## Bsc Acturial science_1 Syllabus Mumbai University by munotes

## Page 1

A.C/6.10/23/02/2021

M.C/15/09/04/2021

•

•lsiJuly,2021

(Dr.B.N.Gaikwad)

lie.REGISTRAR(Dr.B.N.Gaikwad)

lie.REGISTRARNo.UG/'2-b of_021-22mtnibrrsltr> ofiMnnlbai >,

***,".:.-w-!.*.....y.!,.*oJ....J.oJ-".••"',"','',' ..-;.','.,-•'j'"'I""'"

No.UG/26 -Aof2021 MUMBAI-400 032

Copyforwarded withCompliments forinformation to:-

1)TheChairman, BoardofDeans.

2)The Dean, FacultyofScience&Technology.

3)TheChairman, BoardofStudiesinStatistics,

4)TheDirector, BoardofExaminations andEvaluati J,

5)TheDirector, BoardofStudents Developm~nl,

6)TheCo-ordinator, University Computerization Centn.:,MUMBAI -400032

1SfJuly,2021

To,

ThePrincipals oftheAffiliated Colleges andDirectors oftherecognized Institutions

inFacultyofScience&Technology. (Circular o.UGI4of2017-18 dated9thJanuary,

2018.)CIRCULAR :-

Attention ofthePrincipalsortheAffiliated Colleges andDirectors ofthe

recognized Institutions inFacultyofScience&Te.lmology.

Theyareherebyinformed thattherecommendations madebytheBoardof

StudiesinStatistics atitsmeeting heldon26thDecemler,2020,videitemNo.1,and

subsequently passedbytheBoardofDeansatltsmeetngheldon11thFebruary, 2021

videitemNo.6.1(R)havebeenaccepted bytheAcademic Council atitsmeetingheld·

on23rdFebruary, 2021videitemNo.6.10andubsequently approved bythe

Management Councilatitsmeetingheldon09lhApril,2021,videitemNo.15andthat

inaccordance therewith, inexercise ofthepowersccnferredupontheManagement

CouncilunderSection74(4)oftheMaharashtra PublicIniversities Act,2016(Mah.Act

No.VIof2017)theOrdinance 6621&6622Regulations 9364&9365andthe

syllabusofB.Sc.(Actuarial Science) (ScmItoVI)(BCS)hasbeenintroduced and

thesamehavebeenbrought intoforcewitheffectfrOltheacademic year2021-22,

accordingly. (Thesameisavailable ontheUniversity's \\'bsitewww.mu.ac.·

•

## Page 2

Copy to : -

1. The Deputy Registrar, Academic Authorities Meetings and Services

(AAMS),

2. The Deputy Registrar, College Affiliations & Development

Department (CAD),

3. The Deputy Registrar, (Admissions, Enrolment, Eligibility and

Migration Department (AEM),

4. The Deputy Registrar, Research Administration & Promotion Cell

(RAPC),

5. The Deputy Registrar, Executive Authorities Section (EA),

6. The Deputy Registrar, PRO, Fort, (Publi cation Section),

7. The Deputy Registrar, (Special Cell),

8. The Deputy Registrar, Fort/ Vidyanagari Administration Department

(FAD) (VAD), Record Section,

9. The Director, Institute of Distance and Open Learni ng (IDOL Admin),

Vidyanagari,

They are requested to treat this as action taken report on the concerned

resolution adopted by the Academic Council referred to in the above circular

and that on separate Action Taken Report will be sent in this connection.

1. P.A to Hon’ble Vice -Chancellor,

2. P.A Pro -Vice-Chancellor,

3. P.A to Registrar,

4. All Deans of all Faculties,

5. P.A to Finance & Account Officers, (F.& A.O),

6. P.A to Director, Board of Examinations and Evaluation,

7. P.A to Director, Innovation, Incubation and Linkages,

8. P.A to Director, Board of Lifelong Learning and Extension (BLLE),

9. The Director, Dept. of Information and Communication Technology

(DICT) (CCF & UCC), Vidyanagari,

10. The Director of Board of Student Development,

11. The Director, Dep artment of Students Walfare (DSD),

12. All Deputy Registrar, Examination House,

13. The Deputy Registrars, Finance & Accounts Section,

14. The Assistant Registrar, Administrative sub -Campus Thane,

15. The Assistant Registrar, School of Engg. & Applied Sciences, Kalyan ,

16. The Assistant Registrar, Ratnagiri sub -centre, Ratnagiri,

17. The Assistant Registrar, Constituent Colleges Unit,

18. BUCTU,

19. The Receptionist,

20. The Telephone Operator,

21. The Secretary MUASA

for information.

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-B.Sc. (Actuarial Science) Programme

Under Choice Based Credit, Grading and Semester System

Course Structure

F.Y.B.Sc. (Actuarial Science)

(To be implemented from Academic Year - 2021-2022)

Semester I Semester II

1 Business Awareness Module 1 Stochastic models

2 Probability and Mathematical

Statistics -I 2 Probability and Mathematical

Statistics -II

3 Financial Mathematics – I 3 Financial Mathematics – II

4 Business Economics – I 4 Actuarial Modelling

5 Practical I 5 Practical II

S.Y.B.Sc. (Actuarial Science)

(To be implemented from Academic Year - 2022-2023)

Semester III Semester IV

1 Business Economics II 1 Statistical Methods I

2 Life & health

Contingencies I 2 Finance and Financial

Reporting I

3 Group insurance 3 Finance & Investments -I

4 Retirement Benefits 4 Communications (Theoretical)

5 Project Work I 5 Communications (Practical)

T.Y.B.Sc. (Actuarial Science)

(To be implemented from Academic Year - 2023-2024)

Semester V Semester VI

1 Actuarial Risk

Management I 1 Statistical Methods II

2 Life & health

Contingencies II 2 Finance and Financial Reporting

II

3 Finance & Investments -II 3 Actuarial Risk Management – II

4 General Insurance 4 Industry Project work II

5 Presentation & Viva 5 Viva

## Page 6

Semester I

1. Business Awareness Module

Unit I

Financial system: Financial environment: - Real Assets Vs Financial Assets –

Role of Financial System - Market Structure – Recent Trends: - Globalization –

Securitization – Financial Engineering – Computer Networks – Derivatives –

ADRs and GDRs – GDRs: - Advantage for Issuers - Benefit for Investors -

Securitization – Jargons – Features of securitization – Jargons – Features of

securitization – Current securitization activity in India

Unit II

Financial Markets & Instruments – Financial Markets – Functions of Financial

Markets – Organization of Financial Markets – Types of Financial Markets : -

Primary & Secondary Markets – Short term ( money ) and Long Term ( Capital)

Market : - Money Market Instruments : Call money – Repos - Collateralized

Lending and Bo rrowing – treasury Bills – Commercial paper – certificate of

Deposit - Commercial Bills – Capital Market Instruments : - Central Government

Securities – State Government securities and Public Sector bonds - Corporate

bonds and debentures – Equity Shares - Preference shares – Warrants - Spot &

Deferred Delivery Market – Derivative Products : Forwards – Futures Options –

Regulation of Financial Markets, Primary & Secondary Markets : Introduction –

Primary Markets : - Classifications of Issue : - On the basis of Price - On the basis

of subscribers – A Preferential Issue – Issue to the existing shareholders - Pricing

of an Issue – Book Building process – Auction of T – bills and GOI securities –

Offer Document - steps involved in Public & Rights Issue – Listing a nd delisting

– Secondary Market : Trading on Stock Exchanges : Screen Based Trading –

Contract Note – depository - Settlement – Custodian – Technology in trading

and settlement – Trading on Over the Counter / Dealer Market –Stock Market

Indices - Index C onstruction – Equity Indices – BSE Indices - NSE Indices – Debt

Market Indices.

