54
2007-2008 Faculty of Science The University of Hong Kong

2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

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Page 1: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

2007-2008 Faculty of Science The University of Hong Kong

Contents

- 1 -

SECTION I List of BSc(ActuarSc) Courses on offer in 200708 and 200809 2- 4

SECTION II BSc(ActuarSc) Programmes on offer in 200708 5 - 13

SECTION III BSc(ActuarSc) Course Descriptions 14 - 45

SECTION IV BSc(ActuarSc) Degree Regulations 46- 51

SECTION V Teaching Weeks 52

Actuarial Science

- 2 -

Available in Semester offered in 2007-08

Examination held in 2007-08 Course

Code Course name Credits Prerequisite Co- requisite

2007-2008

2008-2009

1 = 1st sem 2 = 2nd sem 0 = year long

Dec May

STAT1304 The Analysis of Sample Surveys 6 HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Nil 2 ---

STAT1801 Probability and Statistics Foundations of Actuarial Science

6 A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Nil 1 ---

STAT1802 Financial Mathematics 6 A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Nil 2 ---

STAT2302 Statistical Inference 6 STAT1302 or STAT2802 Nil 1 ---

STAT2305 Quality Control and Management 6 STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Nil 2 ---

STAT2306 Business Logistics 6 STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Nil 1 ---

SECTION I List of BSc(ActuarSc) Courses on offer in 200708 and 200809^

Actuarial Science

- 3 -

Available in Semester offered in 2007-08

Examination held in 2007-08 Course

Code Course name Credits Prerequisite Co- requisite

2007-2008

2008-2009

1 = 1st sem 2 = 2nd sem 0 = year long

Dec May

STAT2312 Data Mining 6 STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Nil 2 100 CA

STAT2801 Life Contingencies 6 (STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Nil 1 ---

STAT2802 Statistical Models 6 STAT1801 Nil 1 ---

STAT2803 Stochastic Models 6 STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Nil 1 ---

STAT2804 Linear Models and Forecasting 6 STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Nil 2

STAT2805 Credibility Theory and Loss Distributions

6 STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Nil 1 ---

STAT2806 Financial Economics 6 STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Nil 1 ---

STAT2807 Corporate Finance for Actuarial Science

6 (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Nil 2 ---

STAT2808 Derivatives Markets 6 STAT1802 Nil 1 ---

STAT2813 Internship in Actuarial Science 6 STAT1802 or STAT2801 Nil 1 amp 2 100 CA

100 CA

STAT3302 Multivariate Data Analysis 6 STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Nil 2 ---

STAT3304 Computer-aided Statistical Modelling

6 STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Nil 2 ---

STAT3305 Financial Data Analysis 6 STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Nil 2 ---

Actuarial Science

- 4 -

Available in Semester offered in 2007-08

Examination held in 2007-08 Course

Code Course name Credits Prerequisite Co- requisite

2007-2008

2008-2009

1 = 1st sem 2 = 2nd sem 0 = year long

Dec May

STAT3306 Selected Topics in Statistics 6 STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Nil 2 ---

STAT3307 Project in Statistics 6 STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Nil 0 100 CA

STAT3308 Financial Engineering 6 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 for students admitted in 2004-05 or before or

2 STAT2315 for students admitted in 2005-06 or thereafter

Nil 1 ---

STAT3316 Advanced Probability 6 STAT2303 or STAT2803 or similar level courses in probability theory

Nil 1 ---

STAT3319 Statistics Project 12 STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Nil --- ---

STAT3801 Advanced Life Contingencies 6 Students taking or having taken STAT2801

Nil 2 ---

STAT3802 Advanced Contingencies 6 STAT3801 Nil 1 ---STAT3806 Investment and Asset Management 6 STAT3801 or (STAT2802

for students admitted in or before the academic year 2003-04)

Nil 2 ---

STAT3807 Fundamentals of Actuarial Practice 6 STAT3801 Nil 1 ---

STAT3809 Current Topics in Actuarial Science

6 STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Nil 2 ---

STAT3810 Risk Theory 6 (Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Nil 2 ---

