ETC5343 - Financial mathematics under uncertainty - 2018

Financial mathematics under uncertainty will apply the ideas of interest rates, present values, cash flow modelling and profit testing in the context of certain payments and payments dependent on individual deaths or other uncertain risk. We will also introduce stochastic modelling techniques applied to actuarial and financial contexts.

Students will cover the topics of present values and accumulated values, equations of value, Markov modelling, survival models, life tables and contingent products.

The learning goals associated with this unit are to:

1. understand the use of cash flow models to visualise a series of income and outgo within a financial context
2. understand and be able to manipulate interest rates, to convert interest rates between effective and nominal and to appropriate interest rates to cash flows
3. explain the concept of survival models
4. Understand and apply the concepts of Markov chains and jump processes to financial and actuarial contexts.
5. understand mortality rates, the development of mortality tables and their use in pricing actuarial products
6. understand the different types of actuarial products including annuity and assurance type products, their pricing and notation
7. explain the sequence of procedures that should be applied to analyse a given dataset
8. critically analyse the application of principles underlying economic analysis.

Within semester assessment: 40% + Examination: 60%

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.

See also Unit timetable information