TYBCom Actuarial Studies_1 Syllabus Mumbai University by munotes
Page 2
Copy for information and necessary action : -
1. The Deputy Registrar, College Affiliations & Development Department
(CAD),
2. College Teachers Approval Unit (CTA),
3. The Deputy Registrar, (Admissions, Enrolment, Eligibility and
Migration Department (AEM),
4. The Deputy Registrar, Academic Appointments & Quality Assurance
(AAQA)
5. The Deputy Registrar, Research Administration & Promotion Cell
(RAPC),
6. The Deputy Registrar, Executive Authorities Section (EA)
He is requested to treat this as action taken report on the concerned
resolution adopted by the Academic Council referred to the above
circular.
7. The Deputy Registrar, PRO, Fort, (Publication Section),
8. The Deputy Registrar, Special Cell,
9. The Deputy Registrar, Fort Administration Department
(FAD) Record Section,
10. The Deputy Registrar, Vidyanagari Administration Department
(VAD),
Copy for information : -
1. The Director, Dept. of Information and Communication Technology
(DICT), Vidyanagari,
He is requested to upload the Circular University Website
2. The Director of Department of Student Development (DSD) ,
3. The Director, Institute of Distance and Open Learning (IDOL Admin),
Vidyanagari,
4. All Deputy Registrar, Examination House,
5. The Deputy Registrars, Finance & Accounts Section,
6. The Assistant Registrar, Administrative sub -Campus Thane,
7. The Assistant Registrar, School of Engg. & Applied Sciences, Kalyan,
8. The Assistant Registrar, Ratnagiri sub -centre, Ratnagiri,
9. P.A to Hon’ble Vice -Chancellor,
10. P.A to Pro -Vice-Chancellor,
11. P.A to Registrar,
12. P.A to All Deans of all Faculties,
13. P.A to Finance & Account Officers, (F & A.O),
14. P.A to Director, Board of Examinations and Evaluation,
15. P.A to Director, Innovation, Incubation and Linkages,
16. P.A to Director, Department of Li felong Learning and Extension (D LLE),
17. The Receptionist,
18. The Telephone Operator,
Copy with compliments for information to : -
19. The Secretary, MUASA
20. The Secretary, BUCTU.
Page 3
AC – 06/04/2023
Item No. – 7.7 (R)
University of Mumbai
Revised Syllabus for
T.Y.B.Com. (Actuarial Studies)
(Sem. V & VI)
(Choice Based Credit System)
(With effect from the academic year 202 3-24)
Page 4
Page 5
*List of Elective Courses
for Semester V (Any Four) *List of Elective Courses
for Semester VI (Any Four)
1 Advanced Financial Mathematics paper I 1 Advanced Financial Mathematics Paper II
2 Investment Analysis -Paper I 2 Investment Analysis -Paper II
3 Behavioural Finanace(OR Functional
language studies Paper I
( Hindi, Marathi or Sanskrit)
We suggest language option if it does not
affect the norms) 3 International insurance contracts (OR
Functional language studies Paper II(Any
Foreign Language other than English)
We suggest language option if it does not
affect the norms)
4 Insurance Claim negotiation and
settlement - Paper I 4 Insurance Claim negotiation and
settlement - Paper II
5 Life Contingencies Paper I 5 Life Contingencies Paper II
6 Mathematics of Demography 6 Enterprise Risk Management
Note: Course/ Subject selected in Semester V will continue in Semester VI
T.Y.B.Com. (Actuarial Studies)
(To be implemented from Academic Year - 2023 -2024 )
No. of
Courses Semester V Credits No. of
Courses Semester VI Credit
s
1 Elective Courses (EC) 1 Elective Courses (EC)
1,2,3 &
4 *Any four courses from the
following list of the courses 12 1,2,3 &
4 *Any four courses from the
following list of the courses 12
2 Core Courses (CC) 2 Core Courses (CC)
5 Customer Relationship
Management –Paper I 04 5 Customer Relationship
Management –Paper II 04
3 *Project Work 3 *Project Work
6 Project Work I 04 6 Project Work II 04
Total Credits 20 Total Credits 20
Note: Project work is considered as a special course involving application of knowledge in
solving/analyzing/exploring a real life situation/ difficult problem. Project work would be of 03 credits.
A project work may be undertaken in any area of Elective Courses/ study area
Project work may be undertaken by the students by choosing a specific area of insurance like
General, life, vehicle, fire or a general study relating to problems in settlement. Valuation of
business or build a model for any of the chosen area of . It may include drawing an insurance
contract for crop insurance such that the insurance benefit may reach the bottom of the pyramid.
Suggestion for functional language is given because almost all of the excluded
population in the insurance sector needs to be addressed with the language they
are familiar with. Job opportunities will increase with this endeavour.
Page 6
Syllabus of courses of T.Y.B.Com (Actuarial Studies ) Programme
With effect from the Academic Year 2023 -24
Semester V
Discipline Related Elective (DRE) Courses
1. Advanced Financial Mathematics –Paper I
Objectives
1. In-depth understanding of interest rates, duration of assets and liabilities, studying of
actuarial models.
2. Understanding and application of distributions used for calculating losses and risk
models.
Modules at a Glance
Advanced Financial Mathematics - I
Sr. No. Modules No. of Lectures
1 Interest rate yield curves 15
2 Principles of actuarial modelling. 15
3 Fundamentals of frequency and severity models 15
4 Fundamentals of aggregate models 15
Total no. of Lectures: 60
Total number of lectures to be engaged 60 Lectures plus 30 Notional Lectures= 90 Lectures
Page 7
Sr.
No. Modules
1 Interest Rate Yield Curves
i. Demonstrate a clear understanding of interest rates underlying a bond yield curve.
ii. Spot rate from ZCYC, b) Forward rate, c) Link between the two, d) Instantaneous forward
rate, e) Link between a, b and d, f) Par yield, g) Yield to Maturity, h) Gross and Net
Redemption Yield (arising from the tax implication from the differential treatment of
capital gain and interest).
iii. Calculate duration of liabilities and assets using first principles.
iv. Apply differentiation techniques to calculate modified duration and convexity of a bond
portfolio.
v. Explain the principles underlying the immunization of net assets and liability driven
investment of a pension fund.
vi. Describe the properties of various stochastic models of the term structure of interest rates.
vii. Explain the limitations of the models described above and describe attempts to address
them.