Unit III

Macro Economy & Financial Service Industry: Aspects of Global Economy and

Politics – Economic factors - National Income – Gross National Product (GNP) -

Gross Domesti c Product (GDP) - Per Capita Income – Savings as a % of GDP -

Inflation and Recession – Monetary & Fiscal Policy – Life Insurance – General

Insurance – Challenges and Issue: Challenges facing Insurance Industry - Issues

## Page 7

in Insurance Industry

Unit IV

Actuarial Profession – Overview – Introduction to profession and professionalism

–Evolution of Actuarial profession – Characteristics of the ideal profession –

Characteristics of the Actuarial profession. Actuary in Financial Services

Industry : - Role of Act uaries : - Insurance Business - valuation of liabilities -

profit distribution - product design and product pricing – profit testing –

Assessment of solvency - Investigation of investment policy - investigation of new

business risks – General Insurance : - Premium rating – Estimation of liabilities

– collecting and presentation of information – Reinsurance requirements –

Health insurance – Investment policies – Financial supervision – Role of an

appointed Actuary – Role of an Actuary – other areas - Skills requ ired for the

Actuary – Acquiring Knowledge about the Aspects of the Company where Actuary

is employed.

Along with the theoretical aspects covered in th is paper syllabus, it is rec-

ommended that exercises like business game should be incorporated. This

will enhance students’ decision making skills and inculcate values of

team bonding, debate, dialogue among students.

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2.Probability and Mathematical Statistics - I

Unit I

Grouped Frequency Distribution – Stem and Leaf Diagrams - Line Plots -

Cumulative Frequency tables Measures of Location - The Mean - The Median -

The Mode - Measures of Spread – The Standard Deviation - Moments – The Range

– The Interquartile Range – Symmetr y and Skewness ( Bowley’s Pearson’s &

moments ) - Box Plots - Probability - definition - Basic Properties – addition rule

for probability – conditional probability definition – derivation of Bayes theorem

for events – probabilities for situations involving independence.

Unit II

Random Variables : Discrete Random Variables - Random Variables –

Probabilities – Probability Functions – Cumulative Distribution Functions –

Continuous Random Variables - Definition - Probability Density Function –

Cumulative Distribu tion Function - Expect ed Values – Mean - Variance and

Standard Deviation – Linear Functions of X - Moments - Important Discrete

Distributions – Uniform Distribution – Bernoulli Distribution - Binominal

Distribution - Geometric Distribution – Negative Binomial D istribution – Hyper

Geometric Distribution – Poisson Distribution -Important Continuous

Distributions – Uniform Distribution - Exponential Distribution – Gamma

Distribution – Beta Distribution - Normal Distribution – Functions of a Random

Variables – Discrete Random Variables – Continuous Random Variables.

Unit III

Generating Functions: Probability Generating Functions – General Formula –

Important Examples - Evaluating Moments – Moment Generating Functions -

General Formula – Finding Moments - Uses of Moment Generating Functions –

Important Examples. Joint Distribut ions: Joint Probability ( Density) Functions

– Discrete Case – Continuous Case -Marginal Probability ( Density) Functions –

Discrete Case – Continuous Case - Conditional Probability ( Density) Functions

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– Continuous Case – Independence of Random Variables – Discrete Case -

Continuous Case – Functions of Random Variables – Expectations of

Functions of Two Variables - Expectations - Expectation of a Sum - Expectation

of a Product – Covariance and Correlation Coefficient –

Useful Resu lts on Handling Covariance – Variance of a Sum –Using Generating

Functions to Derive Distributions of Linear Combinations of Independent

Random Variables - Probability Generating Functions –Moment Generating

Functions

Unit IV

Conditional Expectation: T he Conditional Expectations E [Y |X]- The Random

Variables E [Y |X]- The Random Variables V[Y |X] and the “E[V]+V[E]”. Result -

Moment Generating Functions – Compound Distributions – Moments of

Compound Distributions – Generating Functions of Compound Distribu tions –

The Central Limit Theorem and its applications – Definitions – Practical Uses –

Normal Approximation for Binomial Distribution, Poisson Distribution, Gamma

Distribution – The Continuity Correction - Examples.

## Page 10

3. Financial Mathematics – Paper I

Unit I:

Cash flow Models: Cash Flow Process - Examples of Cash Flow Scenarios – Zero

Coupon Bond, Fixed Interest Securities, Index Linked Securities, Cash on

Deposit, Equity, Annuity, An Interest Only Loan, Repayment Loan, The Time

Value of Money: Simple In terest, Compound Interest, Present Values Simple

Discount, Investing Over a Period.

Interest Rates: Nominal Rate of Interest – Accumulation Factors – Principles of

Consistency, The Force of Interest - Present Values – The Basic Compound

Interest Functions – Interest Payable pthly. Real and Money rates of interest:

Definition of real and money interest rates – Deflationary conditions - Usefulness

of real and money interest rates.

Unit II

Discounting and Accumulation: Present Values of Cash flows - Discrete Cash

Flows, Continuous Cash Flows – Valuing Cash Flows – Constant Interest Rates,

Sudden Changes in Interest Rates – Interest Income.

Level Annuities: Present Values – Payments Made in Arrear, Payment Made in

Advance - Accumulations – Perpetuities – Continu ously Payable Annuities -

Annuities Payable pthly: Present Values, Accumulations, Perpetuities - Annuities

Payable month ly where p is less than 1 – Non-Integer value of n.

Unit III

Deferred and Increasing Annuities: Deferred Annuities - Annual Payments -

Continuously payable Annuities, Annuities Payable monthly, Non-Integer

Values of n - Varying Annuities - Annual Payments - Continuously Payable

Annuities Relationship – Decreasing Annuit ies – Special Cases - irregular

Payments – Sudden Changes in Interest Rates.

Equation of Value : The Equation of Value and the Yield on the Transaction –

The Theory – Solving for an Unknown Quantity – Uncertain Payment or Receipt

– Probability of Cash flow s, Higher Discount rate, Loan Schedules : Calculating

the Capital Outstanding – Introduction, the Theory and the retrospective Loan

Calculation – Calculating the Interest and Capital Elements – The Loan

Schedule - Instalment Payable More Frequently than An nually - Consumer

Credit : Flat Rates and APRs.

Unit IV

Investments : Introduction – fixed interest government borrowings – fixed

interest government bonds, cash flows, variations, tax, security, marketability

and return – government bills - fixed intere st borrowings by other bodies -

characteristics of corporate debt, debentures, unsecured loan stocks,

Eurobonds, Certificates of Deposit - convertibles – property – derivatives - future,

range of Futures, clearing house, margin, bond futures, short interest f utures,

stock index futures - options, swaps - interest rate swaps, Currency swaps.

## Page 11

4.Business Economics – I

Unit I

Economics concepts: What Economists study – Business economics – The

Microeconomic Environment – Business Economics – Microeconomics Choices.

Demand and Supply: Demand – Supply – Price and Output Determination –

Business in a Competitive Market.

Elasticit y and Uncertainty: Price Elasticity of Demand - The importance of PED

to Business Decision Making – Other Elasticity – The time Dimension of Market

Adjustment - Dealing with Uncertainty.

Unit -II

Consumer demand and Uncertainty: Marginal Utility Theory – Demand under

condition of risk and uncertainty – utility and insurance

Production and Cost: The meaning of cost – production in the short run – cost

in the short run - production in the long run – cost in long run.

Revenue and Profit: Revenue – Profit Maxi mization.

Unit III

Prefect competition and monopoly: Alternative market structures – perfect

competition – monopoly – Comparing monopoly with perfect competition.

Imperfect competition: Monopolistic competition – comparing monopolistic

competition with o ther market structures – oligopoly - collusive oligopoly - Non –

collusive oligopoly - game theory.