STAT3811 Survival Analysis 6 (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Nil 2 ---

STAT3812 Stochastic Calculus with Financial Applications

6 STAT2303 or STAT2803 or MATH2603 or STAT0103

Nil 2 ---

Actuarial Science

- 5 -

Special arrangements for students who take on 6-month full time internships (Subject to departmental approval the same arrangements will apply to those who take on internships of a similar nature) In order to let final year students who take on 6-month full time internship to finish their degree with only one more semester of study the department makes the following special arrangement

1 Students who take on at least 6 months internships can take STAT2813 to earn 6 credits which can be used to replace any core course

2 Such students can take STAT3806 and STAT3807 as reading courses if these courses are not available after they come back from internships and before they complete their degree For the reading courses the assessment will be based on 80 written report and 20 oral presentation

3 Such students need not follow the regular programme if some courses are not available for them However departmental approval will be required for these students to take any other courses outside the regular programme

Actuarial Science

- 6 -

BSc in Actuarial Science Programme (for students admitted in 2007-08 or thereafter)

Introductory Courses Advanced Courses Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming I 6 MATH1813 Mathematical Methods for 6 Actuarial Science ECON1001 Introduction to Economics I 6 ECON1002 Introduction to Economics II 6

Any 6-credit introductory course 6

(48 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 or 18 credits from two of the following

courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3319 Statistics Project 12 STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 or 60 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

SECTION II BSc(ActuarSc) Programmes on offer in 20072008

Actuarial Science

- 7 -

Actuarial Science

- 8 -

BSc in Actuarial Science Programme (for students admitted in 2006-07)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming I 6 MATH1813 Mathematical Methods for 6 Actuarial Science 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL0128 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1001 Fundamental Concepts 6 of Mathematics MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 9 -

Actuarial Science

- 10 -

BSc in Actuarial Science Programme (for students admitted in 2005-06)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 MATH1800 Elements of Discrete 6 Mathematics PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 11 -

Actuarial Science

- 12 -

BSc in Actuarial Science Programme (for students admitted in 2004-05)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 POLI1002 Fundamentals of Public 6 Administration POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 PSYC1002 How the Mind Works 6 Explorations in Basic Thinking Processes PSYC1003 Psychology and Life 6 Personality and Social Influence SOCI1001 Introduction to Sociology 6 SOCI1002 Discovering Society 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 12 credits from the following courses (List B) BUSI0011 Corporate Finance 6 BUSI0017 Financial Markets and 6 Institutions BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Corporate Finance 6 MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6 STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6 STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6 12 credits from the following courses (List C) STAT2306 Business Logistics 6 STAT2312 Data Mining 6 STAT3302 Multivariate Data Analysis 6 STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6 STAT3307 Project in Statistics 6 STAT3308 Financial Engineering 6 STAT3802 Advanced Contingencies 6 STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Elective courses

Any two courses from Business Economics and Finance (with BUSI0016 being equivalent to FINA1002 considered as an introductory level Finance course) 12

(12 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening

ECEN2802 Advanced Academic English 3 for Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses

Any advanced level course selected 12 from InterIntra Faculty Courses

(12 credits)

Actuarial Science

- 13 -

Actuarial Science

- 14 -

SECTION III Course Descriptions

BIOC1001 Basic Biochemistry (6 credits)

Course Co-ordinator Dr K F J Chan

Maximum class size 300

Aim This course is designed to present an overview of biochemistry and to provide an understanding of the basic mechanisms underlying life processes It is an independent course which can be taken by students from various disciplines The course also prepares students for further studies in Biochemistry and Molecular Biology

Contents structure and function of biomolecules enzymes and coenzymes basic bioenergetics carbohydrates pH and buffers lipids and nucleic acids separation and purification techniques some key metabolic processes amino acids and proteins some bioregulation mechanisms

Prerequisite AS Biology or AS Chemistry

Co-requisite Nil

Teaching 24 lectures tutorials may be scheduled

Duration One semester (1st semester)

Assessment One 2-hour written final examination (70 weighting) and one 1-hour mid-term written examination (30 weighting)

