Time series: Univariate ARIMA; multivariate AR; applications to economic series.
Department Consent Required
Prereq: Master of Actuarial Science Students only
LEC, TUT · Course ID 013396Archived pageACTSC 623 today
Counting processes; Markov processes and Kolmogorov equations; Brownian motion and geometric Brownian motion; Ito's lemma Monte Carlo simulation.
Department Consent Required
Prereq: Master of Actuarial Science Students only
LEC, TUT · Course ID 013397Archived pageACTSC 624 today
Frequency and severity models; compound distributions, calculation of moments and probabilities using recursion; Bayesian estimation and credibility; claims reserving for non-life insurance using run-off triangle methods, introductory ruin theory.
Department Consent Required
Prereq: Master of Actuarial Science Students only
LEC, TUT · Course ID 013398Archived pageACTSC 625 today
Risk measures, Binomial and lattice models for option pricing, Black-Scholes option pricing; term structure models. Credit risk; types of models and types of derivatives.
Department Consent Required
Prereq: Master of Actuarial Science Students only
LEC, TUT · Course ID 013399Archived pageACTSC 631 today
Estimation for lifetime models; estimation for multiple state modes. Graduation. Mortality projection using the Lee Carter model. MLE for Markov multiple state models.
Department Consent Required
Prereq: Master of Actuarial Science Students only
LEC, TUT · Course ID 013400Archived pageACTSC 632 today
The Actuarial Profession. The Actuarial Control Cycle Impact of Regulation. Consumer needs. Assessing risk. Modeling. Monitoring Experience. Pricing and reserving in life and non-life insurance.
Department Consent Required
Prereq: Master of Actuarial Science Students only
LEC, TUT · Course ID 013401Archived pageACTSC 633 today
Enterprise Risk management. Pricing and valuation. Economic and regulatory capital. Solvency. Investment management.
Department Consent Required
Prereq: Master of Actuarial Science Students only
LEC, TUT · Course ID 013402Archived pageACTSC 634 today
Elements of writing. Written project on an advanced topic, with a communications focus. Presentations: preparation and delivery.
Department Consent Required
Prereq: Master of Actuarial Science Students only
LEC, TUT · Course ID 013403Archived pageACTSC 635 today
Instructor Consent Required
RDG · Course ID 009455Archived pageACTSC 690 today
Models for loss severity: parametric models, effect of policy modifications; tail behabiour. Models for loss frequency: (a,b,0), (a,b,1), mixed Poisson models; compound Poisson models. Aggregate claims models: moments and moment generating function: recursion. Classical ruin theory.
Antireq: ACTSC 431
LEC, TUT · Course ID 000071Archived pageACTSC 831 today
Credibility theory: limited fluctuation; Bayesian; Buhlmann; Buhlmann-Straub; empirical Bayes parameter estimation statistical inference for loss models; maximum likelihood estimation; effect of policy modifications; model selection.
Antireq: ACTSC 432
LEC · Course ID 000072Archived pageACTSC 832 today
The Mathematics of Survival Models, some examples of parametric survival models. Tabular survival models, estimates from complete and incomplete data samples. Parametric survival models, determining the optimal parameters. Maximum likelihood estimators, derivation and properties. Product limit estimators, Kaplan-Meier and Nelson Aalen. Practical aspects.
Antireq: ACTSC 433
LEC · Course ID 000073Archived pageACTSC 833 today
This course introduces enterprise risk management, with a focus on quantitative analysis and economic capital. Risk classification is first discussed with an emphasis on the types of risk most suited to quantitative methods. Risk measures, such as Value-at-Risk (VaR) and Conditional Tail Expectation (CTE or TVaR), are then introduced, and their use by firms and regulators to determine risk capital requirements is further highlighted. Different approaches are considered for developing loss distributions, including frequency/severity analysis and extreme value theory. Copulas and economic scenario generators are used to aggregate dependent risks. Different strategies for mitigating or transferring risk are reviewed. Additional topics that may be covered include credit risk, capital allocation and regulation of financial institutions.
Antireq: ACSTC 445
LEC, TUT · Course ID 010064Archived pageACTSC 845 today
This course covers mathematical techniques for no-arbitrage pricing and hedging financial derivatives. Topics to be covered can be classified into three broad ares: derivatives markets (options; forwards and futures; other derivatives; put-call parity), discrete-time financial models (binomial models; general multi-period models; fundamental theorems of asset pricing; risk-neutral probability), and continuous-time financial models (basic stochastic calculus and Ito's lemma; Black-Scholes model; interest rate models and bond pricing).
Antireq: ACTSC 446
LEC, TUT · Course ID 011270Archived pageACTSC 846 today
Cash flow projection methods for pricing, reserving and profit testing, deterministic, stochastic and stress testing; pricing and risk management of embedded options in insurance products; mortality and maturity guarantees for equity-linked life insurance.
