Faculty of Arts & Science 2012-2013 Calendar

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Actuarial Science

Faculty

Actuarial Science is based upon the application of mathematical techniques to reduce the impact of such hazards as loss of income through death, disability, or retirement, or loss of property through fire, accident, or theft. Actuaries are the chief architects of life, health, and property insurance plans, and pension plans, and bear the major responsibility for their financial soundness. By using concepts from the areas of probabilities and finance, actuaries model, forecast and value the costs of benefits that will be provided to the participants in such plans. Methods developed for modeling insurance risk can also be applied to modeling investment risk, and actuaries apply their expertise to the valuation of sophisticated investment vehicles such as options on equities, bonds and other investment derivatives. ACT230H1 and 240H1, though somewhat technical, are courses of interest to a wide audience, since almost every student will from time to time be either a saver or a borrower, and will be covered by insurance and pension plans. Other actuarial courses deal with more specialized topics, and are generally taken by students with a more serious interest in the field or who want to pursue a career as an actuary. Professional accreditation as an actuary is obtained via the Canadian Institute of Actuaries by passing a series of examinations set by the Society of Actuaries or the Casualty Actuarial Society. Some professional requirements can be satisfied through courses in the actuarial program. For more information about actuarial studies and careers, contact Professor Broverman or Professor Lin.

Enquiries: 100 St. George Street, Sidney Smith Hall, Room 6022 (416-978-5136)

Associate Chair, Undergraduate Studies: Statistics - Professor D Brenner; e-mail: brenner@utstat.utoronto.ca

Associate Chair, Undergraduate Studies: Actuarial Science Professor S Broverman; e-mail: sam@utstat.utoronto.ca

Actuarial Science Programs

This is a limited enrolment program.  All students who request the program and obtain at least the specified mark(s) in the required course(s) will be eligible to enrol.

This is a limited enrolment program.  All students who request the program and obtain at least the specified mark(s) in the required course(s) will be eligible to enrol.

Required courses: MAT137Y1 with a final mark of at least 65% and ECO100Y1 with a final mark of at least 70%.

(12 courses or their equivalent, including at least four 300+-series courses, one of which must be at the 400-level)

This program is designed to prepare a student for professional work as an actuary, and more generally in the financial risk management industry.sa

First Year:
1. ECO100Y1 (70%)
2. MAT137Y1 (65%)/MAT157Y1
3. MAT223H1/MAT240H1 (should be taken in first year)

Second Year:
1. ACT240H1, ACT245H1, ACT247H1
2. MAT237Y1/MAT257Y1
3. STA257H1, STA261H1
4. MGT201H1

Higher Years:
1. ACT348H1, ACT349H1, ACT370H1, ACT451H1, ACT452H1, ACT455H1, ACT460H1, ACT466H1
2. STA302H1, STA347H1, STA457H1
NOTE: In order to enroll in ANY 300- or 400-level ACT course, the minimum grade of C must be obtained in each of ACT240H1, ACT245H1 and ACT247H1. These prerequisites will be strictly enforced.
3. MAT246H1 are recommended.  Students who have an interest in pursuing studies in mathematical finance can take MAT224H1 and MAAT336H1.  Required courses: MAT137Y1 and ECO100Y1.  These requirements will be strictly enforced.  Students should expect prerequisite to be strictly enforced.
4. Students in the Actuarial Science Specialist program who have successfully completed ACT348H1 may be eligible to enroll in the following RSM courses (provided the appropriate prerequisites and co-requisites are met): RSM430H1, RSM433H1, RSM437H1
5. CSC108H1 recommended

This is a limited enrolment program.  All students who request the program and obtain at least the specified mark(s) in the required course(s) will be eligible to enrol.

Required courses: MAT137Y1 with a final mark of at least 65% and ECO100Y1 with a final mark of at least 70%.

