Courses

Courses typically meet one or two times a week. Many courses are also offered during the day, as well.

Individualized programs of study may be developed to accommodate those students who have completed some of the required coursework prior to entering the program as well as those students who wish to do additional coursework in risk management, data analysis, and mathematical finance.

Advanced students may take electives in mathematical finance, risk management, and advanced statistical methods.

Core Courses

All Core Courses are 3 pts. except the Proseminar, which is 2 pts.

Course Number Course Title Related SOA/ CAS Exam
STAT GU4203 Probability Theory P/1
STAT GU4204 Statistical Inference P/1
ACTU PS5821 Actuarial Methods I LTAM or MLC/None
ACTU PS5822 Actuarial Methods II* LTAM or MLC/None
ACTU PS5823 Actuarial Models I STAM or C/None
ACTU PS5824 Actuarial Models II* None/MAS I and MAS II
ACTU PS5830 Models for Finance & Economics IFM/3F
ACTU PS5840 Predictive Modeling in Finance & Insurance SRM and PA/MAS I and MAS II
ACTU PS5841 Data Science in Finance and Insurance  
ACTU PS5900** Proseminar (2 pts.)  

* Select one.
** Required for full-time students.

Elective Courses

All Elective Courses are 3 pts. unless indicated otherwise.

Course Number Course Title
ACTU PS5030 Intro to Life Insurance
ACTU PS5580 Financial Markets and Management
ACTU PS5620 Pensions and ERISA
ACTU PS5621 Investment & ALM for Actuaries
ACTU PS5625 Health Insurance
ACTU PS5630 Property & Casualty
ACTU PS5691 Pensions (Online)
ACTU PS5843 Global Capital Markets and Investments
ACTU PS5846 Quantitative Risk Management
ACTU PS5848 Risk Management in P&C Insurance
ACTU PS5850 Oral Communication for Actuaries
ACTU PS5900 Proseminar (2 pts.)
ACTU PS5995 Internship (1 pts.)
ACTU PS6100 Integrated Projects
STAT UN3106 Applied Data Mining
STAT GU4001 Introduction to Probability and Statistics
STAT GU4205 Linear Regression Models
STAT GU4206 Stat Comp & Intro Data Science
STAT GU4207 Elementary Stochastic Process
STAT GU4221 Time Series Analysis
STAT GU4224 Bayesian Statistics
STAT GU4232 Generalized Linear Models
STAT GU4241 Statistical Machine Learning
STAT GU4243 Applied Data Science
STAT GU4261 Statistical Methods in Finance
STAT GU4262 Stochastic Processes for Finance
STAT GU4263 Stat Inference/Time-Series Modeling
STAT GU4264 Stochastic Processes-Applications
STAT GU4265 Stochastics Methods in Finance
STAT GU4281 Theory of Interest
STAT GU4282 Linear Regression and Time Series Models
STAT GU4291 Advanced Data Analysis
APAN PS5500 Data Visualization & Design
ERMC PS5100 Value-Based Enterprise Risk Management
ERMC PS5500 Enterprise Risk Management Modeling
ERMC PS5001 Introduction to Finance
BUSI PS5008 Options and Futures
BUSI PS5009 Financial Accounting
BUSI PS5020 Introduction to Marketing
BUSI PS5040 Security Analysis
ECON GU4415 Game Theory
ECON GU4860 Behavioral Finance
COMS W3134 Data Structures in JAVA
COMS W4111 Introduction to Databases
MATH GR5010 Intro to the Math of Finance
MATH GR5030 Numerical Methods in Finance
MATH GR5220 Quant Methods in Investment Management
MATH GR5260 Programming for Quant & Comp Finance
MATH GR5340 Fixed Income Portfolio Management
MATH GR5360 Math Methods-Fin Price Analysis
MATH GR5380 Multi-Asset Portfolio Management
MATH GR5400 Non-Linear Option Pricing
IEOR E4404 Simulation
EROR E4572 Data Analytics & Python for OR

Professional Development Courses

Proseminar is 2 pts. and the Internship is 1 pt. Each semester, all full-time students are required to enroll in ACTU PS5900 Proseminar in Actuarial Science unless they secure an internship, in which case they instead will enroll in ACTU PS5995 Internship in Actuarial Science. These courses are optional for part-time students.

