Modeling Techniques in Actuarial Practice

In this course, the student will define key concepts concerning loans and how to perform related calculations. The student will also be able to define, recognize, and calculate, when applicable, any of the following: bond price, book value, amortization of premium, accumulation of discount, redemption value, par value, yield rate, coupon amount, coupon rate, term of a bond, callable/noncallable bonds, rate of return, forward rates, spot rates, current value, yield curve, stock price, and stock dividend. Cash flow analysis and applications of duration and convexity to approximate the effects of changes in interest rate on the present value of future assets and liabilities are used to construct immunized investment portfolios for assetliability management. In addition, the course introduces the basic theory of options and derivatives, using risk neutral expected present values, under the binomial and Black-Scholes models. Prerequisite: MAT 206. Corequisite: MAT 325. trees, principal component analysis, and cluster analysis. Students will acquire skills to fit these statistical models, evaluate their performance, select model features, and interpret the output produced. Prerequisites: STA 315 and STA 312.