Unit –IV

Products, marketing and advertising: Product differentiation – Marketing -

Advertising.

Pricing strategies: Pricing and market structure – alternative pricing strategies –

price discrimination – multiple product pricing – transfer pricing

1. Practical – I

This paper will consist of numerical problems based on all the

papers during Semester I using Excel and R .

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Semester II

1. Stochastic Models

Unit I(Problem only)

Introduction on Stochastic Processes: Markov chains, A model of a no claims

discount policy - transition probability matrix, classification of states - transient,

recurrent, ergodic - ergodic theorems. The long - term distribution of a Markov

Chain – The Stationary probability distribution and applications

Unit II

Survival Models : A simple model of survival ( Model I ) – Future lifetime –

Probabilities of death and survival . The force of mortality – Survival probabilities

– The probability density function of Tx – Initial rates and central rates of

mortality – complet e and curate expectation of life - Complete expectation of life

- Curate expectation of life - The relationship between and ex - future lifetime –

variance – Uses of the expectation of life – Some important formulae - A formula

for tPx – Simple laws of morta lity – Gompertz’ and Makeham’s Laws – Calculating

the parameter values – Survival probabilities.

Unit III (Problem only)

Estimating the Life Time Distribution Function F x(t): The Kaplan – Meier and

Nelson – Aalen models – The Kaplan – Meier estimate – Nelson – Aalen estimate

– Relationship between the Kaplan – Meier and Nelson – Aalen estimates.

Unit IV (Problem only)

The Cox Regression Model: Fully parametric models – parametric models for the

hazard function – Covariates – The Cox Model – Introductio n – Hazards of

Different lives – The utility of the Cox model – Estimating the regression

parameters

## Page 13

2.Probability and Mathematical Statistics – II

Unit I

Sampling and statistical inference : Sample , Population, parameter – Statistical

inference - statistic and its sampling distribution – Mean and variance of sample

mean – Use of t – statistic for random samples from a normal distribution – use

of F distribution of the ratio of two sample variances from normal distributions

(definitions and applications only without derivations for F and t distribution)

Point estimation: Constructing estimators of population parameters using

method of moments – Method of Maximum likelihood – unbiasedness - mean

square error of an estimator – asymptotic distribution of maximum likelihood

estimators.

Unit II

Hypothesis Testing: null and alternative hypothesis – simple and composite

hypothesis - type I error type II error – likelihood ratio - level of significance –

Probability value and power of test - basic tests for one sample and two sample

situations – Chi- squared test – contingency table. Confidence Intervals: Deriving

confidence intervals for mean and variance of normal distribution – for binomial

and Poisson – for two sample d istribution – confidence interval for a difference

between two means from paired data.

Unit III

Correlation and Regression: scatter plots for bivariate data – calculation of

correlation coefficient of bivariat e data – performing statistical inference –

response and explanatory variables - simple regression model - least squares

estimate – statistical inference on slope parameter —calculation of R2, coefficient

of determination – predict a mean or individual response – multiple linear

regression method.

Unit IV

Analysis of Variance – one-way analysis of variance – the model - estimation of

the parameters - partitioning the variability – checking the model -examining the

treatment means – confidence intervals for a single treatment means –

confidence interval s for a pair of treatment means – analysing like means using

a least significant difference approach.

## Page 14

3.Financial Mathematics –II

Unit I

Project Appraisal: Introduction – Estimating cash flows – fixed interest rates -

accumulated value, net present value, internal rate of return, the comparison of

two investment projects – different interest rates for lending and borrowing –

payback period - other considerations – measurement of investment

performance –money weighted rate or return, time weighted rate of return,

linked internal rate of return .

Unit II

Simple compound Interest Problems : Fixed Interest Securities – Calculating

the price, al lowing for income tax perpetuities, calculating yields - the effect of

the term to redemption on the yield - part loan purchases – optional

redemption dates – deferred income tax - uncertain income securities – equities

– property - real rate of interest – inflation adjusted cash flows – calculating real

yield using an inflation index – calculating real yields given constant inflation

assumption – payments related to the rate of inflation – the effects of inflation –

index linked bonds – capital gains tax - valuing a loan with allowance for

capital gains tax – finding the yield when there is capital gains tax – optional

redemption rates - offsetting capital losses against capital gains – the

indexation of capital gains.

Unit III

Arbitrage and Forward Contracts : The no arbitrage assumption – why do we

assume no arbitrage - forward contracts – calculating the forward price for a

security with no income – calculating the forward price for a security with fixed

cash income – calculat ing the forward price for a security with drawn dividend

yield – hedging – the value of a forward contract – fixed cash income.

Unit IV

Time structure of interest rates: discrete time – discrete time spot rates - discrete

time forward rates – continuous time rates –continuous time spot rates –

continuing time forward rates – instantaneous forward rates – theories of time –

term structure of interest rates – why interest rates vary over time - theories –

yield curve – yields to maturity – par yields – duration – convexity and

immunization - interest rate risk - effective duration – duration – convexity –

immunization. Stochastic interest rate models: simple models – preliminary

remarks – fixed interest rate model - carrying interest rate model –moment of Sn

–moments of an – log normal distribution.

## Page 15

4.Actuarial Modelling

Unit I

Binominal and Poisson Models: Binominal – type models – The binomial models

– Estimating qx from the data - Generalization of the model – Maximizing the

likelihood – The actuarial estimate – Findings a simple estimate for qx –

Strengths and weakness of the binomial model - The Poisson model – Estimating

the underlying force of mortality.

Exposed to Risk (Problem Only) : Calculating the exposed to risk – Exact calcu-

lating of Central e xposed to risk census approximations to Central exposed to

risk.

Unit II

Graduation and Statistical Tests : Introduction – Graduation of Observed Mor-

tality Rates – The Underlying Assumptions – Comparison with other Tables –

Standard tables Graduation – The need for Graduation – Reasons for Graduation

– The Theoretical Argument - The practical Argument – Desirable Features of a

Graduation – Smoothness Versus Adherence to Data – Suitability for purpose in

Hand – Testing the Smoothness of a Graduation – Smooth Graduation

UNIT III (Problem only)

Graduation and Statistical Tests: Chi - Square Test – Standardized Deviations

Test – Signs Test Cumulative Deviations - Grouping of Sign Test - Serial Correc-

tions Tests - Testing Actual Versus Expected Rates.

UNIT IV

Metho ds of Graduation: Graduation by Parametric Formula – The Graduation

Process - Graphical Graduation – The Graphical Graduation Process – Compari-

son of Different method - Graduation by Parametric Formula – Graduation by

Reference to a Standard Table Statistica l Tests of a Graduation - Testing a Grad-

uation – The Effect of Duplicate Policies.

1. Practical II

This paper will consist of numerical problems based on

all the papers during Semester II using Excel and R .

## Page 16

Semester III

1. Business Economics – II

Unit – I

Growth strategy and globalization: Growth and profitability – constraints on

growth alternative growth strategies – internal growth – external growth

through merger – external growth through strategic alliance – explaini ng

external growth – a transaction cost approach - globalization.

Government intervention in markets: The objectives of government

intervention – types of market failure – types of Government intervention –

the case for less Government intervention.

Unit –II

Government and the firm: competition policy - policies towards research and

development.

Supply – side policy: the supply – side problems – market – oriented supply –

side policies - industrial policy.

International trade: trading patterns – the advan tages of trade – arguments

for restricting trade – the world trading system and the WTO.

Unit –III

Balance of payments and exchange rates: the balance of payments account –

the exchange rate - exchange rates and balance of payments – fixed versus

floating exchange rate.

The macroeconomics environment: macroeconomics objectives – the

circular flow of income – the measurements of national income - the

determination national income – economics growth – unemployment –

inflation.

