ACTU 409: Introduction to Actuarial Mathematics


To provide introductory preparation in Actuarial mathematics and their applications. Deterministic theory of interest (i.e. traditional compound interest, cash-flow modelling; annuities certain, bond market theory), Introduction to contingent claims analysis (i.e. definition of derivative securities, no arbitrage principle); Stochastic calculus for finance (conditional expectation, introduction to martingales, stochastic integrals and differential equations, pricing and hedging of derivatives); Stochastic theory of interest; interest rate models (discrete and continuous time); derivatives on interest rates and bonds; Dynamic portfolio management (asset-liability modeling; introduction to stochastic optimal control); Introductory applications to insurance liabilities (embedded options in life insurance; valuation techniques for embedded options)