(8.5 courses or their equivalent, including at least two full-course equivalents at the 300+-level)

First Year:
1. MAT137Y1 (65%)/MAT157Y1
2. ECO100Y1 (70%)
3. MAT223H1/MAT240H1 (should be taken in first year)

Higher Years:
1. MGT201H1
2. ACT240H1, ACT245H1, ACT247H1, ACT348H1, ACT370H1
3. MAT237Y1/MAT257Y1
4. STA257H1, STA261H1
5 Two of: ACT349H1, ACT451H1, ACT452H1, ACT455H1, ACT460H1, STA302H1, STA347H1, STA457H1

Actuarial Science Courses

The 199Y1 and 199H1 seminars are designed to provide the opportunity to work closely with an instructor in a class of no more than twenty-four students. These interactive seminars are intended to stimulate the students’ curiosity and provide an opportunity to get to know a member of the professorial staff in a seminar environment during the first year of study. Details here.

Introduction to financial mathematics, interest measurement, present value calculation, annuity valuation, loan amortization, consumer financing arrangements, bond valuation. The course is aimed at a general audience who will not be continuing in the actuarial science program.

Interest, discount and present values, as applied to determine prices and values of annuities, mortgages, bonds, equities; loan repayment schedules and consumer finance payments in general; yield rates on investments given the costs on investments.

Term structure of interest rates, cashflow duration, convexity and immunization, forward and futures contracts, interest rate swaps, introduction to investment derivatives and hedging strategies.

Probability theory applied to survival and to costs and risks of life assurances, life annuities, and pensions; analysis of survival distributions; international actuarial notation.

Determination of benefit premium and benefit reserves for life insurance and annuities; analysis of insurance loss random variables; theory of life contingencies for multiple lives.

Actuarial applications of financial mathematics and economics.

Mathematical theory of financial derivatives, discrete and continuous option pricing models, hedging strategies and exotic option valuation.

An instructor-supervised group project in an off-campus setting. Details here.

An instructor-supervised group project in an off-campus setting. Details here.

Loss models policy adjustments, frequency and severity models, compound distributions.

Prerequisite: STA261H1, ACT348H1, STA347H1 (ACT348H1, STA347H1 can be corequisite with permission of instructor)
Distribution Requirement Status: This is a Science course
Breadth Requirement: The Physical and Mathematical Universes (5)

ACT452H1    Loss Models II [36L]

Estimation of Loss and Survival Models using complete, censored and truncated data. Product-Limit estimation, empirical estimation, moment and percentile estimation, maximum likelihood estimation and simulation models.

Advanced life contingencies, multiple decrement theory, insurance policy expenses, multi-state transition models, Poisson processes.

Applications of the lognormal distribution, Brownian motion, geometric Brownian motion, martingales, Itos limma, stochastic differential equations, interest rate models, the Black-Scholes model, volatility, value at risk, conditional tail expectation.

Limited fluctuation credibility, Bayesian estimation, Buhlmann credibility, non-parametric credibility methods, inverse transformation simulation method, specialized simulation methods for the normal and lognormal distributions, Monte Carlo methods, the bootstrap method.

Topics in pension mathematics; funding methods for pension plans. (Offered in alternate years)

Assets, liability and investment management for pension plans. (Offered in alternate years)

Case study approach to current issues in life insurance, pension consulting and casualty actuarial practice. The focus of the course will be on communication and presentation.

Independent study under the direction of a faculty member. Persons wishing to take this course must have the permission of the Undergraduate Secretary and of the prospective supervisor.

Independent study under the direction of a faculty member. Persons wishing to take this course must have the permission of the Undergraduate Secretary and of the prospective supervisor.

Independent study under the direction of a faculty member. Persons wishing to take this course must have the permission of the Undergraduate Secretary and of the prospective supervisor.

Independent study under the direction of a faculty member. Persons wishing to take this course must have the permission of the Undergraduate Secretary and of the prospective supervisor.