Mathematics 483, Mathematical Models in Finance and Investments, Fall 2010

Illinois State University Mathematics Department

Instructors
Mr. R. Dale Hall, FSA, CERA, CFA, MAAA
Chief Actuary, Life/Health Operations
COUNTRY Financial
1701 North Towanda Avenue
Bloomington, IL 61702-2000
Telephone: 309-821-6407, Fax: 309-820-5709.
E-mail: dale.hall@countryfinancial.com
and
Dr. Krzysztof Ostaszewski, FSA, CERA, CFA, MAAA
Actuarial Program Director
Office: Williams Hall, room 334.
Telephone: 309-438-7226, Fax: 309-438-5866.
E-mail: krzysio@ilstu.edu
Classes Meet
Tuesdays and Thursdays 7:00-8:50 p.m. (with a ten minute break), in Stevenson Hall, room 310.
Office Hours
Office hours will be held Tuesdays and Thursdays 3:00-3:50 p.m., in Stevenson Hall room 313G, by Dr. Krzysztof Ostaszewski. Please ask for an appointment at other times.

Textbooks
The following textbooks are suggested, but not required:

• Financial Risk Management for Pension Plans by Leslaw Gajek and Krzysztof Ostaszewski, Elsevier Science, 2004. This book is on reserve at the Milner Library at Illinois State University and on reserve at the library of the Department of Mathematics.

• Financial Economics, edited by Harry Panjer, published in 1998 by the Actuarial Foundation. This book is on reserve at the Milner Library at Illinois State University.

There will also be study notes provided online by Dr. Krzysztof Ostaszewski (you must use the ISU ULID with your password to access them, and you are only granted access if you are registered in this class). We will also use study notes and problems from past actuarial examinations on investments, as well as other readings on topics of those past exam examinations. Links to those readings will be posted at the bottom of this syllabus, after the schedule of classes.

Objective
The objective of this class is to help you learn about mathematical models in finance and investments, as utilized in the management as well as financial supervision of insurance enterprises and other financial intermediaries.
Grading
There will be a total of five tests. Any of the comprehensive tests (as indicated in the schedule) can count as a final. Because there will be so many opportunities for testing and only the best four test scores will affect the class grade, no make-up tests will be offered. The final will count as 40% of your grade, and the best two of the remaining tests will count as 30% of your grade each. You will also receive up to 10% extra credit for the best of the remaining tests. The grading scale for will be as follows: 90% or better -- A, 80% to 90% -- B, 70% to 80% -- C, 60% to 70% -- D, below 60% -- F. Links to past professional actuarial examinations are provided below, and those professional examinations should serve as a guidance of what kind of material students can expect on the tests. However, the tests in this class will be quantitative only, no essay questions will be given. Even though questions will be quantitative only, students are encouraged to explain their work thoroughly. Students will also have an opportunity to earn extra creditby making presentations in class on the readings given in the syllabus(see the bottom of this web site) and past advanced actuarial examinations on the topics of this class (also see below). Those presentations must be set well in advance with Dr. Ostaszewski, and presentations scheduled at the last minuted before the end of the semester may be denied.

Important dates
Illinois State University withdrawal information for the Fall 2010 semester is given at this web site: http://www.registrar.ilstu.edu/registration/withdrawal/fall.shtml.

Disability concerns
Illinois State University provides a welcoming atmosphere for individuals with disabilities by assisting each in functioning independently within the University community and providing equal access and opportunity in accomplishing educational, professional and personal goals. Disability Concerns, a unit of the Student Affairs Division,  is the designated office to provide approved accommodation services for students, faculty, staff, and guests with disabilities. Disability Concerns obtains and maintains documentation of disability, certifies eligibility for services, determines reasonable accommodations, and develops plans for providing such accommodations. This is accomplished in a confidential manner to ensure equal opportunity for participation in all courses, programs, activities and employment offered by Illinois State University. Please contact the Disability Concerns in Fell Hall room 350, tel.  309-438-5853 (Voice), 309-438-8620 (TTY) if you have needs that can be accommodate by that office.

Schedule of classes

Past actuarial examinations on topics of this class:

Society of Actuaries Course APMV Examination, Spring 2010

Society of Actuaries Course APMV Examination, Spring 2010, Case Study

Society of Actuaries Course APMV Examination, Spring 2009

Society of Actuaries Course APMV Examination, Spring 2009, Case Study

Society of Actuaries Course APMV Examination, Spring 2008

Society of Actuaries Course APMV Examination, Spring 2008, Case Study

Society of Actuaries Course APMV Examination, Spring 2007

Society of Actuaries Course APMV Examination, Spring 2007, Case Study

Society of Actuaries Course AFE Examination, Spring 2010

Society of Actuaries Course AFE Examination, Spring 2010, Case Study

Society of Actuaries Course AFE Examination, Fall 2009

Society of Actuaries Course AFE Examination, Fall 2009, Case Study
Society of Actuaries Course AFE Examination, Spring 2009
Society of Actuaries Course AFE Examination, Spring 2009, Case Study

Society of Actuaries Course AFE Examination, Fall 2008

Society of Actuaries Course AFE Examination, Fall 2008, Case Study

Society of Actuaries Course AFE Examination, Spring 2008

Society of Actuaries Course AFE Examination, Spring 2008, Case Study

Society of Actuaries Course AFE Examination, Spring 2007

Society of Actuaries Course AFE Examination, Spring 2007, Case Study

Society of Actuaries Course 6 Examination, Spring 2006

Society of Actuaries Course 6 Examination, Spring 2005

Society of Actuaries Course 6 Examination, Spring 2004

Society of Actuaries Course 6 Examination, Spring 2003

Society of Actuaries Course 6 Examination, Spring 2002

Society of Actuaries Course 6 Examination, Spring 2001

Society of Actuaries Course 6 Examination, Spring 2000

Society of Actuaries Course 8V Examination, Fall 2006

Society of Actuaries Course 8V Examination, Fall 2005

Society of Actuaries Course 8V Examination, Fall 2004

Society of Actuaries Course 8V Examination, Fall 2003

Society of Actuaries Course 8V Examination, Fall 2002

Society of Actuaries Course 8V Examination, Fall 2001

Society of Actuaries Course 8V Examination, Fall 2000

Casualty Actuarial Society Course 8 Examination, Spring 2010
Casualty Actuarial Society Course 8 Examination, Spring 2009
Casualty Actuarial Society Course 8 Examination, Spring 2008

Casualty Actuarial Society Course 8 Examination, Spring 2007

Casualty Actuarial Society Course 8 Examination, Spring 2006

Casualty Actuarial Society Course 8 Examination, Spring 2005

Casualty Actuarial Society Course 8 Examination, Spring 2004

Casualty Actuarial Society Course 8 Examination, Spring 2003

Casualty Actuarial Society Course 8 Examination, Spring 2002

Casualty Actuarial Society Course 8 Examination, Spring 2001

Casualty Actuarial Society Course 8 Examination, Spring 2000

Readings for presentation in class (this link will let you download a file listing the readings, and giving links to download them, the list may have items added throughout the class)