Actuarial Mathematics and Mathematics of Finance and Risk Management
The Actuarial Mathematics Program is designed to provide broad training in the basic mathematics underlying the operations of private and social insurance and employee benefit plans. The courses are organized to assist the student to prepare for several of the examinations of the Casualty Actuarial Society and the Society of Actuaries.
Non-credit review classes for some of the professional actuarial examinations are organized each term; ask your actuarial advisor about the time and place of these classes. It is strongly recommended that some of these exams be passed before graduation. Summer internships are an important component of the educational program, and students are strongly encouraged to seek an internship no later than the conclusion of their junior year. Students are encouraged to take either Math 422 or 427 to satisfy their upper-level writing requirement.
The program in Mathematics of Finance and Risk Management (or Financial Mathematics for short) is designed to provide a broad education in the quantitative aspects of risk management and finance. Today's financial instruments require sophisticated mathematical techniques for their valuation. These techniques come from the fields of probability, statistics and differential equations.
I. Prerequisite to concentration in Actuarial Mathematics or Financial Mathematics is one of the pair of courses 215&217, 255&217, 285&217, or 295&296. In addition, each student must complete two introductory courses in Economics (Econ 101 and 102), and acquire a working knowledge of a high-level computer language (e.g. Fortran, C or C++) at a level equivalent to completion of EECS 183.
The concentration program must include at least ten courses: Four basic courses(II.), Four special Actuarial or Financial Mathematics courses(III.), and Two courses in related areas (IV.) as described below.
II. The basic courses consist of one from each of the following
groups completed with a grade of at least C-:
1. Differential Equations: Math 216, 256, 286 or 316
2. Probability: Math 425
3. Finance: Math 423
4. Statistics: Stat 426
More advanced students, such as those who have completed Math 396, may substitute higher level courses with the approval of a concentration advisor.
III. The special Actuarial Mathematics courses must include Math 424 and Math 520, and at least one of Math 521 or 522, as well as Math 523. Note that Math 424 and Math 425 or 525 are prerequisite to Math 520, which in turn must precede Math 521 or 522. Since 520 is not always offered every semester, careful planning is essential.
The special Financial Mathematics courses must include Math 451, 471, or 472 (472 is preferred), 525, and 526. As noted above careful planning is essential.
IV. To complete the concentration program each student should elect two additional intermediate or advanced courses related to Actuarial or Financial Mathematics. Some, but not all, of the courses numbered 300 and above offered by Accounting, Computer Science, Economics, Finance, Industrial and Operations Engineering, and Statistics are appropriate here. Some specific approved courses are:
Math 422, 427, 462 and 623;
All Accounting courses over 300, except 471;
Econ 401, 402, 406 and 409;
Finance 302 and 310;
IOE 310 and 452;
LHC (Bus. Ad.) 305;
Statistics courses numbered above 400;
Sociology 330; and
Philosophy 361, 414 and 429.
Actuarial Mathematics students interested in receiving VEE credits from the Society of Actuaries are encouraged to elect Economics 406 and IOE 452 for their cognates.
Other courses may sometimes be appropriate and in all cases approval of the advisor in Actuarial Mathematics or Financial Mathematics is required.