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UNSW Business School Course Outline

ACTL2102 Foundations of Actuarial Models - 2019 Study Level Undergraduate

Term Term 2

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UOC 6 Units of Credit

Location On Campus

School Risk & Actuarial Studies

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1. Course Details Summary of Course This course introduces the stochastic models used by actuaries to model both liabilities and assets and illustrates their applications in actuarial work. Topics covered include main features of a Markov chain and applications to experience rating; Markov process models and applications to insurance, survival, sickness and marriage models; simple time series models including a random walk and auto-regressive models and their application to investment variables; methods for simulation of a stochastic process. Students will be expected to implement models using the R software in a numerical computer package.

Teaching Times and Locations Please note that teaching times and locations are subject to change. Students are strongly advised to refer to the Class Timetable website for the most up-to-date teaching times and locations. View course timetable

Course Policies & Support The Business School expects that you are familiar with the contents of this course outline and the UNSW and Business School learning expectations, rules, policies and support services as listed below: Program Learning Outcomes Academic Integrity and Plagiarism Student Responsibilities and Conduct Special Consideration Protocol for Viewing Final Exam Scripts Student Learning Support Services Further information is provided in the Assessment and Policies and Support sections.

Course Aims and Relationship to Other Courses The primary aim of this course is to provide students with an understanding of the mathematical concepts and techniques that are used by actuaries to model stochastic processes of both assets and liabilities. This course provides an introduction to the stochastic models used by actuaries to model both liabilities and assets and illustrates their applications in actuarial work. The material is at a mathematically rigorous level with a strong foundation in mathematics. The required knowledge of the course is a good understanding of probability and statistics as covered in ACTL2131 Probability and Mathematical Statistics or MATH2801 and MATH2831. You should also be proficient with calculus and linear algebra. The assumed knowledge of the course is a good understanding of mathematics as covered in MATH1151 and MATH1251. The course will have applications in other courses in the actuarial major. More advanced models are covered in ACTL3141 Actuarial Models and Statistics and ACTL3162 General Insurance Techniques. The business.unsw.edu.au - CRICOS Code 00098G View course outline in browser

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course is necessary knowledge for the more advanced coverage in ACTL3141 Actuarial Models and Statistics, ACTL3151 Life Contingencies, ACTL3162 General Insurance Techniques, and ACTL3182 AssetLiability and Derivative Models. Advanced Data Analytics methods relevant to actuarial work is covered in ACTL3142 Actuarial Data and Analysis. The course contributes to the actuarial professional subjects CT4 Models & CT6 Statistical Models of the Institute of Actuaries. Students achieving an average of 65% or higher of ACTL2102 (1/3 of grade) and ACTL3141 (2/3 of grade) marks will be recommended for exemption from the professional CT4 examination. Students achieving an average of 65% or higher of ACTL2102 (1/3 of grade) and ACTL3162 (2/3 of grade) marks will be recommended for exemption from the professional CT6 examination. Exemptions from professional actuarial examinations require above average performance in the equivalent University course.

Student Learning Outcomes The Course Learning Outcomes (CLOs) are what you should be able to demonstrate by the end of this course, if you participate fully in learning activities and successfully complete the assessment items. CLOs also contribute to your achievement of the Program Learning Outcomes (PLOs), which are developed across the duration of a program for all coursework students in the Business School. More information on PLOs is available under Policies and Support . PLOs are, in turn, directly linked to UNSW graduate capabilities and the aspiration to develop “globally focussed graduates who are rigorous scholars, capable of leadership and professional practice in an international community”. The following table shows how the CLOs for this course relate to the overall PLOs and indicates where each CLO and PLO is assessed:

Course Learning Outcomes

Program Learning Outcomes

On successful completion of the course, you should be able to:

This course helps you to This learning outcome will be develop the following assessed in the following Program Learning items: Outcomes:

Describe and explain concepts and principles of actuarial modelling.

Describe and explain the main terminology of stochastic processes, including their classification into different types.

Define the key features and properties of a Markov Chain

Develop a capability to implement Markov

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PLO 1: Business knowledge PLO 2: Problem solving PLO 3: Business communication PLO 1: Business knowledge PLO 2: Problem solving PLO 3: Business communication PLO 1: Business knowledge PLO 2: Problem solving PLO 3: Business communication PLO 1: Business knowledge

Course Assessment Item

Final Examination Mid-term Exam

Final Examination Mid-term Exam

Final Examination Mid-term Exam

Final Examination

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Course Learning Outcomes

Program Learning Outcomes

Course Assessment Item

Chains for a frequency-based experience rating No Claim Discount (NCD) scheme using data.

PLO 2: Problem solving PLO 3: Business communication

Mid-term Exam

Define the main features of a Markov Process and use simple Markov Processes to analyse insurance, survival, sickness and marriage models.

