21 courses in Waterloo’s course catalog for 2020–21 (Fall 2020, Winter 2021, Spring 2021), from UW Open Data. ucalendar asks programs not to read that year’s calendar, so this stands in for it. Original: ucalendar.uwaterloo.ca/2021/COURSE/course-ACTSC.html
The theory of rates of interest and discount; annuities and sinking funds with practical applications to mortgage and bond questions. Yield rates. [Offered: F,W,S]
Prereq: Level at least 2A; Not open to Actuarial Science students. Antireq: ACTSC 231; (For Mathematics students only - CIVE 292/392)
LEC · Course ID 003290On ucalendarACTSC 221 today
The theory of rates of interest and discount including the theoretical continuous case of forces of interest and discount. Annuities and sinking funds, including the continuous case. Practical and theoretical applications primarily to mortgages and bonds. Yield rates. [Offered: F,W,S]
Prereq: MATH 137 or 147 and (STAT 220 with a grade of at least 70% or a corequisite of STAT 230 or 240); Level at least 2A; Not open to students who have received credit for ACTSC 232. Antireq: ACTSC 221
LEC · Course ID 003293On ucalendarACTSC 231 today
The future lifetime random variable: probability and survival functions; force of mortality; complete and curtate expectation of life; Makeham and Gompertz mortality laws. Life tables: characteristics of population and insurance life tables; selection; fractional age assumptions. Life insurance payments and annuity payments: present value random variables; expected present values; higher moments; actuarial notation. Annual, 1/mthly and continuous cases. Relationships between insurance and annuity functions. Premiums: expense loadings. Present value of future loss random variables and distribution, net and gross cases. Equivalence principle. Portfolio percentile principle. Extra risks. [Note: Students who have met the ELPE requirement must contact their ACTSC advisor. Offered: F,W,S]
Prereq: (At least 60% in ACTSC 231) and (STAT 230 or 240) and (at least 60% in MTHEL 131). Not open to students who received credit for ACTSC 331.
LEC · Course ID 003294On ucalendarACTSC 232 today
This is the first in a two-course sequence that deals with corporate financial decision-making. Topics may include time value of money, capital budgeting, cost of capital, security issuance, capital structure, payout policy and dividends, short term finance, and risk management. Where suitable, topics are treated from a mathematical and quantitative perspective.
Prereq: MATH 136 or 146, 138 or 148; Accounting & Financial Management, Computing & Financial Management, Mathematics/ CPA or Science Biotechnology/Chartered Accountancy students. Coreq: STAT 231 or 241. Antireq: AFM 273, ACTSC 371, ECON 371
LEC · Course ID 011750On ucalendarACTSC 291 today
Policy Values: Annual, 1/mthly, and continuous cases. Thiele's equation. Modified premium policy values. Multiple state models: applications in life contingencies; assumptions; Kolmogorov equations; premiums, policy values, multiple decrement models. Joint life models: valuation of insurance benefits on joint lives, dependent and independent cases. [Note: Some of the material covered in STAT 333 reinforces some of the concepts covered in this course. Therefore students might find it beneficial to take STAT 333 and ACTSC 331 at the same time. Offered: F,W,S]
Prereq: ACTSC 232 with a grade of at least 60%; Actuarial Science students only
LEC · Course ID 003295On ucalendarACTSC 331 today
Models for loss frequency: Poisson, negative binomial, binomial, (a, b, 0) class; models for loss severity including exponential, gamma, lognormal, Pareto, and Weibull; impact of policy adjustments on loss frequency and severity; estimation; compound Poisson models; aggregate claims models: properties, recursion, simulation, and pricing; deterministic reserving methods: chain ladder and Bornhuetter Ferguson; introduction to reinsurance. [Offered: F,W]
Prereq: Actuarial Science or Mathematical Finance students only. Coreq: STAT 330. Antireq: ACTSC 431 (taken in or before spring 2020).
LEC · Course ID 003300On ucalendarACTSC 363 today
Introduction to capital markets. Analysis of equity and fixed income investments. Introduction to derivative securities including futures, forwards, swaps, and options. [Offered: F,W,S]
Coreq: STAT 231 or 241
LEC · Course ID 011438On ucalendarACTSC 371 today
Capital budgeting. Real options. Investment decision using Markowitz and utility theory. Capital asset pricing model. Arbitrage pricing theory. Market efficiency. Capital structure and dividend policy. Advanced topics. [Offered: F,W,S]
Prereq: ACTSC 371 and (MATH 207 or 237 or 247) Antireq: AFM 272/ACTSC 291, AFM 273, 274, AFM 372/ACTSC 391, BUS 393W, ECON 371
LEC · Course ID 012044On ucalendarACTSC 372 today
This course is a continuation of AFM 272/ACTSC 291. Topics to be explored are covered under the listing for AFM 272/ACTSC 291.