Course Number Course Title
PS5900 Proseminar in Actuarial Science
PS5995 Internship in Actuarial Science

Core Courses

STAT GU4203. Probability Theory. 3 pts.

Prerequisites

This is a master's level class. A solid grounding in calculus (including multivariable calculus) and linear algebra is minimally presupposed; of course, more mathematics is even better. Potential students without such grounding will have too tough a time and should take preparatory mathematics classes and/or a more elementary statistics class.

Description

Probability is the foundation on which statistics is built. The purposes of this course are 1) to introduce you to probability and 2) prepare you to take a sequel course on statistical inference (Statistics 4204,5204).

We shall begin by covering the basic axioms of probability and using these in some simple settings. Then we will take up the idea of independence and conditional probability. Following we shall consider random variables, and the properties first of univariate discrete and continuous distributions. When we look at two or more variables, additional considerations arise, such as the relationship between the variables|conditional distributions and marginal distributions. Following these basics, we will then take up some ways of summarizing distributions, e.g., expectations and variances and, in summarizing relationships among variables, covariance and correlation. We then take up some of the more important distributions in statistics. In particular, for the discrete case, we will study the Bernoulli and binomial distributions and the generalization to the multinomial distribution, also the Poisson distribution. For continuous distributions, we take up the univariate and bivariate normal, the Gamma and the Beta distribution. In statistical applications, sums of independent random variables (for example, a sample average is such a sum, divided by sample size) are extremely important and characterizing the properties of these in large samples justifies many of the ways in which we make inferences in statistics. Thus, we take up the properties of these sums in large samples, focusing on stating laws of large numbers and also a simple central limit theorem.

STAT GU4204. Statistical Inference. 3 pts.

Prerequisite

GU4203 or GR5203 (Old #: W4105), and a good working knowledge of single-variable calculus is necessary: differentiation, integration, infinite sums, Taylor expansions, limits.

Description

The aim of the course is to describe the two aspects of statistics {estimation and inference {in some details. The topics will include maximum likelihood estimation, Bayesian inference, confidence intervals, bootstrap methods, some nonparametric tests, statistical hypothesis testing, linear regression models, ANOVA, etc.

ACTU PS5821. Actuarial Methods I. 3 pts.

Prerequisite

STAT GU4203, STAT GU4204

Description

Actuarial Methods explore actuarial models for life contingent risks, their theoretical basis and application. Actuarial Methods I discusses survival models, life tables, life insurance and annuity benefits, premium and reserve calculations related to policies on a single life. This course, along with Actuarial Methods II, covers the material of the Long Term Actuarial Mathematics (LTAM) exam of the Society of Actuaries. This is a core course of the Actuarial Science program. Students who have already passed the MLC exam or the LTAM exam administered by the SOA are exempted from this class and can substitute an elective.

ACTU PS5822. Actuarial Methods II. 3 pts.

Prerequisite

ACTU PS5821

Description

This course is a continuation of Actuarial Methods I. It discusses life insurance reserves, Markov chains and their application to a wide variety of long term insurance products, fundamentals of pension liabilities, mortality improvement models, profit tests, and mortality estimation. This class, along with Actuarial Methods I, covers the material of Exam LTAM of the Society of Actuaries. Students must take either this class or Actuarial Models II. Students who have already taken and passed the MLC exam or the LTAM exam for SOA are exempted from this class and can substitute an elective.

ACTU PS5823. Actuarial Models I. 3 pts.

Prerequisites

STAT GU4281, STAT GU4204

Description

This course provides an introduction the tools for pricing and reserving for short term insurance. We will discuss methods for calculating IBNR reserves, ratemaking, frequency and severity models used for modeling coverage modifications, statistical methods for fitting, evaluating, and selecting parametric models for frequency and severity, and three credibility methods.

This class covers the material of Exam STAM of the Society of Actuaries, and some of the material on Exams MAS I, MAS II, and 5 of the Casualty Actuarial Society. This is a core class of the Actuarial Science program. Students who have already taken and passed the STAM exam for SOA are exempted from this class and can substitute an elective.

ACTU PS5824. Actuarial Models II. 3 pts.

Prerequisite

ACTU 5823

Description

This course discusses Bayesian methods for estimating linear models. We discuss three methods for estimating the Bayesian posterior: grid approximation, quadratic approximation, and Markov Chain Monte Carlo (MCMC) methods. Bayesian methods are used to estimate linear regression models and generalized linear models. We also use Bayesian methods to estimate multilevel models, also known as linear mixed models. We also estimate linear mixed models using non-Bayesian methods. We learn how to build, estimate, and evaluate these models and how to select the best one.