Textbook Nelson and Cox Lehninger Principles of Biochemistry (Freeman 2004 4th ed)

References Any other Biochemistry textbooks eg Berg Tymoczko and Stryer Biochemistry (Freeman 2007 6th ed)

BIOL0128 Biological Techniques Instrumentation and Data Processing (6 credits)

Course Co-ordinator Dr B K C Chow

Maximum class size ---

AimFollow-up This course is designed to provide students with a wide range of basic biological techniques principles of instruments and data processing Basic concepts in proteinDNA purification including precautions detection and verification of purified products are included The course is also opened to those who wish to take a major or a minor in Biology for General Science

Contents This laboratory-intensive course takes the student through most the major techniques in biological sciences including microscopy cell disruption cellular and subcellular fractionation precipitation centrifugation electrophoresis immunological detection of protein spectrophotometry chromatorgraphy DNA and protein sequence analysis

Prerequisites HKCEE Biology or equivalent

Co-requisite Nil

Teaching 24 lectures and 8 x 3-hours laboratory sessions

Duration One semester (1st semester)

Assessment One 2-hour written examination (80 weighting) and continuous assessment (20 weighting)

TextbooksReferences A short list of reading material on selected topics will be provided during the course

Actuarial Science

- 15 -

BUSI1002 Introduction to Accounting (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course will cover the principles of double entry book-keeping the interpretation of financial statements the issues raised by corporate regulation and the use of management information for decision making

Prerequisite or Co-requisite

Teaching

Duration

Assessment

TextbookReferences

BUSI0019 Intermediate Accounting I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course provides an in-depth knowledge of the first part of financial accounting It covers the environment of financial accounting and the development of accounting standards conceptual framework underlying financial accounting statement of income and retained earnings balance sheet accounting and the time value of money cash and receivables valuation of inventories acquisition and disposition of property plant and equipment depreciation and depletion intangible assets current liabilities and contingencies long-term liabilities temporary investments and long-term investments and revenue recognition

Prerequisites

BUSI1002 Introduction to Accounting

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 16 -

BUSI0020 Intermediate Accounting II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides an in-depth knowledge of the second part of financial accounting It covers stockholdersrsquo equity dilutive securities and earnings per share calculations accounting for income taxes accounting for pensions and postretirement benefits accounting for leases accounting changes and error analysis statements of cash flows basic financial statement analysis and full disclosure in financial reporting

Prerequisites

BUSI0019 Intermediate Accounting I

Co-requisite

Teaching

Duration

Assessment

References

CHEM1406 Basic Organic Chemistry (6 credits)

Course Co-ordinator Dr P Toy

Maximum class size 150

Aim To educate the student in the terminology methodology and problem solving skills appropriate to the study of carbon based molecules in both their academic and practical applications This course is a pre-requisite for CHEM2402 Intermediate Organic Chemistry

Contents The course includes chemistry of alkanes alkenes and alkynes stereochemistry nucleophilic substitutions elimination reactions addition reactions radical reactions and chemistry of alcohols and ethers

Prerequisite AL or AS Chemistry

Co-requisite CHEM2510 is preferred

Teaching 24 lectures 5 tutorials and 5 times 4 hours laboratory

Duration One semester (1st semester)

Assessment One 2-hour written examination (70 weighting) and coursework (30 weighting)

TextbooksReferences McMurry J Organic Chemistry (Brooks Cole 2004 6th ed) John W Lehman Operational Organic Chemistry (Prentice Hall 1999 3rd ed)

CHEM1401 and CHEM1406 are mutually exclusive Students who are taking or have taken any one of the courses CHEM1301 CHEM1406 CHEM1502 and CHEM1506 cannot

take CHEM1001 Not for students who have taken both CHEM1401

Actuarial Science

- 17 -

CSCI0001 Practical Chinese Language Course for Science Students (3 credits)