2 Principles of Actuarial Modelling
i. Describe why and how models are used including, in general terms, the use of models
for pricing, reserving, and capital modelling.
ii. Explain the benefits and limitations of modelling.
iii. Explain the difference between a stochastic and a deterministic model, and identify the
advantages/disadvantages of each.
iv. Describe the characteristics of and explain the use, of scenario -based models.
v. Describe, in general terms, how to decide whether a model is suitable for any particular
application.
vi. Explain the difference between the short -run and long-run properties of a model, and
how this may be relevant in deciding whether a model is suitable for any particular
application.
vii. Describe, in general terms, how to analyze the potential output from a model, and
explain why this is relevan t to the choice of model.
viii. Describe the process of sensitivity testing of assumptions in a life insurance reserving
model and explain why this forms an important part of the modelling process.
ix. Explain the sensitivity testing of assumptions in a defined benefit pensions model from
a review Ind AS 19 disclosures from published financial statements of companies.
x. Produce an audit trail enabling detailed checking and high-level scrutiny of a model.
xi. Explain the factors that must be considered when communicating the results following
the application of a model and produce appropriate documentation .
Page 8
3 Fundamentals of Frequency and Severity Models
i. Explain the characteristics of distributions suitable for modelling frequency of losses, for
example: Poisson, mixed Poisson, binomial, negative binomial, and geometric
distributions.
ii. Identify applications for which each distribution may be used; explain the reasons why;
and apply the distribution to the application, given the parameters.
iii. Recognize classes of distributions, including extreme value distributions, suitable for
modelling the distribution of severity of loss and their relationships.
iv. Apply the following techniques for creating new distributions: multiplication by a
constant, raising to a power, exponentiation, mixing.
v. Calculate various measures of tail weight and interpret the results to compare the tail
weights.
4 Fundamentals of Aggregate Models
i. Compute relevant moments, probabilities and other distributional quantities for collective
risk models.
ii. Compute aggregate claims distributions and use them to calculate loss probabilities.
iii. Evaluate the effect of coverage modifications (deductibles, limits and coinsurance) and
inflation on aggregate models.
References:
1. ActEd Study Material Subject CM2 2019 Actuarial Education Company, acted@bpp.com
2. Actuarial Mathematics, Bowers, L. Newton, et. al., ISBN 0938959468, Society of Actuaries USA
3. An introduction to the mathematics of finance by McCutcheon, J. J., Scott, W. F., Heinemann,
1986. ISBN: 043491228X
4. Mathematics of Finance 2nd Edition Schaum’s Outline Series Peter Zima, Robert Brows Tata
McGraw -Hill Publishing Company Ltd.
5. Derivatives Markets (3rd edition), by Robert McDonald, Pearson India.
6. Options, Futures and Other Derivatives, by John Hull and S. Basu, 9789352866595, Pearson
Education.
7. John Freund’s Mathematical Statistics with Applications by Miller, 131427067, Prentice Hall.
8. The Term Structure of Interest Rates, by Robert A. Jarrow, Annual Reviews 2009.
9. Elementary Statistics by Mario Triola 9780321369185, Prentice Hall.
10. Descriptive Statistics by R. J. Shah, Sheth Publishers.
11. Statistical Methods by R. J. Shah, Sheth Publishers.
Page 9
Semester V
Discipline Specific Elective (DSE) Courses
2. Investment Analysis -Paper I
Objectives
1. Understanding of different asset classes, economic influences on assets, relationship
between risk and return.
2. Understanding investment policy for Indian savings, employee benefit plans,
insurance companies.
3. Analysing measures of investment risk and asset valuation.
Modules at a Glance
Investment Analysis - Paper I
Sr. No. Modules No. of Lectures
1 Investments and markets 15
2 Investment policy in long-term savings and
employee benefits 15
3 Behavioural finance for investment and measures of
investment risk 15
4 Equity and bond valuation 15
Total No. of Lectures: 60
Total number of lectures to be engaged 60 Lectures plus 30 Notional Lectures= 90 Lectures
Page 10
Sr. No. Modules
1 Investments and Markets
i. Describe the characteristics of the main investment assets and of the markets in
such assets
ii. Describe the characteristics of the main derivative investments (including
forwards, futures, options and swaps) and of the markets in such investments
iii. Explain the principal economic influences on investment market price levels and
total returns.
iv. Describe and explain the theoretical and historical relationships between the total
returns and the components of total returns on the main asset classes and key
economic variables.
2 Investment Policy in Long -Term Savings and Employee Benefits
i. Regulation and investment policy in India: banks, insurers, approved provident
funds, approved superannuation (pension) funds, approved gratuity funds, mutual
fund schemes, national pension scheme, overseas investment
ii. Investment environment: Anti -money laundering, ESG (Environmental, Social
and Governance), taxation of dividend and capital gains, special purpose vehicles
relevant in actuarial work e.g., tax -approved superannuation funds, provident
funds, gratuity funds.
iii. Assess the investment avenues for life insurance companies viz. participating
fund, non-participating fund, pension plans, unit-linked plans, controlled fund.
iv. Assess the investment avenues for general insurance companies.
v. Assess the investment avenues for PFRDA registered pension funds.
vi. Explain the investment risk -seeking avenues of the special purpose vehicles in
actuarial work e.g., tax -approved superannuation funds, provident funds, gratuity
funds.
3 Behavioural Finance for Investment and Measures of Investment Risk
1. Testing behavioural finance theories in investment decisions
i. The herd instinct
ii. Anchoring and adjustment
iii. Self-serving bias
iv. Loss aversion
v. Confirmation bias
vi. Availability bias
vii. Familiarity bias.
2. Explain and analyse the various measures of investment risk.
i. Variance of return
Page 11
ii. Downside semi -variance of return
iii. Shortfall probabilities
iv. Value at Risk (VaR)
v. Tail VaR (also referred to as Expected Shortfall).