Unit – IV

Money and interest rates: the functions and meaning of money – the financial

system - the supply of money – the demand for money – equilibrium in the

money market - the effect of a change in the money supply.

Business activity, unemployment and inflation: u nemployment and inflation

- the disappearance of the Phillips curve – business cycles.

Demand side macroeconomics policy: fiscal policy – monetary policy –

demand management general - current demand side policy in the UK - the

supply side problems.

## Page 17

2. Life & Health Contingencies – I

Unit I

The life table : Constructing a life table – Using the life table – The pattern of

human mortality -Life table functions at non - integer ages – Method I – uniform

distribution of deaths (UDD) - Methods 2 - constant force of mortality (CFM) - The

general patt erns of mortality - Mortality characteristics – The shape of qx, lx, dx

– Using the life table to evaluate means and variances - Evaluating means and

variances without use of the life table – Select mortality – Displaying select rates

– Constructing select and ultimate life tables - Using tabulated select life table

functions – Evaluating means and variances using select mortality.

Unit II

Life assurance contracts: Pricing of life insurance contracts – Equations of value -

Allowance for investment income – Present value random variables – Expected

present value – Variance of the present value random variables for life assurance

contracts -Life assurance benefits payable immediately on death - Claim

acceleration approximation. Life annuity contracts immediate an nuity - Present

value random variable – Expected present value – Variance of the present value

random variables - Annuity -due – Temporary annuity – Temporary annuity -due

– Deferred annuities – Deferred annuities -due – continuous annuities.

Evaluation of assurance and annuities: Evaluating assurance benefits –

Evaluating annuity benefits – Premium conversion equations – Discrete version

– Continuous version – Variance of benefits – Expected present values of

annuities payable m times each year – Retrospec tive accumulations – Pure

endowment – Term assurance – Annuity.

Unit III

Net premium and provisions : Premiums – Frequency of payment – the net

premium definition – Notation – The insurer’s loss random variables – Provisions

– Prospective provision - retrospective provision - Conditions for equality of

prospective and retrospective Provisions - Provision conventions – Net premium

provisions – definition – Some notation and results for net premium provisions

– Whole life policies – Continuous functions - Non-annual premiums - term

assurances – Other contracts – Recursive calculation of provisions – conditions

for recursive calculations – Net premium provisions at successive durations.

The Equations of equilibrium for a whole life assurance - General reason ing –

Mortality profit Dead stain at risk (DSAR) – Expected death strain (EDS) -

Actual death strain (ADS) - Mortality Profit – Mortality profit on a portfolio of

policies – Allowing for survival benefits annuities – Thiele’s differential equation.

Unit IV

Variable benefits and with – profit polices : Variable payments – Payments

## Page 18

varying at a constant compound rate – Payments changing by a constant

monetary amount – Whole life assurance – Term assurance - Whole life annuity

payable annually in arrears - Whole life annuity payable annually in advance –

Temporary annuities – With-profit contracts – Types of bonus – Calculating net

premiums and net premium provisions for with - profit contracts – Net future

loss random variables – Net premiums – Net premium pr ovisions.

Gross premiums and provisions for fixed and variables benefit contract : Types

of expenses incurred in writing a life insurance Contract - Measuring and

allocating costs – charging for expenses – The influence of inflation on expenses

– Gross fu ture loss random variables for standard Contracts - determining gross

premium using the equivalence principle – Annual premium contracts – With –

Profit contract - Premiums payable m times per year - Gross premium using

simple criteria other than the equival ence principle – Gross premium prospective

and retrospective provision –– Equality of gross premium prospective and

retrospective provisions – Recursive relationship between provisions for annual

premium contracts.

## Page 19

3. Group Insurance

Unit 1:

Special Le gal / other Features of Group Insurance / Superannuation

Schemes - Group Insurance Schemes – EDLI and Non - EDLI - Group Gratuity

Schemes: - Payment of Gratuity Act, 1972

Unit 2

Other Group Insurance Schemes: a) Fixed or graded cover schemes on the

lives o f employees b) Creditor – Debtor Group Insurance Schemes for Housing

Loans, Vehicle Loans etc.

Superannuation Schemes – Pension Schemes

Unit 3:

Group Savings Linked Insurance Schemes

a) Weaker section Schemes – b) Rural Schemes

4.Retirement Benefits

Unit 1:

Accounting Standards – Indian AS - 15, US GAAP, International Accounting

Standards – Actuarial Valuation of Retirement benefits.

Taxation Aspects

Unit II: Pension Funds:

Salary scale - Salary related pension benefits and contri butions, Age re-

tirement benefits, III health retirement benefits , death in service benefits,

Scheme contributions , Expected cash flows generated by pension and

contributions – classifications of benefits, Determining expected cash

flows expected amount payable -Probability of payments – Expected cash

flows using commutation functions to value salary related benefits and

contributions – death benefits – Members contributions Benefits and op-

tions available to an individual leaving a pension scheme – return of con-

tribution – A Referred pension – Immediate pension – Transfer of cash

equivalent .

## Page 20

5.Project Work – I

Project work shall be completed by working outside the regular teaching hours

under the supervision of a teacher in the concerned department in a reputed

insurance company or industry/Research Institute. There should be an

internal assessment and external assessment for the project work. The

external evaluation of the Project work is followed by presentation of work

including dissert ation and Viva -Voce.

## Page 21

Semester IV

1. Statistical Methods – I

Unit I

Decision theory: Introduction – zero – sum two player games – domination – the

minimum criterion – saddle points – randomized strategies – statistical - The

Bayes criterion Bayesian Stati stics: Bayesian theorem prior and posterior

distribution: Notation – determination the posterior density – continuous prior

distribution – conjugate priors –improper prior distribution. The loss function:

quadratic loss , absolute error loss - all- or- no loss.

Unit II

Loss distributions: the exponential distribution – the gamma distribution –

normal distribution – pareto and generalized Pareto distribution – lognormal

distribution – the Weibull distribution the burr distribution. Estimation – the

method of moment –MLE for gamma, exponential distribution.

Reinsurance: Introduction – proportional reinsurance arrangements – excess of

loss reinsurance for prior and reinsurer - proportional reinsurance lognormal

distribution and examples –normal distribution a nd examples – inflation –

estimation – policy excess.

Unit III:

Risk model (I):The basic model – discussion of the simplification in the basic

model – notation and assumption. The collective risk model: - the collective risk

model – distribution function and convolution - Moments of compound

distribution – the compound Poisson distribution – the compound binominal

distribution – the compound negative binomial distribution. Risk model (2):

aggregate claim distribution order proportional and excess of loss r einsurance:

proportional reinsurance – excess of loss reinsurance. The individual risk model

parameter variability /uncertainty: - introduction – variability in heter ogeneous

portfolio - variability in homogeneous portfolio – variability in claim Numbers an d

claim amounts and parameter uncertainty.

Unit IV

Credibility theory: Introduction – credibility: the credibility premium formula the

credibility prior. Bayesian credibility: introduction – the Poisson / gamma model

– numerical illustrations of the Poi sson / gamma model – the normal / normal

model – dissuasion of the Bayesian approach to credibility.

## Page 22

2. Finance and Financial Reporting – I

Unit I

Key principles of finance : Introduction to finance – finance and real resources

of an organization - finance and the organization objectives - responsibilities for

financial decisions – the importance of capital budgeting – financial analysis –

business o bjectives – the stakeholder – conflicting objective provides of finance

– ways of managing conflicts - business objectives – a re - statement -the

maximization of shareholders wealth – the goal of the financial managers - the

opportunity cost of capital – the capital markets. Company ownership: types of

business entity – sole trader – partnership limited companies – limited liability

partnerships – private & public limited companies – pros & cons of limited

companies – medium term finance – hire purchase – credit sale – leasing – bank

loans – short term finance – bank overdrafts – trade credit – factoring - bills of

exchange – commercial paper.