Course Co-ordinator Mr K W Wong Maximum class size --- AimContents 1 Practical Chinese Writing Skills 實用中文寫作技巧

a Classical and modern Chinese 文言與白話 b The Chinese language characteristics and usage 漢語特性和語文運用 c Basic grammar of modern Chinese 現代漢語基礎語法 2 Chinese Characters 漢字 a Traditional characters 傳統漢字 b Simplified characters 簡化字 c Variant forms 異體字 3 Letter-writing 書信 a Business letter writing techniques 商務書信寫作技巧 b Official letter writing techniques 公務書信寫作技巧 4 Office Documents 辦公室文書 a Notices and announcements 啟事及通告 b Proposals 建議書 c Minutes and reports of meetings 會議文書 5 Chinese for Special Purposes 專業中文 a Reader-based scientifictechnical writings 讀者為本的科技性專業文案 b Styles and rhetoric of scientifictechnical writings 科技性專業文案的風格與修辭技巧 6 Presentation and Communication Techniques 表達與溝通技巧 a Communication and presentation techniques 演講技巧及演講辭的撰寫 b Discussion and the art of persuasion 討論與說服技巧

Prerequisite Nil Co-requisite Nil Teaching One class-contact hour per week for 13 weeks Duration One semester (1st semester) Assessment One 2-hour examination (50 weighting) plus coursework including 4 assignments (50 weighting) This course is compulsory for all BSc students

CSIS1117 Computer Programming I (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The goal of this course is for students to learn the general principles of programming including how to design implement document test and debug programs

Prerequisite Nil

Teaching

Duration

Assessment One three-hour written examination (50 weighting) and coursework (50 weighting)

TextbookReferences

Actuarial Science

- 18 -

ECEN1801 Academic English for Science Students

(3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To build confidence in the use of English for writing and speaking about science The focus is on 1 Writing an essay which meets the requirements of good academic writing in particular making

appropriate use of published sources and avoiding plagiarism 2 Speaking in an organized and coherent manner

Prerequisite Nil

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (1st semester)

Assessment Assessment is wholly by coursework

This course is compulsory for all BSc students

ECEN2802 Advanced English for Science Students (3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To develop a sense of audience awareness in writing to develop spontaneous speaking skills and to individualise language learning The focus is on 1 Writing a short article for one of a range of web journals each with a different audience and topic

focus (individual choice) 2 Spontaneous (ie unrehearsed) discussion through participation in speaking workshops and one-to-

one discussions 3 Developing independent language learning skills to help students address their individual language

problems and focus on their future language needs

Prerequisite ECEN1801

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (2nd semester)

Assessment Assessment is by coursework and an examination

This course is compulsory for all BSc students

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 2: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Contents

- 1 -

SECTION I List of BSc(ActuarSc) Courses on offer in 200708 and 200809 2- 4

SECTION II BSc(ActuarSc) Programmes on offer in 200708 5 - 13

SECTION III BSc(ActuarSc) Course Descriptions 14 - 45

SECTION IV BSc(ActuarSc) Degree Regulations 46- 51

SECTION V Teaching Weeks 52

Actuarial Science

- 2 -

Available in Semester offered in 2007-08

Examination held in 2007-08 Course

Code Course name Credits Prerequisite Co- requisite

2007-2008

2008-2009

1 = 1st sem 2 = 2nd sem 0 = year long

Dec May

STAT1304 The Analysis of Sample Surveys 6 HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Nil 2 ---

STAT1801 Probability and Statistics Foundations of Actuarial Science

6 A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Nil 1 ---

STAT1802 Financial Mathematics 6 A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Nil 2 ---

STAT2302 Statistical Inference 6 STAT1302 or STAT2802 Nil 1 ---

STAT2305 Quality Control and Management 6 STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Nil 2 ---

STAT2306 Business Logistics 6 STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Nil 1 ---

SECTION I List of BSc(ActuarSc) Courses on offer in 200708 and 200809^

Actuarial Science

- 3 -

Available in Semester offered in 2007-08

Examination held in 2007-08 Course

Code Course name Credits Prerequisite Co- requisite

2007-2008

2008-2009

1 = 1st sem 2 = 2nd sem 0 = year long

Dec May

STAT2312 Data Mining 6 STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Nil 2 100 CA

STAT2801 Life Contingencies 6 (STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Nil 1 ---