PLO 1: Business knowledge PLO 2: Problem solving PLO 3: Business communication

Develop an understanding of Markov processes that can be used for insurance, survival, sickness and financial modelling.

Develop an understanding of the main concepts of “Monte Carlo” simulation of a stochastic process and a capability to carry out simple simulation procedures.

PLO 1: Business knowledge PLO 2: Problem solving PLO 3: Business communication PLO 1: Business knowledge PLO 2: Problem solving PLO 3: Business communication

PLO 1: Business Explain the concepts of ‘Monte Carlo’ knowledge simulation of a stochastic process using a PLO 2: Problem solving series of pseudo-random numbers and apply PLO 3: Business simulation to simple actuarial problems. communication PLO 4: Teamwork Define the main concepts underlying the analysis of time series models including simple nonstationary models

Apply of time series models to actuarial models for investment returns and inflation.

Express his/her views on, and understanding of, an aspect of statistic models.

Develop communication skills for the presentation of complex statistical models in written report form.

Construct written work which is logically and professionally presented business.unsw.edu.au - CRICOS Code 00098G View course outline in browser

PLO 1: Business knowledge PLO 2: Problem solving PLO 3: Business communication PLO 1: Business knowledge PLO 2: Problem solving PLO 3: Business communication PLO 1: Business knowledge PLO 2: Problem solving PLO 3: Business communication PLO 4: Teamwork PLO 1: Business knowledge PLO 2: Problem solving PLO 3: Business communication PLO 1: Business knowledge

Final Examination Mid-term Exam

Final Examination

Final Examination

Final Examination Assignment

Final Examination

Final Examination

Final Examination Assignment

Final Examination

Final Examination

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Course Learning Outcomes

Program Learning Outcomes

Course Assessment Item

PLO 2: Problem solving PLO 3: Business communication Work collaboratively to complete a task.

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PLO 1: Business knowledge PLO 2: Problem solving PLO 3: Business communication PLO 4: Teamwork

Assignment

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2. Staff Contact Details Position Title

Name

Email

Location

Phone

Consultation Times

Lecturer- AProf incharge

Jae Kyung Woo

Email

Room 574, Level 5, East Wing, UNSW Business School Building

93857559

TBA

Additional consultations will be provided for the mid-term and final exams. These will be scheduled and announced during the term.

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3. Learning and Teaching Activities Approach to Learning and Teaching in the Course Lectures will review the main topics and provide coverage of the course concepts. They are an opportunity for students to develop an understanding of the main topics covered in the course and the level of knowledge expected. They provide a guide to the course of study during the session and the material students need to read and review. Students should read the prescribed readings prior to the lecture. Tutorial exercises discussions and in-class activities are for students to ask questions on aspects of the course that need further clarification, and to interact with other students in the course. Students need to attempt the homework problems alone first and identify problems that require closer review.

Learning Activities and Teaching Strategies It is expected that students will take a pro-active approach to learning. The course is organised into learning activities. By its nature, the actuarial program develops problem-solving and professional skills, and all activities contribute to that development. Thus, special care is taken when designing in-class activities, homework problems and optional readings. Tutorials are for students to ask questions on aspects of the course that need further clarification, to develop problem-solving skills, and to interact with other students in the course. Students need to attempt the tutorial problems prior to the tutorial and identify problems that require further discussion. They are an opportunity to learn from other students and to develop team skills by working on problems with other students.

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4. Assessment Formal Requirements In order to pass this course, you must: achieve a composite mark of at least 50 out of 100; meet any additional requirements described in the Assessment Summary section. You are expected to attempt all assessment requirements in the course.

Assessment Structure Assessment Task Mid-term exam Assignment Final exam

Total

Weighting 20% 20% 60%

100%

Length

Due Date

1 hour

Week 5, Sat 4-6pm

-

TBA

2 hours

University Examination Period

–

–

Assessment Summary As a student at UNSW you are expected to display academic integrity in your work and interactions. Where a student breaches the UNSW Student Code with respect to academic integrity, the University may take disciplinary action under the Student Misconduct Procedure. To assist you in understanding what academic integrity means, and how to ensure that you do comply with the UNSW Student Code, it is strongly recommended that you complete the Working with Academic Integrity module before submitting your first assessment task. It is a free, online self-paced Moodle module that should take about one hour to complete. You will be given a past mid-term exam paper with solutions for self-assessment. You are expected to attempt the past paper in an exam condition and assess your performance. This is aimed at providing you feedback for your study and you are expected to complete this before the census day.