This class covers most of the material of Exam MAS II of the Casualty Actuarial Society. This is a core class of the Actuarial Science program. Students may take either this class or Actuarial Methods II. Those who have already taken and passed the MAS II exam for CAS are exempted from this class and can substitute an elective.

ACTU PS5830. Models for Finance and Economics. 3 pts.

Description

Models for Finance & Economics covers select topics in corporate finance and financial derivatives analysis. Topics include optimal portfolios, asset pricing models, market efficiency, investment risks and project analysis, capital structure, long-term financing, financial derivatives, option pricing via binomial pricing models and the Black-Scholes pricing model, and risk management involving derivatives. Models for Finance & Economics covers the material of the Investment and Financial Markets (IFM) Exam of the Society of Actuaries. This is a core course of the Actuarial Science program. Students who have already passed the IFM exam administered by the SOA are exempted from this class and can substitute an elective.

ACTU PS5840. Predictive Modeling in Finance & Insurance. 3 pts.

Prerequisites

STAT GU4203, STAT GU4204

Description

This course aims to develop a student’s knowledge of the theoretical basis in predictive modeling, computational implementation of the models and their application in finance and insurance. This course discusses key steps in building a predictive analytics model and analytical approaches involving generalized linear models, time series models and statistical learning models. Spreadsheets and R are used to implement these models. Predictive Modeling in Finance & Insurance covers the material of the Statistics for Risk Modeling Exam (SRM) and the Predictive Analytics Exam (PA) by the Society of Actuaries, the Modern Actuarial Statistics I Exam (MAS-I, 50%) and the Model Actuarial Statistics II Exam (MAS-II, 15%) by the Casualty Actuarial Society. This is a core course of the Actuarial Science program. Students who have already passed both the SRM exam and the PM exam administered by the SOA are exempted from this class and can substitute an elective.

ACTU PS5841. Data Science in Finance and Insurance. 3 pts.

Prerequisite

There is no prerequisite for this course. However prior exposure to some programming language is helpful. Some basic knowledge of linear algebra and statistics is also expected.

Description

Financial decision making has been heavily relied on the data. This dependency becomes more and more strengthened due to an explosion in financial data -- social media activity, mobile interactions, server logs, real-time market feeds, customer service records, transaction details. To fully utilize these giant data sets, Wall Street has an increasing demand to data scientists. It is said that data scientist is the sexiest job of 21 century.

This course will provide students with the knowledge, skills, and experience to get a job as a data scientist in finance and insurance – which requires a mix of software engineering, statistical understanding, and the ability to apply both skills in the industry. The program will prepare students to gather data, apply statistical analysis to answer questions with that data, and make their insights and information in the decision-making.

This is an intensive hands-on course so be prepared for a lot of work and a significant time commitment. But your reward proficiency in data analytics skills will be substantial.

Elective Courses

ACTU PS5030. Introduction to Life Insurance. 3 pts.

Description

This course will provide an overview of life insurance company structure, life insurance products, product development and pricing considerations, investments and the regulations and liabilities that drive life insurance company decisions. All life insurance actuaries must master the concepts of financial mathematics and how to apply those concepts to calculate projected present values and accumulated cash flows. You will study these concepts and apply them to calculate basic reserves, new business pricing, and profitability metrics. This will include exploring various types of product designs. Actuaries play an important part in development and interpretation of the various financial statements that insurance companies are required to provide to the public. The course will illustrate the content of the most important statements, exhibits, and schedules and provide a description of their purpose. Insurance cash flows are unique in that there are many uncertainties and those cash flows stretch out into the future over a considerable amount of time. This leads to another important aspect of actuarial science, which is risk analysis and risk management. This course will study how companies map risks and set aside capital to provide for the uncertainties above and beyond those provided for by standard reserves, including an introduction to evolving uses of predictive analytics and enterprise risk management by insurance companies.

Finally, the course will cover current evolving trends, e.g., the growth of online life insurance products and services.

ACTU PS5580. Financial Markets and Management. 3 pts.