Prereq: AFM 272/ACTSC 291; Computing and Financial Management, Mathematics/Chartered Professional Accountancy students. Antireq: AFM 274, ACTSC 372, ECON 371
LEC · Course ID 011751On ucalendarACTSC 391 today
Advanced models for loss frequency: (a, b, 1) class, mixed and compound Poisson models; concept of infinite divisibility; advanced models for loss severity: combination of exponentials, mixed Erlang, extreme value distributions; measure of distribution tails; impact of policy adjustments on loss frequency and severity; estimation; advanced aggregate claims models: properties, analytic results, (double) recursion, and pricing; risk measures. Other topics which may be covered include aggregate claim models with dependence, time-dependent claims, and ruin theory. [Offered: F,S]
Prereq: ACTSC 363 with a grade of at least 60%, STAT 330; Actuarial Science or Mathematical Finance students only
LEC · Course ID 016161On ucalendarACTSC 431 today
Introduction to ratemaking; rating factors; insurance pricing using generalized linear models; experience rating; credibility theory: Bayesian, Buhlmann, and Buhlmann-Straub; empirical Bayes parameter estimation. [Offered: F,S]
Prereq: ACTSC 363, STAT 330, (one of STAT 331, 371, 373); Actuarial Science or Mathematical Finance students only
LEC · Course ID 003301On ucalendarACTSC 432 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. [Offered: F,S]
Prereq: (AFM 372/ACTSC 391or(ACTSC 231, 371)or(ACTSC 231, BUS 393W)),((STAT 330,333) or STAT 334); ACTSC, Math/FARM, Math Fin students only. Antireq: AFM 422, MATBUS 472, BUS 433W, BUS 439W
LEC · Course ID 009492On ucalendarACTSC 445 today
This course covers mathematical techniques for no-arbitrage pricing and hedging financial derivatives. Topics to be covered can be classified into three broad areas: 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 Itô's lemma; Black-Scholes model; interest rate models and bond pricing). [Offered: F,W]
Prereq: (AFM 372/ACTSC 391 or (ACTSC 231&371) or (ACTSC 231&BUS 393W)), (STAT 333 or 334); ACTSC, Math/FARM, Math Fin, STAT students only. Antireq: AFM 322, BUS 423W, ECON 372, MATBUS 470
LEC · Course ID 003305On ucalendarACTSC 446 today
Theory and practice of pension plan funding. Assumptions, basic actuarial functions, and population theory applied to private pensions. Concepts of normal costs, supplemental liability, unfunded liability arising from individual accrued benefit, and projected benefit cost methods.
Prereq: ACTSC 331; Actuarial Science or Mathematical Finance students only
LEC · Course ID 003308On ucalendarACTSC 453 today
Kaplan-Meier and Nelson-Aalen estimators for survival functions. Kernel density models. Validation of mortality tables. Estimators for Markov multiple state transition intensities. Longevity models, including deterministic and stochastic models such as Lee-Carter and Cairns-Blake-Dowd. [Offered: W]
LEC · Course ID 003302On ucalendarACTSC 454 today
Profit testing for traditional and non-traditional life insurance. Pricing and valuation of embedded options in life insurance products. Defined benefit and defined contribution pension plan design. Theory and practice of unit credit methods for pension plan funding and valuation for final average salary, career average earnings, and career average revalued earnings pension plans; post-retirement health benefits.
Prereq: ACTSC 331 with a grade of at least 60%; Actuarial Science or Mathematical Finance students only. Coreq: ACTSC 446
LEC · Course ID 013318On ucalendarACTSC 455 today
An introduction to property/casualty loss reserving techniques. Claim payment process. Chain-ladder methods. Stochastic models.
Prereq: ACTSC 363, (STAT 331 or 371 or 373); Actuarial Science or Mathematical Finance students only
LEC · Course ID 003299On ucalendarACTSC 463 today
Reading course as announced by the department.
Prereq: Actuarial Science or Mathematical Finance students only
RDG · Course ID 014534On ucalendarACTSC 468 today
Reading course as announced by the department.
Prereq: Actuarial Science or Mathematical Finance students only
RDG · Course ID 014535On ucalendarACTSC 469 today
This course covers various advanced topics in corporate finance, with emphasis on theories of corporate incentives and asymmetric information. Illustrative applications using cases are provided.
Prereq: AFM 372/ACTSC 391 or ACTSC 372; Comp & Financial Management, Actuarial Science, Math/CPA, Math/Financial Analysis & Risk Mgmt Chartered Financial Analyst, or Mathematical Finance. Antireq: AFM 373
LEC · Course ID 011760On ucalendarACTSC 471 today
Advanced topics course as announced by the department. Topics and term offerings will vary.
Prereq: Level at least 3B; Actuarial Science or Mathematical Finance students only.
LEC · Course ID 015667On ucalendarACTSC 489 today