Liability Modelling

Module code: MA7226

This module covers part of the syllabus for the Institute and Faculty of Actuaries subject CM2. The rest of the CM2 syllabus is covered by Financial Engineering for Actuaries.

Lectures will cover the syllabus items with particular emphasis on practical application and with reference to the level of understanding required by the IFoA as evidenced in IFoA past examination papers. Problem classes and the project will involve use of the R statistical programming language for simulation, data analysis and visualisation.

Topics covered

  • Stochastic interest rate of return models
  • Run off triangles
  • Simulation of basic benefit guarantees
  • Ruin theory
  • Rational choice theory
  • Behavioural Economics
  • Risk and insurance companies
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