4 Equity and Bond Valuation
i. Use the Capital Asset Pricing Model to calculate the required return on a
particular asset, given appropriate inputs, and hence calculate the value of the
asset.
ii. Use a multifactor model to calculate the required return on a particular asset,
given appropriate inputs, and hence calculate the value of the asset.
iii. Explain the concepts of: efficient market, complete market, no-arbitrage, hedging.
iv. Apply the Efficient Markets Hypothesis to the Indian equity markets: Strong -,
semi -strong and weak -form.
v. Evaluate the features of modern bond price models.
vi. Calculate the risks of a government bond portfolio viz. modified duration.
vii. Explain how the risks of a bond vary with the bond’s term, coupon and yield to
maturity.
viii. Apply techniques of interest rate risk measurement to hedging and mismatch
strategies.
References :
1. ActEd Study Material Subject CM1 2019 Actuarial Education Company, acted@bpp.com
2. ActEd Study Material Subject CM2 2019 Actuarial Education Company, acted@bpp.com
3. Derivatives Markets (3rd edition), Robert McDonald, Pearson India
4. Options, Futures and Other Derivatives, by John Hull and S. Basu, 9789352866595, Pearson
Education.
5. An introduction to the mathematics of finance by McCutcheon, J. J., Scott, W. F.
Heinemann, 1986. ISBN: 043491228X.
6. Behavioural Finance, by Prasanna Chandra, ISBN 9389811287, McGraw Hill India.
7. The Behavioural Investor by Daniel Crosby, ISBN 9388423623, Jaico Publishers.
8. Pension Fund ESG Risk Disclosures: Developing Global Practice, International Actuarial
Association 2020.
9. The Term Structure of Interest Rates, by Robert A. Jarrow, Annual Reviews 2009.
Page 12
Semester V
Discipline Specific Elective (DSE) Courses
3. Business Communication in German– I
Objectives:
1. To prepare young adults for German business communication
2. To prepare young adults to deal with German clients in business situations
Course Outcome:
Students will
1. learn vocabulary and basic grammar for business situations
2. learn about portraits of German companies
3. be able to understand basic business conversations
4. be able to write business emails in German
Modules at a Glance
Business Communication in German– I
Sr. No. Module No. of Lectures
1 Induction of new employee 20
2 Establishment of a new office
10
3 Official and personal work time 10
4 Report Writing 10
Total No. of Lectures:
50
Total number of lectures to be engaged 50 Lectures plus 40 Notional Lectures= 90 Lectures
Page 13
Third Year B.Com
Semester – V
Business Communication in German– I
Sr. No. Units
Unit I Induction of new employee
Business Etiquettes: conversations with colleagues and clients
i. Learn about Greetings and salutations in Germany and German
speaking countries.
ii. Introducing oneself and others
iii. Learning to spell name (semantics )
iv. name a profession
v. visiting cards format
vi. personal data and fill a personal data form
vii. To understand private emails about new job and colleague
viii. To close conversations
ix. Contributions by German mathematical scientists: Carl Friedrich
Gauss , Wilhelm Leibniz and Albert Einstein .
Unit II Establishment of a new office
i. To understand articles of a noun ( Grammer )
ii. To name office furniture and colors
iii. To fill basic details in graphics of quality analysis
iv. To select and order office stationery
v. To frame private emails and messages on social media
Unit III Official and unofficial meetings
Differences between official and unofficial clock hour
To understand how to make official and unofficial appointments
Vocabulary: Weekdays, months, seasons
Grammar: Negative with nicht, preposition of time, conjunctions aber
denn und oder
Unit IV Report Writing
i. To understand an email regarding industrial visit
ii. To understand rules and regulations of an industrial visit
iii. To fill in an organization chart
iv. To talk about one’s firm
v. To describe about an industrial visit in a short email
Page 14
References:
1. DaF im Unternehmen A1 Kurs – und Übungsbuch, Klett Verlag
Teaching pedagogy:
1. Guided listening and reading compression at individual level
2. Practicing oral skills in pairs
3. Discussions in group
Page 15
Semester V
Discipline Specific Elective (DSE) Courses
4. Life Contingencies -Paper I
Objectives
1. Studying mortality, Markov processes and survival models.
2. Using Microsoft Excel for modelling functions relevant to mortality and pension valuation.
Modules at a Glance
Life Contingencies paper I
Sr. No. Modules No. of Lectures
1 Mortality studies 15
2 Stochastic processes 15
3 Survival models 15
4 Spreadsheet skills 15
Total No. of Lectures: 60
Total number of lectures to be engaged 60 Lectures plus 30 Notional Lectures= 90 Lectures
Page 16
Sr. No. Modules
1 Mortality Studies
i. Various mortality functions. Probabilities of living and dying. The force of
mortality. Estimation of µ x from the mortality table.
ii. Crude death rate, Age specific death rate and Standardized death rate.
iii. Crude birth rate, General fertility rate, Age specific fertility rate & Total
fertility rate. Gross & Net Reproduction rates.
iv. Explain the principles of graduation for the construction of mortality tables
v. Apply mortality experience of a pensioners’ cohort to proportionately
modify standard mortality rates to be used in a pension fund valuation
vi. Evaluate the standard mortality table as a population model.
vii. Calculate curtate and complete expectation of a life at various ages.
2 Stochastic Processes
i. Apply multiple state Markov chain and Markov process models.
ii. Derive maximum likelihood estimators for the transition intensities in models of
transfers between states with piecewise constant transition intensities.
iii. Apply the Cox regression model to appropriate hazard situations.
iv. Understand time homogenous and time inhomogenous processes.
3 Survival Models
i. Explain the concepts of survival models.
ii. Calculate and interpret standard probability functions including survival and
mortality probabilities, force of mortality, and complete and curtate expectation of
life.
iii. For models dealing with multiple lives and/or multiple states, explain the random
variables associated with the model; calculate and interpret marginal and
conditional probabilities, and moments.
iv. Describe the principal forms of heterogeneity within a population and the ways in
which selection can occur.
v. Estimate empirical survival and loss distributions, e.g., using:
a. Kaplan -Meier estimator, including approximations for large data sets
b. Nelson Aalen estimator
vi. Estimate transition intensities depending on age, exactly or using large sample
approximations.