Description

The first half of this course introduces key financial markets including interest rates, equity, foreign exchange, mortgage, and some derivatives. It also discusses interactions of the Federal Reserve and the securities firms and their effects on the markets. The 2nd half introduces some key metrics used in managing insurance companies including earnings, regulatory/economic capital and embedded value. These metrics are discussed in the context of insurance risks, financial markets, and regulatory regimes. The 2nd half also provides an overview of the major actuarial/finance functions in a typical insurance company (i.e. Valuation, Pricing, Risk, etc.) and more importantly how they use these metrics to manage profitability and risk. The course is intended to provide students with a broader background when dealing with financial and insurance products.

This course also touches on many topics required for the upper level actuarial exams by the SOA and should help lay the conceptual foundation. These exams include Corporate Finance, ERM, Individual Life and Annuity pricing and risk management, Life Finance and Valuation, and Investment Risk Management.

ACTU PS5620. Pensions and ERISA. 3 pts.

Description

This course is a workshop in ERISA and Taxation Rules for Actuaries. Actuarial science can be applied and cover a number of welfare benefit arrangements (such as life insurance, medical, disability, severance etc.), qualified plans and nonqualified deferred compensation plans. The services and products that are developed in the actuarial field may be governed by certain federal laws. In the U.S. these arrangements are governed by the Employee Retirement Income Security Act ("ERISA"). In addition, certain federal taxation and reporting rules may apply. To be successful in the field will require an understanding of these rules, reporting requirements, taxation rules and the government agencies (Internal Revenue Service, Department of Labor and Pension Benefit Guarantee Corporation) responsible for oversight of such arrangements. Other topics covered will include SEPs, Simple Plans, 403(b) plans, 457 plans and Nonqualified Deferred Compensation Plans.

ACTU PS5621. Investment & ALM for Actuaries. 3 pts.

Description

The goal of this elective course is to provide you with a broad understanding of fixed income securities and how they are used for asset liability management (ALM) in financial institutes. This course is designed for individuals who currently work or plan to work as insurance and financial professionals such as actuaries, traders, and quants. The course builds on concepts introduced in several of the program’s core courses and emphasizes the application of theories. The course covers content adapted from the SOA syllabus for fellowship exams and is split into four parts: interest rate risk measurements, interest rate management—ALM strategy, ALM decision-based asset allocation, and value-based management. In this course, you will learn several ALM techniques related to mitigating interest rate risks, managing risk and return trade-offs, and setting strategic asset allocation (SAA) to achieve an optimized risk/return portfolio. Additionally, you will be introduced to the concepts of value-based management and economic value of liabilities. Completing this course will give you a fundamental basis for understanding ALM in financial organizations and further prepare you to apply these concepts in real-life situations under both generally accepted accounting principles (GAAP) and market consistent approaches.

ACTU PS5625. Health Insurance. 3 pts.

Description

This course develops an understanding of the fundamental concepts of health care design and management in the United States as well as an overview of the environment of health care and health care plans, followed by health plan designs and cost-control techniques. In addition, this course provides an overview of rules and regulations as it relates to managed care. A basic knowledge of financial mathematics is assumed.

ACTU PS5630. Property and Casualty. 3 pts.

Description

This course introduces general principles of ratemaking and reserving as they relate to P&C insurance products. Students will learn actuarial conventions and terminology and structure insurance data accordingly. We will discuss techniques needed to restate historical premium and loss information at current levels and derive consistent profitability metrics. Advantages and disadvantages of various traditional pricing and reserving techniques will be discussed as well as classification of insureds and other important topics.

ACTU PS5843. Global Capital Markets and Investment. 3 pts.

Prerequisite

There is no specific prerequisite for this course. However prior exposure to scientific computing, probability and statistics is expected.

Description

This course will introduce students to major issues currently of concern to all investors. It can give you the skills to conduct a sophisticated assessment of current issues and debates covered by the popular media as well as more-specialized finance journals. These skills are essential for people who pursues a financial service career, especially in today’s rapidly evolving environment. The material presented in this course are both practical important and intellectually interesting.

This course is consistent with and relevant to Chartered Financial Analyst (CFA) curriculum. It covers all subjects in CFA test and most of problems are in the same format as the CFA examination questions. This course will also provide a foundation for further study in Financial Risk Management and Financial market related courses.

ACTU PS5846. Quantitative Risk Management. 3 pts.

Prerequisite

There is no specific prerequisite for this course. However prior exposure to scientific computing, capital market, probability and statistics is expected.

