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Nov 21, 2024
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ACS 3540 - Fundamentals of Actuarial Mathematics II3 lecture hours 0 lab hours 3 credits
Course Description
This course is the second in two-course Fundamentals of Actuarial Mathematics sequence. It is focused on developing a deeper understanding of probability and mathematical modeling. This course covers topics such as premium and policy value calculations, put-call parity, binomial option pricing, and the Black-Scholes formula. Substantial focus will also be placed on developing efficient problem-solving skills for all topics covered in the Fundamentals of Actuarial Mathematics course sequence. This sequence prepares students for Exam FAM.
Prereq: ACS 3530 (quarter system prereq: Actuarial Science program director consent)
Note: None
This course meets the following Raider Core CLO Requirement: None
Course Learning Outcomes
Upon successful completion of this course, the student will be able to:
- Calculate premiums and policy values related to life insurance and other long-term insurance coverages
- Know and apply basic principles related to option pricing, such as put-call parity, binomial option pricing models, and the Black-Scholes formula
- Apply all the concepts learned in AC 3530 and the topics above to actuarial problems
Prerequisites by Topic
- Calculus
- Probability
- Statistics
- Interest rate theory
Course Topics
- Premium and policy value calculations
- Put-call parity
- Binomial option pricing methodology
- Black-Scholes formula
- Applying all the concepts learned in AC 3530 and the topics above to actuarial problems
Coordinator
Dr. Yvonne Yaz
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