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 >,
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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.·
•
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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,
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21. The Secretary MUASA
for information.
Page 5
-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.
Page 8
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
Page 9
– 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 .
Page 12
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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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.
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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.