4 Microsoft Excel
i. Logical, financial and statistical functions relevant to mortality tables and
life expectancy at various ages.
ii. Logical, financial and statistical functions relevant to life insurance contract’s
pricing
iii. Logical, financial and statistical functions relevant to a pension fund valuation
iv. Logical, financial and statistical functions relevant to an ESOP valuation
Page 17
References:
1. Actuarial Mathematics, Bowers, L. Newton, et. al. 2nd ISBN 0938959468, Society of Actuaries
2. Survival models and their estimation 1988 Actex Publications
3. Mathematics of Finance 2nd Edition Schaum’s Outline Series Peter Zima, Robert Brows
Tata McGraw -Hill Publishing Company Ltd.
4. Mortality Studies, WF Scott 2000 available at
https://www .coursehero.com/file/8346708 /Mortality-Studies-WF-Scott/
5. Life Contingencies by Alistair Neill, Institute of Actuaries Textb ook, ISBN 978-0750609173,
published by Butterworth -Heinemann Ltd
6. Modelling, analysis, design, and control of stochastic systems, by Kulkarni, Vidyadhar G. Springer
7. Life Contingencies by E. P. Spurgeon ISBN 1107648092, Cambridge University Press.
8. Learn Excel 2019 Essential Skills with the Smart Method, Mike Smart. ISBN 978-
1909253346
9. Excel formulas and functions, M L Humphrey ISBN 978-1637440322
Page 18
Semester V
Core Courses (CC)
5. Customer Relationship Management Paper I
Objectives:
1. To help the Learners to understand the concepts of CRM and e-CRM.
2. To know the CRM practices in service sectors.
3. To understand the values of customer.
Course Outcome:
After completion of this course, the student will be able to
• Apply the concept of CRM, the benefits delivered by CRM, the contex ts in which
it is used, the technologies that are deployed and how it can be implemented.
• Implement how CRM practices and technologies enhance the achievement of
marketing, sales and service objectives throughout the customer life-cycle stages of
customer acquisition, retention and development whilst simultaneously supporting
broader organizational goals.
• Implement various technological tools for data mining and also successful
implementation of CRM in the Organizations
• design customer relationship management strategies by understanding customers’
preferences for the long-term sustainability of the Organizations.
Modules at a Glance
Sr.No. Modules No. of Lectures
1 Introduction of CRM and its Fundamentals 20
2 Customer Acquisition 20
3 Customer Retention 20
4 CRM Mechanics 20
Total 80
Total number of lectures to be engaged 80 Lectures plus 40 Notional Lectures= 120 Lectures
Page 19
Semester - V
Customer Relationship Management Paper -I
Sr.No. Modules/Units
Unit I Introduction of CRM and its Fundamentals
i. Concept and Context of Relationship Management: Internal and External
relationship management, Need and Importance of relation with customers
and other stakeholders
ii. Approach towards Marketing: A Paradigm Shift - Transition from Product
focus to Customer focus, Transactional Vs Relationship Marketing,
Linkage between customer satisfaction -Customer Loyalty and business
performance, Relationship Management Theories, Building Brands
through Relationship Marketing, Service Level Agreements.
iii. Defining CRM, Levels of CRM, CRM as a strategic marketing tool, CRM
significance to the stakeholders, Strategic CRM, Operational CRM,
Analytical CRM, Collaborative CRM, and Models of CRM.
Unit II Customer Acquisition
i. Acquisition of new customer, understanding customer value, sources of
customer value, Values from products, services, people, physical evidence,
customer communication, Channels etc., customer value estimates, KPI of
a customer acquisition program, Customer Touch Points, Customer Equity.
ii. Conceptual frame work of Customer Relationship and its Management.
Evaluation customer Relationship Marketing, Types of CRM – Win Back,
Prospecting, Loyalty, Cross Sell and Up Sell, Sign ificance and Importance
of CRM in Modern Business Environment.
iii. Concept of Loyalty at CRM: Definition of Loyalty, Customer Loyalty and
Customer decency, Process of Developing Customer Loyalty. Status of
CRM in India.
Unit III Customer Retention
i. Concept of Customer retention. Role of CRM in Customer in retention,
Economics of customer retention, Managing customer retention or value
retention/ Strategies of customer retention,
ii. KPI of customer retention program, Terminating customer relationship and
its strategies, Concept and Significance of Customer Loyalty.
iii. Customer Life Cycle and Customer Life Time Value (CLTV), Recency,
Frequency and Monetary Value (RFM) Analysis, Customer Loyalty
Page 20
Ladder, Impact Of Customer Defections, Types of Defectors, Strategies to
reduce customer defections, CRM Framework - Switching.
Unit IV CRM Mechanics
i. Maintaining customer database, Desirable database attributes, Data marts,
Data warehousing, Data integration, Data mining and Privacy issues.
ii. Customer Portfolio Management -Concept and basic disciplines, Market
segmentation -sales forecasting and CPM, CPM in B2B, Seven core
customers’ management strategies.
iii. CRM and Customer Experience Management: Concept of Customer
experience, experiential marketing strategies and Tactics, Customer
experience and Role of CRM.
RECOMMENDED BOOK
Jagdish N Sheth, Parvatiyar Atul, G Shainesh, Customer Relationship Management:
Emerging Concepts, Tools and Applications, 1st Edition, Tata McGraw Hill, June
2008
REFERENCE BOOKS
Judith W .Kincaid , Customer Relationship Management Getting it Right, Pearson
Education
H.Peeru Mohamed , A Sagadevan, Custmer Relationship Management, A Step by Step
Approach, Vikas Publishing House
Customer Centricity –Focus on right customer for strategic advantage, by Peter Fader,
Wharton Digital Press, 2012
Page 21
Semester V
6. Project Work I
Objectives
1. Understanding the process of doing research is conducted from introduction to conclusion.
2. Learning about research methodology, literature review, data analysis and project appraisal.
Modules at a Glance
Project Work I
Sr. No. Modules No. of Lectures
1 Introduction to research paper writing and
Literature Review 15
2 Research Methodology and data analysis 15
3 Review papers 15
4 Project report and Presentation 15
Total No. of Lectures: 60
Total number of lectures to be engaged 60 plus hours in Library, Field visit and Research
Work = 120 Lectures
Page 22
Sr. No. Modules
1 Introduction to Research Paper Writing and Literature Review
Introduction - In this chapter Selection and relevance of the problem, historical
background of the problem, brief profile of the study area, definition/s of related
aspects, characteristics, different concepts pertaining to the problem etc can be
incorporated by the learner.
