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CMP-2AV2 - ACTUARIAL METHODS

Module Code:
CMP-2AV2
Department:
Computing Sciences
Credit Value:
20
Level:
2
This module provides a further grounding in mathematical and statistical techniques of relevance to financial work. It considers risk models involving frequency and severity distributions and the concept of ruin. It also examines the fundamental concepts of rating, the use of Bayesian statistics to derive credibility premiums and the techniques for analysing “run-off” triangles in general insurance. Part of this module will be taught by Norwich Union actuaries and will focus on the practical application of actuarial techniques across a range of disciplines (life assurance, pensions and general insurance). We anticipate that successful completion of this module, as well as 2C10 and 2C11, will enable students choosing to follow an actuarial career to gain an exemption from CT6. The Norwich Union sessions will also provide a useful introduction and overview of the Actuarial Profession's “CA1” subject (Actuarial Risk management) and exposure to some of the later Specialist Technical actuarial subjects, particularly ST3 (General Insurance).

Copies of the UEA lecture notes will be made available on the day of the lecture via Blackboard. Aviva lecture material will also be made available via Blackboard following the lectures.
 


Course texts:

Required Purchases

  • Hossack I.B., Zehnwirth B., Introductory statistics with applications in general insurance , Cambridge University Press, ISBN 9780521655347
  • Klugman S.A., Panjer H.H., Willmot, G.E. , John Wiley, Loss models: from data to decisions, ISBN 9780470385715

Possible Additional Purchases

  • Dobson A.J., An introduction to statistical modelling, Chapman & Hall, ISBN 9780412248603
  • Daykin C.D., Pentikainen T., Pesonen M., Practical risk theory for actuaries, Chapman & Hall, ISBN 9780412428500

Submission:

Written coursework should be submitted by following the standard CMP practice. Students are advised to refer to the Guidelines and Hints on Written Work in CMP.

Deadlines:

If coursework is handed in after the deadline day or an agreed extension:
 

 

Work submitted Marks deducted
After 15:00 on the due date and before 15:00 on the day following the due date 10 marks
After 15:00 on the second day after the due date and before 15:00 on the third day after the due date 20 marks
After 15:00 on the third day after the due date and before 15:00 on the 20th day after the due date.  All the marks the work merits if submitted on time (ie no marks awarded) 
After 20 working days Work will not be marked and a mark of zero will be entered


Saturdays and Sundays will NOT be taken into account for the purposes of calculation of marks deducted.

All extension requests will be managed through the LTS Hub. A request for an extension to a deadline for the submission of work for assessment should be submitted by the student to the appropriate Learning and Teaching Service Hub, prior to the deadline, on a University Extension Request Form accompanied by appropriate evidence. Extension requests will be considered by the appropriate Learning and Teaching Service Manager in those instances where (a) acceptable extenuating circumstances exist and (b) the request is submitted before the deadline. All other cases will be considered by a Coursework Coordinator in CMP.

For more details, including how to apply for an extension due to extenuating circumstances download Submission for Work Assessment (PDF, 39KB)
 

Plagiarism:

Plagiarism is the copying or close paraphrasing of published or unpublished work, including    the work of another student; without due acknowledgement. Plagiarism is regarded a serious offence by the University, and all cases will be investigated. Possible consequences of plagiarism include deduction of marks and disciplinary action, as detailed by UEA's Policy on Plagiarism and Collusion.


Module Specific:

  • To provide an introduction to the concepts and principles of life assurance, pensions and insurance.
  • To provide an introduction to the management of financial activities of financial institutions in general and the techniques of planning and control for general insurers in particular.
  • To provide a grounding in the mathematical techniques of relevance to insurance, particularly risk models, credibility premiums, and analysing run-off triangles.

Transferable Skills:

  • Written communication.
  • Problem solving.
  • To be able to analyse real world financial problems using actuarial techniques.
  • Working with others. Sessions at Aviva will involve a series of group exercises.

On completion of this module students should be able to:

  • Understand how the main actuarial techniques are applied in life assurance, pensions and general insurance.
  • Calculate probabilities and moments of distributions for risk-sharing arrangements, with and without limits.
  • Construct risk models and calculate their moments and moment generating functions, with and without simple reinsurance arrangements.
  • Explain the concept of ruin for a risk model.
  • Explain the fundamental concepts of Bayesian statistics and their use in calculating credibility premiums.
  • Describe the fundamental concepts of rating and apply them to simple experience rating systems.
  • Describe and apply techniques for analysing run-off triangles.

This module will be a combination of lectures taught by Aviva actuaries and UEA staff. The Aviva lectures will concentrate on a practical understanding of the application of actuarial techniques in life assurance, pensions and  insurance. The UEA lectures will cover the statistical methods used in a number of insurance applications. Students will be required to supplement the lectures and coursework with reading in between lectures.

Total Hours: 42

Lectures:  16 hours: 30. Provisional schedule of lectures:

Aviva lectures (10 x 3 hours):

  1. Introduction to insurance and the actuarial role
  2. Introduction to life insurance and pensions
  3. Assets and liabilities
  4. Managing financial risk
  5. Life assurance
  6. Pensions
  7. Insurance: fundamentals
  8. Insurance: reserving
  9. Insurance: pricing and products
  10. Professional actuarial practice

Aviva Lectures

The Aviva lectures will be accompanied by a business game to be run over the latter stages of the lectures to help illustrate the application of the principles discussed.

UEA lectures (6 x 2 hours):

  1. Probabilities and moments of loss distributions
  2. Risk models and the concept of ruin
  3. Risk models and the concept of ruin
  4. Bayesian statistics and their application in calculating credibility premiums
  5. Credibility theory
  6. The techniques of analysing run-off triangles

Examination with Coursework or Project