STAT40920 Financial & Actuarial Maths I

Academic Year 2022/2023

This module covers stochastic models of assets and liabilities used in the insurance and banking industries. These include stochastic models of stock markets, inflation, interest rate term structures, credit defaults and insurance claims. We consider models of autocorrelated returns and their relationship to the efficient markets hypothesis.

The module considers how to describe investor behaviour (including models of rational and irrational behaviour) in the face of risk. Students learn how to use risk-return plots, studying stochastic dominance, mean-variance theory and utility theory.

Students will learn the distinction between systematic and non-systematic risks, and the importance of clientele effects.

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Curricular information is subject to change

Learning Outcomes:

Students are able to discuss descriptions of investor behaviour and choices under uncertainty. They can describe and calibrate time-series econometric models of investment and insurance risk, applying these to problems of investment portfolio construction and business strategy.

Student Effort Hours: 
Student Effort Type Hours
Lectures

30

Autonomous Student Learning

84

Total

114

Approaches to Teaching and Learning:
Lectures, tutorials, enquiry and problem-based learning. 
Requirements, Exclusions and Recommendations

Not applicable to this module.


Module Requisites and Incompatibles
Not applicable to this module.
 
Assessment Strategy  
Description Timing Open Book Exam Component Scale Must Pass Component % of Final Grade
Examination: End of semester exam 2 hour End of Trimester Exam No Graded No

60

Continuous Assessment: Homework Throughout the Trimester n/a Graded No

20

Group Project: Group Project Throughout the Trimester n/a Graded No

20


Carry forward of passed components
No
 
Resit In Terminal Exam
Spring Yes - 2 Hour
Please see Student Jargon Buster for more information about remediation types and timing. 
Feedback Strategy/Strategies

• Group/class feedback, post-assessment

How will my Feedback be Delivered?

Corrected homework scripts are available for collection at tutorials. Uncollected scripts at the end of semester are destroyed.

Timetabling information is displayed only for guidance purposes, relates to the current Academic Year only and is subject to change.
 
Autumn
     
Tutorial Offering 1 Week(s) - Autumn: All Weeks Mon 13:00 - 13:50
Lecture Offering 1 Week(s) - Autumn: All Weeks Thurs 11:00 - 11:50
Lecture Offering 1 Week(s) - Autumn: All Weeks Tues 09:00 - 09:50
Autumn