2 Research Methodology
i. A student is expected to generate independent knowledge, ideas, and
dimensions as well as distil the existing theory from the research
papers listed below.
3 Review Papers
Literature Review - This chapter will provide information about studies done on
the respective issue. This would specify how the study undertaken is relevant
and contribute for value addition in information/ knowledge/ application of
study area which ultimately helps the learner to undertake further study on same
issue.
4 Report and Presentation
Students are expected to draft two reports based on the three research paper options as
provided below.
Viva will be conducted on the day of presentations.
Research paper review
At the end of the course, students should write a 750 words paper review on any two of the
following three research papers :
1. Assessing the enabling environment for disaster risks financing – a country diagnostic toolkit,
Asian Development Bank, 2020.
https:// www.think -asia.org/bitstream/handle/11540/12131/disaster -risk-
financing -country - diagnostics -toolkit.pdf?sequence=1
a. An appreciation of the principles of disaster risks financing,
b. The role of various types of insurance for disaster risks financing,
c. A country’s macro - and meso -level interventions to finance disaster risks,
d. Tools to assess a country’s macro - or public finance -readiness for disaster risk,
e. Coordinates of the tool to assess a country’s meso - or insurance industry -readiness for
disaster risks: Government Policy, Economic Conditions & Support Functions, Product
Page 23
Availability & Affordability, Credibility of Insurance & Capital market stakeholders, Social
Protection Policy, and Unlicensed & Informal Players.
2. Teaching ethics to actuaries, AF Marais, Actuarial Society of South Africa (2015).
https://actuarialsociety.org.za/convention/convention2015/wp -content/uploads/2015/ 10/2015 -
Marais.pdf
a. Arguments for ethics education especially in the actuarial profession,
b. An appreciation of the ‘value’ proposition within normative skills,
c. A comparison of ethics education embodied in the medical and accounting professions,
d. Sequential integration of ethics into technical subjects,
e. Ethical dimensions: Cognitive competence, behavioural competence, managerial
competence.
3. A Mathematician’s Apology, G H Hardy, 1940.
https://www .math.ualberta.ca/mss/misc/A%20Mathematician%27s%20Apology.pdf
a. Mathematics as an art and beauty as the first test of mathematics,
b. A commentary on the great mathematicians’ contributions,
c. An appreciation of the difference between pure and applied areas,
d. The principles underlying elegant, timeless theorems viz. Euclid’s “Infinity of primes”,
Fermat’s “Two squares theorem on primes”, Pythagoras’ proof of “Irrationality of √2.”
e. Skills that are relevant and irrelevant to pure mathematicians.
Page 24
Syllabus of courses of T.Y.B.Com in Actuarial Studies Programme
With effect from the Academic Year 2019 -20
Semester VI
Discipline Specific Elective (DSE) Courses
1. Advanced Financial Mathematics Paper II
Objectives
1. Capital requirement, capital modelling and time series.
2. Valuation and Pricing of options using different models like Black -Scholes model,
binomial model. Learning in detail about credit risk .
Modules at a Glance
Advanced Financial Mathematics II
Sr. No. Modules No. of Lectures
1 Capital and economic modelling 15
2 Option theory -1 15
3 Option theory -2 15
4 Credit risk models 15
Total No. of Lectures: 60
Total number of lectures to be engaged 60 Lectures plus 30 hours in Notional Lectures = 90 Lectures
Page 25
Sr. No. Modules
1 Capital and Economic Modelling
i. Explain why financial institutions need capital and describe different
capital measures, including regulatory capital and economic capital. (B2)
ii. Describe the process of capital modelling
iii. Describe different methods of risk aggregation and explain their relative
advantages and disadvantages.
iv. Describe and apply the main concepts underlying the analysis of time
series models.
2 Option Theory -1
i. Option pricing and valuations.
ii. State what is meant by arbitrage and a complete market.
iii. Outline the factors that affect option prices.
iv. Show how to value a forward contract.
v. Develop upper and lower bounds for European and American call and put
options.
vi. Explain what is meant by put-call parity.
vii. Show how to use binomial trees and lattices in valuing options and solve
simple examples.
viii. Derive the risk-neutral pricing measure for a binomial lattice and describe
the risk-neutral pricing approach to the pricing of equity options.
ix. Explain the difference between the real-world measure and the risk-neutral
measure.
Explain why the risk-neutral pricing approach is seen as a computational
tool (rather than a realistic representation of price dynamics in the real
world).
x. State the alternative names for the risk -neutral and state -price deflator
approaches to pricing.
3 Option Theory -2
i. Demonstrate an understanding of the Black –Scholes derivative -pricing model.
ii. Explain what is meant by risk -neutral pricing and the equivalent martingale
measure.
iii. Derive the Black –Scholes partial differential equation both in its basic and
Garman –Kohlhagen forms.
iv. Demonstrate how to price and hedge a simple derivative contract using the
martingale approach.
v. Show how to use the Black –Scholes model in valuing options and solve simple
examples.
vi. Discuss the validity of the assumptions underlying the Black –Scholes model.
vii. Describe and apply in simple models, including the binomial model and the
Black –Scholes model, the approach to pricing using deflators and demonstrate its
equivalence to the risk-neutral pricing approach.
viii. Demonstrate an awareness of the commonly used option structures.
Page 26
4 Credit Risk Models
i. Explain the various approaches to bond valuation e.g., statistical factor -based,
intensity -based (e.g., generator matrix), and capital -structure based (e.g.,
Merton model).
ii. Evaluate the value of a bond using the structure based and intensity models.
iii. Examine the transformation of transition intensity to probability of a bond’s
default and thereby on value.
iv. Appreciate a bond’s rating to its default transition intensity and probability.
