## TYBCom Actuarial Studies_1 Syllabus Mumbai University by munotes

## Page 2

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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)

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## 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 .

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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

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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