Objectifs

The goal of the course is to provide the students with the understanding of fundamental concepts of financial mathematics applied in calculating present and accumulated values for various streams of cash flows.

The students will become familiar with essential basic actuarial concepts and tools used in other courses of the Actuarial Science Master programme. Most of the topics are also part of the syllabus for the Financial Mathematics exam of the Society of Actuaries and the Casualty Actuarial Society.

Contenus

1. Interest rates
2. Valuation of a series of payments
3. Loan repayment
4. Return rates
5. Bond valuation
6. Term structure of interest rates
7. Cash flow duration and immunization

Références

Broverman, S.A., 2004, Mathematics of Investment and Credit, Third Edition, Actex Publications, Winsted, CT.
Kellison, S.G., 1991, The Theory of Interest, Second Edition, McGraw-Hill, Boston,
MA.
Gerber, H.U., 1997, Life Insurance Mathematics, Second Edition, Springer, Berlin.

Pré-requis

Basic knowledge of calculus and an introductory knowledge of probability.

Evaluation

1ère tentative

Examen:

Ecrit 2h00 heures

Documentation:

Non autorisée

Calculatrice:

Autorisée avec restrictions

Evaluation:

Midterm exam: Optional.

Final written exam.

If the grade of the midterm exam is higher than the grade of the final exam, the final grade = 0.3 * Midterm_Exam + 0.7 * Final_Written_Exam.

If the grade at the final exam is higher than the grade of the midterm, the final grade = Final written exam.

However, due to the current Covid-19 crisis, the evaluation criteria may have to be changed.

Rattrapage

Examen:

Ecrit 2h00 heures

Documentation:

Non autorisée

Calculatrice:

Autorisée avec restrictions

Evaluation:

Integrative exam: 100%