References :
1. ActEd Study Material Subject CM1 2019 Actuarial Education Company, acted@bpp.com
2. ActEd Study Material Subject CM2 2019 Actuarial Education Company, acted@bpp.com
3. Derivatives Markets (3rd edition), Robert McDonald, Pearson India
4. Options, Futures and Other Derivatives, by John Hull and S. Basu, 9789352866595, Pearson
Education.
5. An introduction to the mathematics of finance by McCutcheon, J. J., Scott, W. F., Heinemann,
1986. ISBN: 043491228X.
6. Pension Fund ESG Risk Disclosures: Developing Global Practice, International Actuarial
Association 2020.
7. The Term Structure of Interest Rates, by Robert A. Jarrow, Annual Reviews 2009.
Page 27
Semester VI
Discipline Specific Elective (DSE) Courses
2.Investment Analysis Paper II
Objectives
1. Understanding asset Liability modelling, risk budgeting, portfolio management,
mean -variance portfolio theory.
2. Learning about investment disclosure, financial accounting, and unitisation.
Modules at a Glance
Investment Analysis Paper II
Sr. No. Modules No. of Lectures
1 Investment strategy and performance measurement 15
2 Investment accounting and disclosures 15
3 Portfolio management 15
4 Unitisation 15
Total No. of Lectures: 60
Total number of lectures to be engaged 60 Lectures plus 30 Notional Lectures= 90 Lectures
Page 28
Sr. No. Modules
1 Investment Strategy and Performance Measurement
i. Explain how asset/liability modelling can be used to develop an appropriate
investment strategy
ii. Explain methods of quantifying the risk of investing in different classes and
sub-classes of investment
iii. Explain the use of a risk budget for controlling risks in a portfolio
iv. Analyse the performance of an investment portfolio relative to a benchmark
v. The greater decision between asset allocation and stock selection especially
in efficient markets
vi. Risk decomposition between diversifiable and non-diversifiable components
vii. Adjusted optimization techniques for risk-adjusted returns.
2 Investment Accounting and Disclosures
i. Disclosures in India: Fact sheets (MF, life insurers), under IFRS -adapted
accounting standards for proprietary assets, employee benefit fund assets.
ii. Examine the mapping of disclosures to appropriate regulator guidance.
iii. Disclosure trends: NGFM (Network for Greening the Financial System), TCFD
(Task force on Climate related Financial Disclosures)
iv. Assess the use of valuation models for accounting of equity, debt, property,
ESOP, etc.
v. Assess the accounting for financial instruments e.g., Ind AS 109 (financial
investments’ measurement and recognition on Balance Sheet),
vi. Accounting under Ind AS 102 (share based paymen ts measurement and
recognition for accounting purposes)
3 Portfolio Management
i. Explain the principles and objectives of investment management and analyse the
investment needs of an institutional or individual investor
ii. Describe methods for the valuation of asset portfolios and explain their
appropriateness in different situations
iii. Explain how to use mean -variance portfolio theory to calculate an optimum
portfolio and describe the limitations of this approach
iv. Use mean -variance portfolio theory to calculate the expected return and risk of a
portfolio of many risky assets, given appropriate inputs
v. Explain asset pricing models for modelling the required rate of returns (e.g.,
Capital Asset Pricing Model) and valuation of an equity share (e.g., dividend
growth model).
vi. Explain the properties of single and multifactor models of asset returns.
Page 29
vii. Explain the assumptions of mean -variance portfolio theory and its principal
results
4 Unitisation
i. Explain the basic techniques of unitization e.g., in mutual funds/ unit trusts and
life insurance
ii. Appreciate the benefits of unitization on transparency, monitoring and valuation
iii. Evaluate the benefits and costs of unitization of financial assets
iv. Examine the effect of unitization on secondary financial transactions e.g.,
duration measurement of bond funds, pledge of equities, bonds, mutual funds,
ETF.
References :
1. ActEd Study Material Subject CM1 2019 Actuarial Education Company, acted@bpp.com
2. ActEd Study Material Subject CM2 2019 Actuarial Education Company, acted@bpp.com
3. Derivatives Markets (3rd edition), Robert McDonald, Pearson India
4. Options, Futures and Other Derivatives, by John Hull and S. Basu, 9789352866595, Pearson
Education.
5. An introduction to the mathematics of finance by McCutcheon, J. J., Scott, W. F.
6. Heinemann, 1986. ISBN: 043491228X.
7. Behavioural Finance, by Prasanna Chandra, ISBN 9389811287, McGraw Hill India.
8. The Behavioural Investor by Daniel Crosby, ISBN 9388423623, Jaico Publishers.
9. Pension Fund ESG Risk Disclosures: Developing Global Practice, International Actuarial
Association 2020.
