UNIVERSITY OF ILLINOIS AT URBANA-CHAMPAIGN

Actuarial Science Program

DEPARTMENT OF MATHEMATICS

 

Math 370 Z

Actuarial Problem Solving

 

 

Fall, 2011

245 Altgeld Hall

7:00-8:30 pm Tuesday

Starting Sep. 6

12 Lectures in Total

 

Feng Zhu

Office Hours:

By appointment

Email:

actuarialillinois@gmail.com

 

 

Course web page: https://faculty.math.illinois.edu/~fengzhu2/Math370Z.htm

 

 

Course Overview

 

This course serves as a preparation/review for the actuarial exam FM/2. You can take it for credit (one hour), or just sit in without registering (no prior approval needed). With or without registration, you can get (if you want) your quizzes scored.

 

This course will cover both theory of interest and derivatives material, corresponding to the MATH 210 and to the exam FM/2 syllabus. I will briefly review the relevant concepts and formulas, but the majority of the time will be devoted to working actuarial exam problems.

 

 

Required Text

 

There is no required text, though you should have a basic financial mathematics/derivatives text available for reference; commercial test preparation manuals are advised, but not necessary for this class. Handouts, notes, quizzes and solutions will be posted on course web page.


 

Accessibility Statement

 

To insure that disability-related concerns are properly addressed throughout the semester, students with disabilities who require reasonable accommodations to participate in this class are asked to contact me within the first two weeks of class.

 

About Calculators

 

You may use only the SOA/CAS approved calculators listed below.

In-class examples will be made with BA II Plus or TI-30XS Multi View.

 

BA-35

TI-30Xa

BA II Plus

TI-30XIIS

TI-30XIIB

TI-30XS Multi View

TI-30XB Multi View

BA II Plus Professional Edition

 

 

Grading

 

Grading for this course is on an S/U (Satisfactory/Unsatisfactory) basis.

There will be no homework or final exam for this class, but we would have a quiz at the end of each lecture. These quizzes will be similar in format and difficulty to the actuarial exams.

To get "S" credit, you need to

a) Attend at least 9 of the 12 lectures, OR

b) Score 75% or above on at least 6 of the 12 in-class quizzes.

There will be no makeup quiz.

 

Resources

 

Lecture 1

Sep.6

Rates of Interest & Interest Force

Course Syllabus

Exam FM/2 Syllabus

Society Official Samples

Official Solutions

APR includes more than interest!

Exam Tips from Towers Watson

SOA Exam Official Statistics

 

In-Class Exercise 1

Quiz 1

Solution 1

Additional Question Set 1

Lecture 2

Sep.13

Annuities & Perpetuities

Part I

In-Class Exercise 2

Quiz 2

Solution 2

Additional Question Set 2

Lecture 3

Sep.20

Annuities & Perpetuities

Part II

In-Class Exercise 3

Quiz 3

Solution 3

Additional Question Set 3

Lecture 4

Sep.27

More General Annuities

In-Class Exercise 4

Quiz 4

Solution 4

Additional Question Set 4

Lecture 5

Oct. 4

Yield Rates

In-Class Exercise 5

Quiz 5

Solution 5

Additional Question Set 5

Lecture 6

Oct. 18

Loan Repayment

In-Class Exercise 6

Quiz 6

Solution 6

Additional Question Set 6

Lecture 7

Oct. 25

Bonds and Common Stock

In-Class Exercise 7

Quiz 7

Solution 7

Additional Question Set 7

Lecture 8

Nov. 1

Financial Analysis

In-Class Exercise 8

Quiz 8

Solution 8

Additional Question Set 8

Lecture 9

Nov. 8

Derivatives

In-Class Exercise 9

Quiz 9

Solution 9

Additional Question Set 9

Lecture 10

Nov.15

Put-Call Parity

Combining Options

In-Class Exercise 10

Quiz 10

Solution 10

Additional Question Set 10

Lecture 11

Nov. 29

Swaps

In-Class Exercise 11

Quiz 11

Solution 11

Additional Question Set 11

Lecure 12

Review

In-Class Exercise 12