LEC · Course ID 000078Archived pageACTSC 855 today
Macro methods of runoff analysis: chain-ladder, least squares, separation, payment per claim incurred. Stochastic methods: Reid's method, see-saw, payment per unit of risk, autoregressive models, Kalman filter.
LEC · Course ID 000082Archived pageACTSC 961 today
The analysis of the development over time of the surplus on a portfolio of insurance business is considered. The classical Poisson and Sparre Andersen risk models are studied. Unified treatment of moments and distributions of quantities related to the event of ruin is done through a discounted penalty function approach. Random variables of interest include the time of ruin itself, the deficit immediately after ruin occurs, and the surplus immediately prior to ruin. Defective renewal equations and Laplace transforms are utilized extensively. Prerequisites are familiarity with aggregate loss models at the level of ActSc 431/831 or equivalent.
LEC · Course ID 011274Archived pageACTSC 963 today
Fundamental concepts in quantitative risk management. Topics typically include: risk measures, extreme value theory, multivariate distributions and copulas. This course has a focus on mathematical and statistical techniques. Other topics may be covered at the discretion of the instructor.
LEC · Course ID 011275Archived pageACTSC 964 today
Ruin Theory for heavy-tailed distributions. Fluctuation of maxima and upper order statistics. Extreme value distributions: Weibull, Frechet, Gumbel and generalized Pareto. Mean excess function. Statistical methods for external events. Estimation of parameters of extreme value and excess distributions. Applications in finance and insurance.
LEC · Course ID 011276Archived pageACTSC 965 today
Mixed Poisson and nonhomogeneous birth processes for claim counts; analytic, recursive, asymptotic and approximate evaluation of compound distributions for aggregate claims; reliability concepts and analysis of stop-loss moments; applications for inflation, incurred but not reported claims, and infinite server queues. Prerequisites are familiarity with aggregate loss models at the level of ActSc 431/831 or equivalent.
LEC · Course ID 011686Archived pageACTSC 966 today
The course introduces options and other derivative securities in different asset classes. The main focus is on methods of pricing in a multi-period setting, but continuous-time models are also discussed. Topics may include no-arbitrage pricing theory, the fundamental theory of asset pricing, complete and incomplete markets,and pricing of complex financial instruments.
(Cross-listed with ACC 770)
LEC · Course ID 000044Archived pageACTSC 970 today
The course discusses methods and tools for modeling of financial derivatives in the continuous-time setting. Both theory and practical applications are discussed. The first part covers methods of pricing and hedging of derivatives under different assumptions about the dynamics of the underlying economic factors. Topics normally include currency derivatives, American and exotic options, futures contracts, stochastic volatility models and mean-variance hedging. The second part deals with modeling and pricing of interest-rate products. Topics may include short interest rate models, the Heath-Jarrow-Morton Framework, and Libor and swap market models.
(Cross-listed with ACC 771)
LEC · Course ID 000045Archived pageACTSC 971 today
The course will cover selected and advanced topics in quantitative finance and risk management, with a particular focus on current developments. Topics may include robust and Bayesian portfolio optimization, limits to arbitrage, derivatives pricing under model uncertainty, credit risk models, and models of systematic risk.
(Cross-listed with ACC 772)
LEC · Course ID 000046Archived pageACTSC 972 today
Basic optimization: quadratic minimization subject to leanear equality constraints. Effecient portfolios: the efficient frontier, the capital market line, Sharpe ratios and threshold returns. Practical portfolio optimization: short sales restrictions target portfolios, transactions costs. Quadratic programming theory. Special purpose quadratic programming algorithms for portfolio optimization: today's large investment firms expect to solve problems with at least 1000 assets, transactions costs and various side constraints in just a few minutes of computation time. This requires very specialized QP algorithms. An overview of such algorithms will be presented with computational results from commercial problems. The efficient frontier, the capital market line, Sharpe ratios and threshold returns in practice.
(Cross-listed with CO 778)
LEC · Course ID 011622Archived pageACTSC 973 today
The focus of this course is on the statistical modelling, estimation and inference and forecasting of nonlinear financial time series, with a special emphasis on volatility and correlation of asset prices and returns. Topics to be covered normally include: review on distribution and dynamic behaviour of financial time series, univariate and multivariate GARCH processes, long-memory time-series processes, stochastic volatility models, modelling of extreme values, copulas, realized volatility and correlation modelling for ultra high frequency data and continuous time models.
(Cross-listed with STAT 974)
LEC · Course ID 014063Archived pageACTSC 974 today
Instructor Consent Required
LEC · Course ID 000085Archived pageACTSC 991 today
Instructor Consent Required
SEM · Course ID 000093Archived pageACTSC 992 today