10. The Term Structure of Interest Rates, by Robert A. Jarrow, Annual Reviews 2009.
Page 30
Semester VI
Discipline Specific Elective (DSE) Courses
3. Business Communication in German– II
Objectives:
1. To prepare young adults for German business communication
2. To prepare young adults to deal with German clients in business situations
Course Outcome:
Students will
1. learn vocabulary and basic grammar for business situations
2. learn about portraits of German companies
3. be able to understand basic business conversations
4. be able to write business emails
5. be able to communicate with their business clients
Modules at a Glance
Sr. No. Module No. of Lectures
1 Business over lunch and visit to a client office 15
2 Celebration of milestones in a German company
15
3 Trainee: Experience in different departments 15
4 Organisational Visit and Report 15
Total 60
Total number of lectures to be engaged 60 Lectures plus 30 Notional Lectures= 90 Lectures
Page 31
T. Y. B. Com
Semester – VI
German Business Communication Paper – II
Sr. No. Units
Unit I Business meetings ( outside office )
i. Planning a lunch discussion
ii. understand and initiate a small talk on weather, family and
hobbies
iii. understand a menu card
iv. select and ordering a German meal
v. payment etiquettes in a restaurant
Unit II Celebration of milestones in a German company
i. To understand an invitation to company event and how to
accept or decline it
ii. to understand email about events management
iii. to give suggestions and to make suggestions
iv. to understand a welcome speech
v. to understand a valedictory speech
Unit III Trainee: Experience in different departments
i. To understand a sitemap
ii. To understand Timetable of Transportation
iii. To match tasks with various departments
iv. To understand protocols
v. To understand a travel expense report
vi. To give and understand computer commands
vii. To understand a newspaper interview with a trainee
viii. To answer questions during an interview
Unit IV Organisational visit and report
i. To understand flight and train connections
ii. To understand weather charts and weather reports
iii. To understand conversation about formal and informal clothing
iv. To deliver a speech on company development
References:
1. DaF im Unternehmen A1 Kurs – und Übungsbuch, Klett Verlag
Teaching pedagogy:
1. Guided listening and reading compression at individual level
2. Practicing oral skills in pairs
3. Discussions in group
Page 32
Semester VI
1. Discipline Specific Elective (DSE) Courses
4. Life Contingencies Paper II
Objectives
1. Projecting expected cashflows of contingent contracts like life insurance or pensions.
2. Accounting requirement of defined benefit pensions and employee benefit schemes. \
3. Using “R” software to construct models.
Modules at a Glance
Life Contingencies Paper II
Sr. No. Modules No. of Lectures
1 Actuarial applications I 15
2 Actuarial applications II 15
3 Defined benefits pensions: measurement,
recognition and disclosures 15
4 ‘R’ software 15
Total No. of Lectures: 60
Total number of lectures to be engaged 60 Lectures plus 30 Notional Lectures= 90 Lectures
Page 33
Sr. No. Modules
1 Actuarial Applications -1
i. Define simple contracts for contingent payments dependent on the state of a
single entity (for example life insurance or annuity benefits) on the occurrence of
a particular event; develop and evaluate formulae for the means and variances of
the present values of the payments under these contracts, assuming constant
deterministic interest.
ii. Apply survival models to simple problems in long-term insurance, pensions and
banking such as calculating the premiums and reserves for a life insurance
contract, and the potential defaults on a book of loans for a bank.
2 Actuarial Applications -11
i. Define simple contracts for contingent payments dependent on the state of
multiple entities; develop and evaluate formulae for the means of the present
values of the payments under these contracts, assuming constant deterministic
interest.
ii. Describe and apply methods of projecting and valuing expected cash flows that
are contingent upon multiple decrement events.
iii. Describe and apply projected cash flow techniques in pricing, reserving, and
assessing profitability of contracts for contingent payments with appropr iate
allowance for expenses (including life insurance and pension fund applications).
3 Defined Benefits Pensions: Measurement, Recognition and Disclosures
i. Accounting requirements of Measurement, Recognition and Disclosures under
Ind AS 19, IAS 19 and ASC 715 (US GAAP)
ii. Difference between Ind AS 19, IAS 19 and ASC 715 (US GAAP) on
measurement, recognition and disclosures.
iii. Explain the differences in the results on earnings and other comprehensive
income arising from the varying treatment under Ind AS 19, IAS 19 and AS 715
(US GAAP).
4 ‘R’ Software
i. Construct simple models in ‘R’ using standard Indian mortality tables
ii. Apply ‘R’ in longevity studies by taking sample data of joint and single lives and
analysing the effect on a population’s longevity.
iii. Explain how ‘R’ could be applied for high intensity financial data e.g., using daily
stock prices for volatility estimates and efficient markets hypothesis testing.
iv. Use ‘R’ to construct a term structure of interest rates.
Page 34
References:
1. Actuarial Mathematics, Bowers, L. Newton, et. al. 2nd ISBN 0938959468, Society of Actuaries
2. Survival models and their estimation 1988 Actex Publications
3. Mathematics of Finance 2nd Edition Schaum’s Outline Series Peter Zima, Robert
Brows Tata McGraw -Hill Publishing Company Ltd.
4. Mortality Studies, WF Scott 2000 available at
https://www .coursehero.com/file/8346708 /Mortality-Studies-WF-Scott/
5. Life Contingencies by Alistair Neill, Institute of Actuaries Textb ook, ISBN 978-0750609173,
published by Butterworth -Heinemann Ltd
6. Modelling, analysis, design, and control of stochastic systems, by Kulkarni, Vidyadhar G.
Springer
7. Life Contingencies by E. P. Spurgeon ISBN 1107648092, Cambridge University Press.
8. Practical Data Science with R, Nina Zumel and John Mount
9. Data Mining Applications with R, Yanchang Zhao; Yonghua Cen
10. R for Everyone: Advanced Analytics and Graphics, Jared P. Lander
11. Statistics Using R by Purohit, Gore and Deshmukh, 2008, Narosa Publications
12. Actuarial Statistics - An Introduction Using R, Shailaja R Deshmukh
Page 35
Semester VI
Core Courses (CC)
5. Customer Relationship Management Paper -II
Objectives (for the learners):
1. To help the Learners to understand Future Trends in CRM and e-CRM.
2. To know the framework of evolving CRM.
3. To understand CRM in B2C and B2B Market.
Course Outcome:
After completion of this course, the student will be able to
• Apply the concept of CRM in B2C and B2B.
• Implement how CRM practices and technologies enhance the achievement of
marketing, sales and service objectives throughout the customer life-cycle stages of
customer acquisition, retention and development whilst simultaneously supporting
broader organizational goals.