Unit II

Financial instruments: loan capital – introduction – debenture stock –

unsecured loan stock - subordinate debt- Eurobond loan capital – floating rate

notes – share capital – ordinary shares – preference capital – convertibles –

warrants – options issued by companies – winding up of a company. Issue of

shares : obtaining stock exchange quotation – reasons for q uotation – methods

to obtain quotation – offer for sale at fixed price – offer for sale by tender –

concessionary methods –offer for subscription – placing – introduction – role of

underwriting – Issue made by companies already quoted right issue – purpos e –

impact – theoretical price – scrip issue – purpose – impact – scrip dividend

Unit III

Taxation: Introduction – personal taxation – considerations – taxable income –

tax rates – corporation of - accounting profits & taxable profits – rates of tax –

uses of corporation tax system - capital gain of - chargeable gains – indexation

allowance – taper relief – capital losses – rates of tax - other taxes – stamp duty

– inheritance taxes – property taxes – sales tax – custom and excise duties –

double taxation rel ief. Use of derivatives: introduction – financial futures – bond

futures - short interest rate future - work index futures –options –meaning –

margins & premium – types – put option - call option – uses of option –interest

& currency swaps – pricing – risk – uses of swaps.

## Page 23

Unit IV

Capital structure and dividend policy : Introduction – capital structure –

components of capital structure – asset structure and business –degree of

acceptable gearing – the market and capital structure – high growth company

that is highly geared – cyclical industry – an industry facing decline - “ people ”

businesses – company in high growth but high risk industries – taxation and

capital structure - dividends – shareholder’s reward – fundamentals of dividend

policy – factors influ encing dividend policy – other methods of reward – scrip

and stock dividends – effects on companies and shareholders – share buyback –

the market and dividends. Weighted average cost of capital : introduction – the

importance of the discount rate - defini ng the weighted average cost of capital -

Modigliani and miller - their view - CAPM – cost of equity – CAPM and risk –

systematic risk – beta as a measure of systematic risk – measuring beta – market

derived real discount rate – cost of debt marginal or ave rage cost - determinants

– calculation of WACC. Capital project appraisal : definition of a capital project

– definition of project – evaluation of cash flows - methods of project evaluation

– net present value – internal rate of return – annual capital cha rge- other

methods - payback period – nominal returns – strategic fit – opportunity cost -

hurdle rates evaluation of risky projects – simulation - sensitivity analysis –

scenario testing – Monte Cario stimulation – probability trees – certainty

equivalents – results of the evaluation – allowing for systematic risk – calculation

of required rate of return for a project – WACC - CAPM based approach - factors

influencing beta practice – practical experience – other factors – risk analysis

and dealing with risks – identification of risk – risk matrices – causes of risk –

analysis of risk – financial consequences of risk – obtaining a distribution of

NPVs – scenario analysis –stochastic modelling – relative merits of the two

approaches – unfavourable NPVs – risk mitigation –ways of mitigating risk –

financial consequences of risk mitigation – the investment submission.

## Page 24

3.Finance and Investment -I

Unit 1 – Measures of Investment Risk:

Measures of investment: risk: variance of return, downside semi -variance of return, shortfall prob-

abilities, Extreme values, quantile estimators and Value at risk (VaR)/Tail VaR.

Unit 2 – Efficient Markets Hypothesis and Utility Theory:

Efficient Market Hypothesis

Investor’s Utility Function

Unit 3 – Mean Varian ce Portfolio Theory and CAPM:

Mean -variance portfolio theory and its principal results.

Single and multifactor models of asset returns;

Capital Asset Pricing Model and Arbitrage Pricing Theory

Unit 4 – Financial and Non -Financial Risks and Modelling of Credit Risk

Financial and non -financial risk: Interest rate risk; Market risk, Credit risk, Foreign Exchange risk,

Sovereign risk, Liquidity risk, Compliance risk .

Credit Risk Modelling using JLT Model, Merton Model, Two -Factor Model.

## Page 25

4. Business Communication (Theoretical) - Paper I

Unit I:

Concept of Communication: Meaning, Definition, Process, Need Feedback

Emergence of Communication as a key concept in the Corporate and Global

world Impact of technological advancements on Communication

Channels and Objectives of Communication: Channels - Formal and

Informal - Vertical, Horizontal, Diagonal, Grapevine.

Objectives of Communication: Information, Advice, Order and Instruction,

Persuasion, Motivation, Education, W arning, and Boosting the Morale of

Employees (A brief introduction to these objectives to be given)

Methods and Modes of Communication:

Methods: Verbal and Nonverbal, Characteristics of Verbal Communication

Characteristics of Non -verbal Communication, Bus iness Etiquette

Modes: Telephone and SMS Communication 3 (General introduction to

Telegram to be given) Facsimile Communication [Fax]

Computers and E - communication Video and Satellite Conferencing.

Unit II:

Problems in Communication /Barriers to Communication : Physical/

Semantic/Language / Socio -Cultural / Psychological / Barriers, Ways to

Overcome these Barriers.

Listening : Importance of Listening Skills, Cultivating good Listening Skills –

4.

Introduction to Business Ethics: Concept and Interpre tation, Importance of

Business Ethics, Personal Integrity at the workplace, Business Ethics and

media, Computer Ethics, Corporate Social Responsibility.

Teachers can adopt a case study approach and address issues such as the

following so as to orient and s ensitize the student community to actual

business practices:

Surrogate Advertising, Patents and Intellectual Property Rights, Dumping of

Medical/E -waste, Human Rights Violations and Discrimination on the basis

of gender, race, caste, religion, appearance a nd sexual orientation at the

workplace.

## Page 26

Piracy, Insurance, Child Labour.

Unit III:

Theory of Business Letter Writing:

Parts, Structure, Layouts —Full Block, Modified Block, Semi - Block

Principles of Effective Letter Writing, Principles of effective Email Writing.

Personnel Correspondence:

Statement of Purpose, Job Application Letter and Resume, Letter of

Acceptance of Job Offer, Letter of Resignation [Letter of Appointment,

Promotion and Termination, Letter of Recommendation (to be taught but

not to be tested in the examination)]

Unit IV:

Commercial Terms used in Business Communication.

Paragraph Writing:

Developing an idea, using appropriate linking devices, etc

Cohesion and Coherence, self -editing, etc [Interpretation of technica l data,

Composition on a given situation, a short informal report etc.]

Note:

One tutorial per batch per week in addition to number of lectures stated above

(Batch size as per the University norms)

## Page 27

5.Business Communication – Paper II

Unit I

Presentations: (to be tested in tutorials only)4 Principles of Effective

Presentation - Effective use of OHP - Effective use of Transparencies - How

to make a Power -Point Presentation

Unit II:

Interviews: Group Discussion Preparing for an Interview, Types of

Interviews –Selection, Appraisal, Grievance, Exit - Meetings: Need and

Importance of Meetings, Conduct of Meeting and Group - Dynamics Role of

the Chairperson, Role of the Participants, Drafting of Not ice, Agenda and

Resolutions - Conference: Meaning and Importance of Conference

Organizing a Conference - Modern Methods: Video and Tele – Conferencing

- Public Relations: Meaning, Functions of PR Department, External and

Internal Measures of PR.

Unit III:

Trade Letters: Order, Credit and Status Enquiry, Collection (just a brief

introduction to be given) - Only following to be taught in detail: -

Letters of Inquiry, Letters of Complaints, Claims, Adjustments Sales Letters,

promotional leaflets and fliers Consumer Grievance Letters, Letters under

Right to Information (RTI) Act

[Teachers must provide the students with theoretical constructs wherever

necessary in order to create awareness. However, students should not be

tested on the theory.]