Description

Risk Management becomes more and more important in the financial industry especially after the global financial crisis. Large financial institutions are facing high regulatory pressure from the government and public. In response to this pressure, risk management in the financial industry has been transformed dramatically over the past decade. Today, about 50 percent of the function’s staff are dedicated to risk-related operational processes such as credit administration, while 15 percent work in analytics. McKinsey research suggests that by 2025, these numbers will reach 25 and 40 percent, respectively.

This course is designed to provide students with a high-level overview of modern risk management. This is then followed by an in-depth examination of the techniques and management structures used to assess and control risk, including a detailed discussion on the implementation of Value-at-Risk, which is becoming the de facto standard for measuring risk across all the major classes: market, credit, liquidity and operational.

This course is consistent with and relevant to Financial Risk Manager (FRM) curriculum. It covers majority of FRM learning objectives in the test and it is deeper in the quantitative modelling and analysis.

ACTU PS5850. Oral Communication for Actuaries. 3 pts.

Description

This course is a workshop in communication techniques. Students make presentations individually and in teams. It covers communicating effectively, structuring presentations, delivery techniques and PowerPoint presentations.

ACTU PS6100. Integrated Projects in Actuarial Science. 3 pts.

Prerequisite

Students must have their transcripts and resumes approved by the program director in order to be eligible for this course.

Description

This course is particularly applicable to students who are looking to develop their skills in a particular area of application of actuarial science. The course is delivered in a project format that will integrate specific elements of the curriculum into an applied project, giving students hands-on actuarial science application experience. Students may team up and undertake a special actuarial project and present as consultants or in house actuaries to a panel of actuaries who will grade the overall effectiveness of their approach, solution and communication. This course will help students increase their understanding of the real-world constraints under which actuaries operate. The course also serves the purpose of sharpening the students analytical and communication skills, by allowing them to apply their previous experience and knowledge gained from the program to real-world problems.

Professional Development Courses

ACTU PS5900. Proseminar in Actuarial Science. 2 pts.

Description

Industry representatives conduct a series of noncredit seminar sessions designed to expose students to the actuarial profession as well as to address a range of topics in actuarial science.

ACTU PS5995. Internship in Actuarial Science. 1 pt.

Description

Students who have secured either an on-campus or off-campus actuarial internship may enroll in this course for credit. Students need to register for this course to receive credit. The completion of the course requires two documents by the end of the semester (or the end of summer sessions if enroll in the summer): 1) the student submit the experience report on their internship experience; and 2) the supervisor(s)’ evaluation of the student’s performance during their internship with them. Although the student is responsible for finding and confirming his or her own internship, the student may utilize the program’s resources, especially the résumé review and critique, the recruiting info sessions in the proseminar, and the networking opportunities in the program’s special events, to help identify and pursue an internship.

STAT GU4281. Theory of Interest. 3 pts.

Prerequisite

At least one semester of calculus.

Description

Introduction to the mathematical theory of interest as well as the elements of economic and financial theory of interest. Topics include rates of interest and discount; simple, compound, real, nominal, effective, dollar (time)-weighted; present, current, future value; discount function; annuities; stocks and other instruments; definitions of key terms of modern financial analysis; yield curves; spot (forward) rates; duration; immunization; and short sales. The course will cover determining equivalent measures of interest; discounting; accumulating; determining yield rates; and amortization.

STAT GU4282. Linear Regression and Time Series Models. 3 pts.

Prerequisite

STAT GU4203 or the equivalent and STAT GU4204 or the equivalent.

Description

Theory and practice of regression analysis. Simple and multiple regression including testing, estimation and confidence procedures, modeling, regression diagnostics and plots, polynomial regression, fixed effects ANOVA and ANCOVA models, nonlinear regression, multiple comparisons, co-linearity and confounding, model selection. Emphasis on geometric approach to the theory and computer use to analyze data. Least squares smoothing and prediction, linear systems, Fourier analysis, and spectral estimation. Impulse response and transfer function. Fourier series, the fast Fourier transform, autocorrelation function, and spectral density. Univariate Box-Jenkins modeling and forecasting. Emphasis on applications. Examples from the physical sciences, social sciences, and business. Computing is an integral part of the course. This class satisfies the applied statistics VEE requirement.

The University reserves the right to withdraw or modify the courses of instruction or to change the instructors as may become necessary.