• Apply principles underlying the requirements of the professional standards and
guidance relevant to actuaries practising in Indian health and care operations
• Privacy, Ethics issues of CRM
Modules at a Glance
Sr.No. Modules No. of Lectures
1
Overview of CRM in B2C and B2B Market
20
2
Implementation of CRM and Future Trends in CRM
20
3
CRM emerging concepts and perspective –
20
4
Architecture of CRM
20
Total
80
Total number of lectures to be engaged 80 Lectures plus 40 Notional Lectures= 120 Lectures
Page 36
Semester - VI
Customer Relationship Management Paper -II
Sr.No. Modules/Units
Unit I Overview of CRM in B2C and B2B Market
i. Service business characteristics and classification, Service
recovery, CRM in Banking Industry, Hospitality Industry, Aviation
Industry, Telecom and Retail industry.
ii. CRM in Consumer durable Industry and its application. - White
Goods, common CRM Tools in Practice and improvisation for
Quality Service Assurance.
iii. Importance of CRM in B2B markets, Key Account
Management, Supply channel Management, Internal CRM
and Employee relationship management
Unit II Implementation of CRM and Future Trends in CRM
i. CRM Implementation Process, Evaluation of CRM process,
Challenges in CRM implementation, Customer Care Management
through Information Technology Tools – Electronic Point of Sales
(ePOS) , Sales Force Automation
ii. Emerging trends in CRM, Social CRM, e-CRM, Challenges
involved in formulating and implementing e-CRM strategies,
iii. Multichannel CRM, Role of Social media in CRM, Six E’s of e-
CRM,, Mobile CRM, Artificial Intelligence (AI) with CRM
System.
Unit III CRM emerging concepts and perspective –
i. Introduction : A cost benefit analysis –CRM benefits, CRM Cost-
customer value - customer life time value -issues in calculating CLV
Customer profitability
ii. principles underlying the requirements of the professional standards
and guidance relevant to actuaries practising in Indian health and
care operations
iii. Privacy, Ethics issues of CRM
Page 37
Unit IV Architecture of CRM
i. CRM Technology and Data Platforms, Database and Data
Management, and the role of Business Intelligence (BI) in CRM.
ii. Customer relationship management practices in Indian service
sectors - Relevance of CRM for Hospital Services; Customer
Relationship Management in Banking and Financial Services;
CRM in Insurance Sector
iii. Careers in industry
References :
• Customer Relationship Management – Concepts and Technologies by Francis Buttle,
2nd Edition, Butterworth Heinemann, Elsevier
• Relationship Management – Text and Cases, S. Shajahan, TMGH.
• J N Sheth, AtulParvatiyar, G. Shainesh, 2001, Customer Relationship Management,
Tata McGraw Hill
• Customer Relationship Management: Concepts and Cases, Second Edition, Alok
Kumar Rai PHI learning Pvt Ltd, New Delhi
Suggested Reference Books :-
Handbook of Relationship Marketing by JagdishSheth and AtulParvatiyar, Response
Books, Sage Publications.
Zikmund, McLEOD, Gilbert, Customer Relationship Management
Customer Relationship Management - Concepts and Technology, Second Edition, Francis
Buttle, Elsevier, Sabre foundation
Brown, Stanley A 2001, Customer Relationship Management, John Wiley& Sons
Anderson, Kristin , 2002, Customer Relationship Management, Tata McGraw -Hill
Suggested URL : 1. https://swayam.gov.in/nd2_imb20_mg09/
Page 38
Semester VI
6. Project Work I
Project Work
Aim: To equip students to independently write a 4000 -6000 words research paper with
an actuarial or insurance or investment or pension. The paper can be either
theoretical or application oriented. The paper should comprise a) An abstract
with a title and key words, b) T he definition of the idea or problem, c)
Exposition of the idea or problem, d) e) Findings, and e) Conclusion. It is
expected that the paper is supported by appropriate citations/ references, and
figures/ tables.
The learner is required to select any one topic from the three elective options given below:
• Advanced Financial mathematics
• Investment analysis
• Life contingencies
A Model Structure of the Project Work will be shared with the learners by the Research Guide.
Project Work (Model Structure of the Project Work)
• Chapter No. 1: Introduction In this chapter Selection and relevance of the problem,
historical background of the problem, brief profile of the study area, definition/s of
related aspects, characteristics, different concepts p ertaining to the problem etc can
be incorporated by the learner.
• Chapter No. 2: Research Methodology This chapter will include Objectives, Hypothesis,
Scope of the study, limitations of the study, significance of the study, Selection of
the problem, Sample size, Data collection, Tabulation of data, Techniques and tools
to be used, etc can be incorporated by the learner.
• Chapter No. 3: Literature Review This chapter will provide information about studies
done on the respective issue. This would specify how the study undertaken is
relevant and contribute for value addition in information/ knowledge/ application
of study area which ultimately helps the learner to undertake further study on same
issue.
• Chapter No. 4: Data Analysis, Interpretation and Presentation This chapter is the core part
of the study. The analysis pertaining to collected data will be done by the learner.
The application of selected tools or techniques will be used to arrive at findings. In
this, table of informa tion’s, presentation of graphs etc. can be provided with
interpretation by the learner.
• Chapter No. 5: Conclusions and Suggestions In this chapter of project work, findings of
work will be covered and suggestion will be enlisted to validate the objectives and
hypotheses. Note: If required more chapters of data analysis can be added.
• Bibliography
• Appendix
Page 39
Evaluation scheme
I Continuous Assessment (C.A.) – 25 Marks
1) Internal Assessment ( 20 Marks)
2) Overall Conduct (5 Marks )
II .Semester End Examination - 75 Marks
Question Paper Pattern for Semester End Examination
(Practical Courses)
Maximum Marks: 75
Questions to be set: 05
Duration: 2.5 Hrs.
All Questions are Compulsory Carrying 15 Marks each.
Question
No Particular Marks
Q-1 Objective Questions
A) Sub Questions to be asked 10 and to be answered any 8
B) Sub Questions to be asked 10 and to be answered any 7 (*Multiple choice /
True or False / Match the columns/Fill in the blanks) 15 Marks
Q-2
Q-2 Full Length Practical Question
OR
Full Length Practical Question 15 Marks
15 Marks
Q-3
Q-3 Full Length Practical Question
OR
Full Length Practical Question 15 Marks
15 Marks
Q-4
Q-4 Full Length Practical Question
OR
Full Length Practical Question 15 Marks
15 Marks
Q-5
Q-5 A) Theory questions
B) Theory questions
OR
Short Notes
To be asked 05
To be answered 03 8 Marks
7 Marks
15 Marks
Note:
Practical question of 15 marks may be divided into two sub questions of 7/8 and 10/5Marks.
Page 40