Unit IV : Language and Writing Skills

Reports: Parts, Types, Feasibility Reports, Investigative Reports

Summarisation: Identification of main and supporting/sub points

Presenting these in a cohesive manner

Tutorial Activities:

Presentations, Group Discussion, Mock Interviews, Mock Meetings /

Conferences, Book Reviews/Summarization, Reading Comprehension:

Analysis of texts from the field of Literature [Suggested Books for Book Reviews:

## Page 28

Books from the fields of Management, Finance , and Literature Like – Sun

Tzu :The Art of War, Eliyahu M. Goldratt : The Goal , Eliyahu M. Goldratt: It’s

Not Luck , Spencer Johnson: Who Moved My Cheese, Stephen Lundin, Ph.D.,

Harry Paul, John Christen: Fish, Chetan Bhagat One Night At A Call Center,

Chetan Bhagat My Three Mistakes , Arindam Choudhary: Count Your Chickens

Before They Hatch ,Stephen Covey :Seven Habits of Successful People, George

Orwell: Animal Farm, Dr. Abdul Kalam: Wings of Fire ]

Semester V

1. Actuarial Risk Management – I

Units I

Cash flows of simple products : - introduction to cash flows ( cash flow matching ,

cash flow process ) - examples of cash flow scenarios ( annuity, term assurance,

endowment assurance, an interest only loan, repayment loan (mortgage), motor

insura nce) contract design : - introduction – parties involved in contract design

( customer needs and interests, characteristics of other stakeholders involved in

contract design) – deciding on the benefits to offer ( the level and form of benefits,

option and g uarantees, discretionary benefits, benefits taken early/

discontinuance terms, contract conditions ) commercial considerations

( profitability, marketability, competitiveness, statutory/ regulatory

requirements) financing considerations ( financing requi rements, method of

financing the benefits to be provided, risk characteristics ) - premiums,

contributions and charges ( premium/ contribution pattern, charges vs.

expenses, extent of cross – subsidies, consistency with other contracts) -

administ rative and accounting issues ( administration system, accounting

implications) - summary (good contract design, interaction of contract design

factors, core reading examples) considering all eventualities ( stochastic

modelling , key scenarios)

Unit II

Project management: - participating in a successful project ( introduction,

characteristics of well -run projects, written strategy documents, project

management team ) capital project appraisal : - introduction – capital projects

and capital project appraisa l ( definition of a capital project, key stages in capital

project ) - methods of initial appraisal – methods of detailed appraisal ( definition

of project, evaluation of cash flows ) – choice of risk discount rate ( general

considerations, systematic risk and specific risk, choosing the discount rate for

projects with a normal degree of systematic risk, choosing the discount rate for

projects with a higher than normal degree of systematic risk, other factors to

consider ) - risk identification – analysis o f risks ( distribution of NPVS , core

## Page 29

reading examples).

Unit III

Relationship between returns on asset classes: expected and required returns

(requiredreturns, suspected return, requires vs. expected return, determining

whether an asset seems cheap) - analyzing historical returns (introduction,

equities, conventional bonds, index – linked, cash, earnings) historical figures

for the UK. Valuation of asset classes and portfolios: - analysis of expected

returns from different assets ( introduction, two defini tions, the analysis,

conventional government bonds , corporate loan stocks, equities, property)

comparisons between investment sectors ( yield gap and reverse yield gap,

dividend yields vs. real yields, property vs. other sectors, corporate bonds vs.

gover nment bonds, overseas investments) - other methods ( yields “ norms ”

index levels and price charts, yield ratios) - relationship between the assets and

liabilities ( consistency of valuation, consistency of method, consistency of

bases ) - allowing for the variability of the asset prices – notional

portfolios( method, choosing the notional portfolio)

Unit IV

Relationship between assets and liabilities : - the principles of investment – asset

– liability matching requirements of liabilities ( nature of the liabilities, benefit,

payments, expense outgo, premium / contribution income ) – asset – liability

matching requirements of assets ( selecting assets appropriate to the liabilities,

guaranteed in money terms, guaranteed in terms of the prices index or

similar ,discretionary benefits, investment linked) - other considerations

( currency, free assets / surplus, regulatory fame work, core reading example)

Asset Management: - portfolio construction (strategic benchmarks and tactical

asset allocation) risk budgeting – measuring risk (tracking error, active money,

value at risk, stress testing) - liability hedging (definition, unit - linked liabilities)

## Page 30

2.Life & Health Contingencies – II

Units I

Simple annuities and assurances involving two lives : Random variables to

describe join life functions – Joint lifetime variables and joint life table functions

– Last survivor lifetime random variables – Determining simple probabilities

involving two liv es – Evaluating probabilities of death or survival of either or both

of two lives - evaluating last survivor functions – determining present values

involving two lives – Present values of joint life and last survivor assurances –

Present values of joint lif e and last survivor annuities.

Contingent and reversionary benefits: Contingent probabilities of death - Present

values of contingent assurances –Present values of reversionary annuities –

Present values of functions with specified terms. Expected present values of last

survivor assurances and annuities that also depend upon terms – Expected

present values of reversionary annuities that depend upon terms – Expected

present values of contingent assurances that depend upon terms – expected

present value of a nnuities payable m times a year – Premium conversion

relationships

Profit testing: Unit – linked contracts – Evaluating expected cash flows –

Multiple decrement tables - Evaluating expected cash flows for conventional

whole life assurance, Disability insura nce with waiver of premium.

Unit II

Unit- linked endowment assurance - Profit tests for annual premium contracts

summary measures of profit – Choosing the risk discount rate – Determining

premiums using a profit test - Profit criterion. Determining provisi ons using

profit testing: Pricing and provisioning bases - Determining provisions for a unit

– linked policy using cash flow techniques – Zeroising negative cash flows –

Determining provisions for a conventional policy using cash flow techniques –

Effect of pricing used provisioning bases on a profit test.

Competing risk: Multiple state modelling – Notation – Kolmogorov forward

equations – Valuing benefits that are contingent upon competing risk –Multiple

state approach multiple decrement tables – deriving department probabilities

from transition intensities – Deriving the independent probabilities from the

dependent probabilities.

## Page 31

Multiple decrement tables: Multiple decrement service table for pension

calculations – updating a service table - Associated sing le decrement tables –

Relationship between single and multiple decrement tables – Obtaining the

underlying single decrement tables from the multiple decrement tables –

construction of multiple decrement tables from underlying single decrement

tables – How to obtain multiple decrement tables rates – Alternative method for

determining underlying single decrement rates – Consistency with the multiple

state approach.

Unit I II

Mortality, selection an standardization; Principal factors contributing to

variation in mortality and morbidity - Occupation – Nutrition – Housing –

Climate and geographical location - Education – Genetics – Selection -

Temporary initial selection – Class sel ection Time Selection - Adverse Selection

– Spurious selection – Selection in life assurance and pensions business - Life

assurance – Pension funds –Why it is necessary to have different mortality

tables for different classes of lives – How decrements can h ave a selective effect

risk classification in life insurance – Single figure indices – Crude mortality

rate – Directly standardized mortality rate indirectly standardized mortality

rate – Standardized mortality ratio.

## Page 32

3.Finance & Investments -II

Unit 1: Introduction to Derivatives:

Introduction to Derivatives – Options, Futures, Swaps, Investment Indices

Option Greeks

Unit 2: Stochastic Calculus:

Brownian Motion and Weiner Process

Stochastic Calculus and Ito’s Lemma

Unit 3 – Option Pricing Models:

Binomial Model

Block Scholes Option Pricing Model

Unit 4 – Term Structure of Interest Rates:

Hull White Model, CIR Model and Vasicheck Model.

## Page 33

4.General Insurance

Unit I:

Non-life insurance – Types & Categories

Concepts of exposure, severity, frequency, rating and risk factors

Unit II :

Reinsurance, rating and risk factors

Risk premium, reinsurance, Net and gross premium calculations.