Mid-term exam (20%) The midterm will assess students’ understanding of the concepts covered in the course and their ability to apply them to stochastic actuarial modeling problems. The midterm will be a one-hour written paper. Normal examination rules apply to the conduct of the midterm. The midterm will be closed book. Students will only be allowed to bring the text "Formulae and Tables for Actuarial Examinations" into the midterm. This must be fully UNANNOTATED. Students may bring their own calculators. All calculators must be UNSW approved. The University will not supply calculators to students for use in examinations. It is the student’s responsibility to be familiar with the rules governing the conduct of examinations. The midterm requires written responses, with students earning marks for correct mathematical working as well as part marks for incorrect responses with correct method and reasoning. A clear indication of all business.unsw.edu.au - CRICOS Code 00098G View course outline in browser

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of the steps involved in your calculations must be shown. The midterm tests not only your knowledge of the material but also the depth of your understanding of it. Feedback regarding the performance in the midterm will be provided through the return of marked midterm paper and discussion in the tutorial.

Assignment (20%) There will be one major assignment project for this course. Full information about the assignment will be released early in the session. Feedback regarding the performance of the assignment will be provided through฀ Review฀ using rubrics .

Final Exam (60%) The final exam will assess students’ understanding of the concepts covered in the course and their ability to apply them to stochastic actuarial modelling problems. The final exam will be a two-hour written paper. The final exam will be closed book. Students will only be allowed to bring the text "Formulae and Tables for Actuarial Examinations" into the final exam. This must be fully UNANNOTATED. Students may bring their own calculators. All calculators must be UNSW approved. The University will not supply calculators to students for use in examinations. It is the student’s responsibility to be familiar with the rules governing the conduct of examinations. The final exam requires written responses, with students earning marks for correct mathematical working as well as part marks for incorrect responses with correct method and reasoning. A clear indication of all of the steps involved in your calculations must be shown. The final exam tests not only your knowledge of the material but also the depth of your understanding of it.

Assignment Submission Procedure TBA

Assessment Feedback Feedback on student performance from formative and summative assessment tasks will be provided to students in a timely manner. Assessment tasks completed within the teaching period of a course, other than a final assessment, will be assessed and students provided with feedback, with or without a provisional result, within 10 working days of submission, under normal circumstances. Feedback on continuous assessment tasks (e.g. laboratory and studio-based, workplace-based, weekly quizzes) will be provided prior to the midpoint of the course.

Special Consideration You can apply for special consideration when illness or other circumstances beyond your control, interfere with your assessment performance (to apply see Special Consideration on the UNSW Current Students page). Special Consideration is primarily intended to provide you with an extra opportunity to demonstrate the level of performance of which you are capable. Special Consideration applications will be assessed centrally by the Case Review Team within Student

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Lifecycle. The Case Review team will update the online application with the outcome and add any relevant comments. Please note the following: Applications can only be made through Online Services in myUNSW. Applications will not be accepted by teaching staff. The lecturer-in-charge/course coordinator will be automatically notified when you lodge an online application for special consideration. Applying for special consideration does not automatically mean that you will be granted a supplementary exam or other concession. If you experience illness or misadventure in the lead up to an exam or assessment, you must submit an application for special consideration, either prior to the examination taking place, or prior to the assessment submission deadline , except where illness or misadventure prevent you from doing so. If you sit the exam/submit an assignment, you are declaring yourself well enough to do so and are unable to subsequently apply for special consideration. If you become unwell on the day of the exam, you must provide evidence dated within 24 hours of the exam, with your application. The current provisions will continue for exceptional circumstances, for example, if a student falls sick during an exam. Other exceptions will continue to be examined on a case by case basis by the Student Lifecycle team. Special consideration requests do not allow the awarding of additional marks to students. Further information on Business School policy and procedure, as well as supplementary exam dates for the current term, can be found under “Special Consideration” on the Policies and Support page.

Special consideration and assessments other than the Final Exam in undergraduate and postgraduate courses For courses offered by the School of Risk and Actuarial Studies, the weight of the mid-term exam for which special consideration is granted is re-allocated to the final exam. Special consideration does not entitle students to a supplementary opportunity to complete the assessment item. For an assignment, oral presentation and any in-session assessment item other than the mid-term exam, an extended deadline, an additional assessment or a re-allocation of the weight to the final exam may be granted.

Late submission of assessment items When an assessment item had to be submitted by a pre-specified submission date and time and was submitted late, the School of Risk and Actuarial Studies will apply the following policy. A penalty of 25% of the mark the student would otherwise have obtained, for each full (or part) day of lateness (e.g., 0 day 1 minute = 25% penalty, 2 days 21 hours = 75% penalty). Students who are late must submit their assessment item to the LIC via e-mail. The LIC will then upload documents to the relevant submission boxes. The date and time of reception of the e-mail determines the submission time for the purposes of calculating the penalty.

Protocol for Viewing Final Exam Scripts The UNSW Business School has set a protocol under which students may view their final exam script. Individual schools within the Faculty may also set up a local process for viewing final exam scripts, so it is important that you check with your School. Further school speci...