MTH6100: Actuarial Mathematics
This webpage is maintained by the lecturer Dr Rosemary Harris and contains information relevant to the running of the course in 2012. A summary of practical details and assessment arrangements can also be found in the course information sheet and a special note for resit candidates is here. There is also now a Blackboard page for this course.
Office Hours for w/b 14.05.12: Monday, Friday 11am–12noon; Tuesday 11.30am–12.30pm
Office Hours for w/b 21.05.12: Monday, Tuesday, Thursday Friday 11am–12noon; Friday 9.30–10.30am
- (16.05.12) IMPORTANT: The examination venue has been changed – check MySIS or the Registry exam timetable!
- (08.05.12) Two minor typos on page 38 of the lecture notes have now been corrected.
- (23.04.12) The solutions to the 2011 exam paper are now available below; slides (and recording!) from the revision lecture are on Blackboard.
- (30.03.12) Exam timetable now released; see also the MTH6100 Exam Information Sheet
- (30.03.12) Revision lecture scheduled for Monday 23rd April at 3pm in G.O. Jones
- (22.03.12) A few less significant typos in Solutions 8 are also now corrected (in red below)
- (19.03.12) The obvious typo in Coursework 9 is now corrected (in red below)
- (05.03.12) A summary of the questionnaire results and responses is now available on the Blackboard page
- (17.02.12) See here for details of Week 7 arrangements
- (10.02.12) Office Hour on Tuesday 14th February moved to 9.30–10.30am – sorry!
- (28.01.12) No Office Hour on Tuesday 31st January – sorry!
- (13.01.12) The new timetable is now confirmed; this website and course information sheet are updated accordingly
- (11.01.12) The lecture on Thursday 12th January will take place, as originally scheduled, at 1pm in Geography 126.
From second week the timetable will be slightly changed in an attempt to minimize the clashes.
- (09.01.12) The timetable for the Thursday lecture/classes is apparently subject to change – watch this space!
- (03.01.12) Lectures start on Monday 9th January at 3pm in G.O. Jones Lecture Theatre (Physics); tutorials start in second week
- Course information from the undergraduate directory
- Essential prerequisites (you must have taken these): MTH4101 Calculus II, MTH4107 Introduction to Probability / MTH4108 Probability I
- Helpful prerequisites (you are likely to find the course hard if you have not taken at least one of these):
MTH5118 Probability II / MTH5121 Probability Models / MTH5122 Statistical Methods
- Assessment: 100% final exam (i.e., no mid-term test, cousework marks do not contribute to final grade).
The exam will have duration 2 hours and the rubric will state "You should attempt all questions. Marks awarded are shown next to the questions.". Calculators will be permitted and a formula sheet will be provided.
- To pass the exam you should master the key objectives.
- Lectures: Monday 3–4pm (G.O. Jones), Thursday 11am–12noon (Geography 126), Friday 4–5pm (Maths Lecture Theatre)
- Tutorials: Thursday 12noon–1pm (Law 119, Law 308a), 1–2pm (Geography 126), Friday 1–2pm (Law 207)
— Come to any one class!
- Office Hours: Monday 9.30–10.30am, Tuesday 2.30–3.30pm, Friday 10.30–11.30am (all Maths B13)
Check the Noticeboard above for any alterations!
The following gives a provisional outline of the topics to be covered. I shall add printed notes to each section as the semester progresses (and probably also visualizer slides to the Blackboard page). However, these will only be available after the material has been covered in lectures so it is still important that you take your own notes.
- The notes are now available as a single file with table of contents and bibligraphy (complete notes, last updated 08.05.12)
- 0: Introduction (notes, last updated 13.01.12)
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1. Compound interest (approx. weeks 1–4)
- Two types of interest, nominal and effective interest rates (notes, last updated 13.01.12)
- Force of interest, rates of discount (notes, last updated 20.01.12)
- Present values, annuities-certain: introduction (notes, last updated 27.01.12)
- Annuities-certain: more variations, some examples (notes, last updated 08.05.12)
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2. Life-table functions (approx. weeks 5–8)
- Lifetime as a random variable, basic life-table functions (notes, last updated 10.02.12)
- Force of mortality, analytical laws of mortality, the expectation of life (notes, last updated 17.02.12)
- Interpolation for fractional ages, life tables as models of stable populations, select mortality (notes, last updated 02.03.12)
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3. Monetary functions (approx. weeks 9–12)
- Introduction to life assurance, whole-life assurance (notes, last updated 09.03.12)
- Whole-life annuities payable annually, policies of duration n (notes, last updated 16.03.12)
- Importance of variance, normal approximation, p-thly payments, useful approximations (notes, last updated 23.03.12)
- Loss, policy value, surrender value (notes, last updated 26.03.12)
- Bibliography (version of 26.03.12)
- Appendix: Facts from Probability (lecture handout of 06.02.12)
You may also be interested in the notes/handouts from an earlier version of the course.
- You are encouraged to try the (unassessed) Self-Tests on the Blackboard page before attempting the weekly exercise sheets.
- Work should be submitted by the 4pm deadline via the orange postbox in the basement of the Maths building; late work will not be accepted!
- Solutions will be posted online shortly after the deadline with marked scripts and individual feedback usually available in the following week's tutorials.
- For more details, see these coursework guidelines.
- You may find the following practice exam papers helpful (but remember that looking at the model solutions is no substitute for your own hard work):
- Previous exam papers from 2004–2008 are available from the library website. However, note that those papers had a different rubric requiring the attempt of 3 from 5 longer questions.
- [There is no longer a mid-term test for this course but you may wish to test your understanding by trying previous years' papers which are available (with solutions) here.]
- Notes from lectures should cover everything you need but you might like to consult some of the following for additional information or exercises:
- J. J. McCutcheon & W. F. Scott An Introduction to the Mathematics of
Finance (Heinemann)
- A. Neill Life Contingencies (Heinemann)
- N. L. Bowers et al. Actuarial Mathematics (SoA) .
All are available in the library; please let me know if additional copies are required.
- There is also a nice webbook by Eric V. Slud of the University of Maryland which is available here.
- The life tables used in this course are taken from the First Edition of the "Formulae and Tables" book published by the Institute of Actuaries. In particular, we use:
- English Life Table No 12 — pages marked 22–23 in the book;
- A1967-70 mortality table for assured lives — pages marked 30–31 and 38–41 in the book.
(More up-to-date data can be found in the Second Edition of this book; shelfmark "HG8782 FOR (ONEWEEK)" in the QM Library.)
- In previous years, as part of the Maths Careers series, we have had several speakers related to actuarial work including:
We hope to arrange something similar this year – watch this space!
- There is lots more careers advice on the website of the The Actuarial Profession.
Please don't hesitate to get in touch with any problems/queries. Full contact details can be found on my homepage.