Distributions of claims size and amounts, incurred claims, chain lad der

method etc.

Unit III :

Laws related to non -life insurance business.

Unit IV :

Concepts of financial statements of non -life insurance companies including

solvency norms

## Page 34

5. Presentation & Viva

Presentation based on any topic during Semester IV under the guidance of a

teacher in the concerned department. There should be an internal assessment

and external assessment for the Presentation. The external evaluation of the

presentation will be assessed by a Viva.

## Page 35

Semester VI

1. Statistical Methods – II

Unit I

Empirical Bayes credibility theory: Models - I – Empirical bayes credibility

theory Models II

Ruin Theory: basis concepts notation - The surplus process the probability of

ruin in continues time – the probability of ruin i n short term.

Unit II

Run – off triangles: introduction – the origins of run -off triangles – types of

reserves – presentations of claims data – estimating feature claims. Projections

using development factors: run – off triangles – the chain ladder method – model

checking – other methods of deriving development factors assumptions

underlying the method. Adjusting for inflation: The inflation adjusted chain

ladder method. The average cost per claim method description of method

application of the method – assumptions underlying th e method. Loss ratios the

Bornhuetter Ferguson method: concept of Bornhuetter Ferguson method –

description of the method – application of the method – assumptions underlying

the method – grossing up factors versus development factors.

Unit III

Generali zed linear models: Introduction – exponential families: Normal

distribution – Poisson distribution – Binomial distribution – gamma

distribution. Link functions and liner predictor link functions – linear

predictor. Deviance of model fitting residuals analy sis and assessment of

model fit.

Unit IV:

Time series (1): - Introduction – Properties of a univariate time series – stationary

random series main linear model of time series: introduction - backwards shift

operator, B and difference operator – the first order autoregressive model AR (1)

– the autoregressive model AR (p) – the first – order moving average. Model MA

(1) the moving average MA(q) the autoregressive moving average process ARMA

(p, q) 31modelling non stationary processes: the ARIMA model.

## Page 36

2. Finance and Financial Reporting – II

Unit I

Introduction to accounts the accounting framework -users sources of regulation

statutory requirements – directors report – accounting standards – contents of

annual report – auditor’s report accounting concepts – cost concepts – money

measurements concepts – business entity concept – realization concept –

accrual concept – dual aspect concept – materiality – prudence – going on

concept - consistency – bringing the concepts together.

The main accounts – the balance sheet – format – fixed assets – tangible as sets

and intangible assets – revaluation – current assets – liabilities – long term –

liabilities – current liabilities – provisions and charges –provisions for taxation

and dividends – pensions – contingent liability –capital – profit and loss account

– format – cost of sales – expenses – categories of profit – taxation – dividends

and retained profits – earnings per share – cash flow statement – format –

purpose of cash flow statement –notes to accounts

Unit II

Depreciation and reserves –introduction – purpose – methods – straight -line

methods - reducing balance method – capital and reserves – share capital and

share premium – revaluation reserve –profit and loss account.

Generating accounts – the trial balance – construction and preparation of

financia l statement – profit and loss account and balance sheet – awkward items

in the trial balance – depreciation – profit and loss reserve – stock - adjustment

in the accrual concept preparation of cash flow statement - limitations of

accounts – shortcoming of historical cost accounting – valuation of stock –

depreciation interest payments – consistency over time – limitations in the

interpretation of accounts – subjectivity appropriateness – comparison between

firms – some limitations of ratio analysis -accura cy of figures.

Unit III

Group accounts and insurance company accounts – introduction –

consolidated financial statements subsidiary companies – consolidated balance

sheet – goodwill on consolidation – minority interest associated companies –

consolidated balance sheet – good will on consolidation –minority interest

associated companies –interpretation of consolidated financial statements –

insurance companies introduction – estimation of liabilities and timing of

profit – profit and loss account – techni cal accounts non - technical accounts –

balance sheet –assets – liabilities – shareholders fund.

## Page 37

Unit IV

Interpretations of accounts – security of loan capital – introduction –measuring

risk associated with loan capital – loan capital – income cover and income

priority percentages – asset cover and asset priority percentages – asset gearing

– income gearing – shareholder analysis - earnings per share basic and diluted –

earnings and dividend ratios – price earnings ratio - dividend yield – dividend

cover – payout ratio - EBITDA - net asset value per share – other accounting ratios

– profitability ratios – return on capital employed – profit margin - liquidity ratios

– current ratio - quick ratio efficiency ratios – stock turnover ratio – debtors

turnover ratio – creditors turnover ratio.

## Page 38

3. Actuarial Risk Management – II

Units I

Introduction to financial products and customer needs ; - introduction – financial

products ( insurance contracts, pension schemes, investment schemes,

derivatives, reinsurances contracts ) bringing together customer needs and

financial products ( logical or emotional needs, current or future needs,

designing products to meet the need, core reading examples ) – pension schemes

( defined benefit pension schemes, defined contribution scheme, hybrid schemes)

Risk in benefit schemes : - risk and uncertainties ( risks to the beneficiary, risks

to the sponsor, risks to the state ) – benefit risks ( benefit risks in defined benefit

schemes, benefits risks in defined contribution schemes, benefit risks in both

defined benefit and defined contribution schemes) – contribution / premium

risks ( contribution /premium risks in a defined contribution scheme,

contribution /premium risks in a defined benefit scheme, contribution risks in

both defined benefit and defined contribution schemes) –investment risks

( income, c apital proceeds, reinvestment, default, tax and expenses, appreciation

of benefits by recipients, opportunity cost of the capital ) -overall security risks

in benefits schemes ( security , strength of the sponsor / provider promise )

Risks in insurance: categories of risk – financial risks (market risks, credit risks,

business risk) –non financial risks (operational risk, external risk, core reading

examples) risk classification (core reading examples)

Unit II

The risk management process - introduction the risk faced ( risks identification,

risks measurement, risk control, risk financing, risk monitoring ) adoption of

control measures ( introduction, reducing the total cost of a risk , reducing the

probability of catastrophic loss , ensuring survival while minimizing the cost of

risk ma nagement, core reading examples ) risk as an opportunity not a

constraint

Risk management tools – I : issues surrounding the management of risk –tools

that can be used to aid the management of risks – reinsur ance terminology -

reinsurance contracts ( facultative reinsurance , treaty reinsu rance) - types of

reinsurance ( proportional reinsurance, non - proportional reinsuran ce)

proportional reinsurance ( quota share, surplus, reinsurance premiums under

proportional arran gements ) non – proportional reinsurance (excess of loss

reinsurance, risk excess of loss, aggregate excess of loss, catastrophe excess of

loss, stop loss, use of non - proportional reinsurance) financial reinsurance -

reinsurance as a risk man agement tool ( the benefits of reinsurance, the cost

of reinsurance , cost vs. benefits, the effectiveness of reinsurance, core reading

examples)

Unit III

## Page 39

Risk management Tools 2: Introduction – diversification – underwriting ( what

is underwriting, under writing as a risk management tools, life insurance

underwriting , core reading examples) - alternative risk transfer ( discounted

covers, integrated risk covers, securitization , post loss funding, insurance

derivates, swaps, summary of art ) - manag ement control systems – managing

the risk associated with options and guarantees

Unit IV

Capital and capital management : - Introduction – introduction of capital ( types

of capital ( economic and regulatory ), the regulatory environment, modelling

capital requirements ) -capital needs ( individuals, companies , providers of

financial services products , banks, the state ) sources of capital ( proprietary

companies , mutual companies, sponsors of benefit schemes, the state) - capital

management tools ( re insurance, financial reinsurance, securitization,

subordinated debt, banking products, derivatives, equity capital, internal

sources of capital )

Insolvency and Closure: insurance companies – sponsored benefit schemes (level

of benefits, provision of bene fits)

4.Industry Project Work – II

Project work shall be completed by working outside the regular teaching hours

under the supervision of a teacher in the concerned department in a reputed

insurance company or industry/Research Institute. There should be an

internal assessment and external assessment for the project work. The

external evaluation of the Project work is followed by presentation of work

including dissertation and Viva -Voce.

