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STAT40920

Academic Year 2024/2025

Financial & Actuarial Maths I (STAT40920)

Subject:
Statistics & Actuarial Science
College:
Science
School:
Mathematics & Statistics
Level:
4 (Masters)
Credits:
5
Module Coordinator:
Mr Andrew Smith
Trimester:
Autumn
Mode of Delivery:
On Campus
Internship Module:
No
How will I be graded?
Letter grades

Curricular information is subject to change.

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.

About this Module

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 Component Scale Must Pass Component % of Final Grade In Module Component Repeat Offered
Assignment(Including Essay): Homework Week 3 Standard conversion grade scale 40% No
10
 No
Assignment(Including Essay): Homework Week 3, Week 6 Standard conversion grade scale 40% No
10
 No
Group Work Assignment: Group project.
Students must have submitted two homeworks on time to be eligible.		 Week 11 Standard conversion grade scale 40% No
20
 No
Exam (Online): Two-hour open-book online exam (plus 30 minutes allowance for script upload) End of trimester
Duration:
2 hr(s)
 Standard conversion grade scale 40% No
60
 No

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
Autumn Lecture Offering 1 Week(s) - Autumn: All Weeks Tues 10:00 - 11:50
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