5.Viva

This paper will consist of Viva exam based on al l the papers

during Semester VI.

## Page 40

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## Page 41

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## Page 42

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& Sons, 2006, Chapter 1, 5, 7, 9 &10.

Mathematics for Business Economics: By J. D. Gupta, P. K. Gupta and

Man Mohan, Tata Mc ‐ Graw Hill Publishing Co. Ltd., 1987, Chapters 9 to 11

& 16.

Quantitative Methods ‐Part‐I By S. Saha and S. Mukerji, New Central Book

Agency, 1996, Chapters 7 & 12.

Mathematical Basis of Life Insurance by S.P. Dixit, C.S. Modi and R.V.

Joshi, Insurance Institute of India, Chapters 2: units 2.6, 2.9, 2.20 & 2.21.

Securities Laws & Regulation of Financial Market: Intermediate Course

Paper 8, Institute of Company Secretaries of India, Chapter 11.

Investments by J.C. Francis & R.W. Tayl or, Schaum’s Outlines, Tata Mc ‐

Graw Hill Edition 2000, Chapters 2,4& section 25.1.

Indian Mutual Funds Handbook: By SundarShankaran, Vision Books,

2006, Sections 1.7,1.8.1,6.5 & Annexures 1.1to 1.3.

STATISTICS by Schaum Series.

Operations Research by Gupta and Kapoor

Operations Research by Schaum Series

Fundamentals of Statistics ‐ D. N. Elhance.

Statistical Methods ‐ S.G. Gupta (S. Chand & Co.

Statistics for Management ‐ Lovin R. Rubin D.S. (Prentice Hall of India)

Statistics ‐ Theory, Method & Applications D.S. Sancheti& V. K. Kapoor.

Modern Business Statistics ‐ (Revised} ‐B. Pearles& C. Sullivan –Prentice

Hall of India.

Business Mathematics & Statistics: B Aggarwal, Ane Book Pvt. Limited

Business Mathematics: D C Sancheti& V K Kapoor, Sultan Chand & Sons

## Page 43

Business Mathematics: A P Verma, Asian Books Pvt.: Limited.

Question Paper Pattern

(Theoretical Courses)

Maximum Marks: 100

Questions to be set: 06

Duration: 03 Hrs.

All Questions are Compulsory Carrying 15 Marks each.

Question Particular Marks

No

Q-1 Objective Questions 20 Marks

A) Sub Questions to be asked 12 and to be answered any 10

B) Sub Questions to be asked 12 and to be answered any 10

(*MCQ / True or False / Match the columns/Fill in the blanks)

Q-2 Full Length Question 15 Marks

OR

Q-2 Full Length Question 15 Marks

Q-3 Full Length Question 15 Marks

OR

Q-3 Full Length Question 15 Marks

Q-4 Full Length Question 15 Marks

OR

Q-4 Full Length Question 15 Marks

Q-5 Full Length Question 15 Marks

OR

Q-5 Full Length Question 15 Marks

Q-6 A) Theory questions 10 Marks

B) Theory questions 10 Marks

OR

Q-6 Short Notes (Any 4 out of 6) 20 Marks

Note:

Theory question of 15 marks may be divided into two sub questions of

7/8 and 10/5Marks.

## Page 44

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Shree L. R. Tiwari Degree College of Arts, Commerce and Science

Shree L. R. Tiwari Education Campus, Kanakia Park, Miraroad East 401107, Thane, Maharashtra.

Affiliated to University of Mumbai, College Code -1064

____________________________________________________________________________________________________________

Ref. No. SLRTDC/2020 -21/167 Date: 23th April 2021.

To,

The Assistant Registrar

Academic Authorities Unit

Room No 142, Fort Campu s,

Mumbai - 400032.

Ref: Your trailing mail dated 16th April 2021 & 9th April 2021.

Subject: Justification of B.Sc. Actuarial Science syllabus

Respected Sir,

It is with reference to the letter received from the Raj Bhavan at your office in regards to the justification for the

start of new courses at the affiliated colleges of University of Mumbai; we would like to submit our point wise

answer to the question raised regarding feasibility of starting the course of B.Sc. in Actuarial Science.

1. Necessity o f starting the said course -

We, at Shri Rahul Education Society’s Shree L. R. Tiwari Degree College of Arts, Commerce and Science,

Miraroad (East), had applied for B.Sc – Actuarial Science taking into consideration the need of the local

masses, as such professional degree course was not available in the nearby vicinity and it was very difficult

for the students to travel long distance to take admission to similar Couse. Our college received the

permission from Govt. of Maharashtra vide letter no. AFF2019/(134/19)MASHI -4 dated 16/06/2019 and

permission from the affiliation section of University of Mumbai vide letter no. AFF/ICD/2019 -20/755

dated 26/06/2019.

2. Whether UGC has recommended to start the said Course?

Our college has not applied to the UGC for the start of the course.

3. Whether all the courses have commenced from the academic year 2019 -20?

The college has not received the approval of the syllabus from the University for the Start of the course, so

our college has not started the course for the academic year 2019 -20. Again due to Covid -19, we were not

able to get the required students for the course for academic year 2020 -21. College intends to start the

course from the academic year 2021 -22 and request the university to approve the syllabus.

4. The courses started by the university are self -financed, whether adequate number of eligible

permane nt faculties is available?

The B.Sc – Actuarial Science course started by the university is self-financed. The college has adequate

number of eligible permanent faculties available to conduct the teaching and evaluation of the said course.

## Page 45

2 | P a g e

5. To give details regarding duration of the course and is it possible to compress the course?

The B.Sc – Actuarial Science course consist of six semesters covered in three academic years. The course

to be conducted will be as per the guidelines of the Universit y of Mumbai. As the course is drafted by the

UoM it is not possible to compress the said course.

6. The intake capacity of each course and number of admissions given in the current academic year

(2019 -20)?

The maximum intake capacity of B.Sc. Actuarial Sci ence Course as per University of Mumbai is 60 per

academic year.

No of Admission given in academic year 2019 -20 – 0

No of Admission given in academic year 2020 -21 – 0

7. Opportunities of Employability/Employment available after undertaking these courses.

The B.Sc. Actuarial Course is designed and aligned as per the industry requirement . The three academic

year of the course would make the students ready for the employability market. The learners would be

acquainted with the practical knowledge, which would help them gain the required skill for the job

opportunities. The B.Sc. Actuarial Science program is focused on undergraduate studies which incorporate

specific job roles along with general education. This would enable them to get job, suitable to those le vels

in the industry.

Thanking You

Yours Truly

Dr. Sanjay G. Mishra

Principal

## Page 46

•

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CoverPage

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ItemNo.6·L0

UNIVERSITY OFMUMBAI

¥ ::44. j '4 _.

Syllabus fOfAl!PfOVal•

Sr.Heading ParticularsNo.

1TitleoftheB.Sc.i'1Actuarial ScienceCourse,z.-

2Eligibility for 12thstandard passedwithoverall60%

Admission~~1-marksand8~l%marksinMathematics ,.

3Passing40%MarksR\~36/

4Ordinances /

Regulations (ifany)

5No.ofYearsIThreeyearsIsixsemestersSemesters 36,1:;1

.

6Level Undergraduate

7PatternSemester

8StatusNew

9Tobeimplemented FromAcademl Year

fromAcademic Year2021-2022

•

BOSChairperson DeanFacutyofScience&Tech.