STAT2802 Statistical Models 6 STAT1801 Nil 1 ---

STAT2803 Stochastic Models 6 STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Nil 1 ---

STAT2804 Linear Models and Forecasting 6 STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Nil 2

STAT2805 Credibility Theory and Loss Distributions

6 STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Nil 1 ---

STAT2806 Financial Economics 6 STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Nil 1 ---

STAT2807 Corporate Finance for Actuarial Science

6 (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Nil 2 ---

STAT2808 Derivatives Markets 6 STAT1802 Nil 1 ---

STAT2813 Internship in Actuarial Science 6 STAT1802 or STAT2801 Nil 1 amp 2 100 CA

100 CA

STAT3302 Multivariate Data Analysis 6 STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Nil 2 ---

STAT3304 Computer-aided Statistical Modelling

6 STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Nil 2 ---

STAT3305 Financial Data Analysis 6 STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Nil 2 ---

Actuarial Science

- 4 -

Available in Semester offered in 2007-08

Examination held in 2007-08 Course

Code Course name Credits Prerequisite Co- requisite

2007-2008

2008-2009

1 = 1st sem 2 = 2nd sem 0 = year long

Dec May

STAT3306 Selected Topics in Statistics 6 STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Nil 2 ---

STAT3307 Project in Statistics 6 STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Nil 0 100 CA

STAT3308 Financial Engineering 6 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 for students admitted in 2004-05 or before or

2 STAT2315 for students admitted in 2005-06 or thereafter

Nil 1 ---

STAT3316 Advanced Probability 6 STAT2303 or STAT2803 or similar level courses in probability theory

Nil 1 ---

STAT3319 Statistics Project 12 STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Nil --- ---

STAT3801 Advanced Life Contingencies 6 Students taking or having taken STAT2801

Nil 2 ---

STAT3802 Advanced Contingencies 6 STAT3801 Nil 1 ---STAT3806 Investment and Asset Management 6 STAT3801 or (STAT2802

for students admitted in or before the academic year 2003-04)

Nil 2 ---

STAT3807 Fundamentals of Actuarial Practice 6 STAT3801 Nil 1 ---

STAT3809 Current Topics in Actuarial Science

6 STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Nil 2 ---

STAT3810 Risk Theory 6 (Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Nil 2 ---

STAT3811 Survival Analysis 6 (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Nil 2 ---

STAT3812 Stochastic Calculus with Financial Applications

6 STAT2303 or STAT2803 or MATH2603 or STAT0103

Nil 2 ---

Actuarial Science

- 5 -

Special arrangements for students who take on 6-month full time internships (Subject to departmental approval the same arrangements will apply to those who take on internships of a similar nature) In order to let final year students who take on 6-month full time internship to finish their degree with only one more semester of study the department makes the following special arrangement

1 Students who take on at least 6 months internships can take STAT2813 to earn 6 credits which can be used to replace any core course

2 Such students can take STAT3806 and STAT3807 as reading courses if these courses are not available after they come back from internships and before they complete their degree For the reading courses the assessment will be based on 80 written report and 20 oral presentation

3 Such students need not follow the regular programme if some courses are not available for them However departmental approval will be required for these students to take any other courses outside the regular programme

Actuarial Science

- 6 -

BSc in Actuarial Science Programme (for students admitted in 2007-08 or thereafter)

Introductory Courses Advanced Courses Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming I 6 MATH1813 Mathematical Methods for 6 Actuarial Science ECON1001 Introduction to Economics I 6 ECON1002 Introduction to Economics II 6

Any 6-credit introductory course 6

(48 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 or 18 credits from two of the following

courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3319 Statistics Project 12 STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 or 60 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

SECTION II BSc(ActuarSc) Programmes on offer in 20072008

Actuarial Science

- 7 -

Actuarial Science

- 8 -

BSc in Actuarial Science Programme (for students admitted in 2006-07)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming I 6 MATH1813 Mathematical Methods for 6 Actuarial Science 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL0128 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1001 Fundamental Concepts 6 of Mathematics MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 9 -

Actuarial Science

- 10 -

BSc in Actuarial Science Programme (for students admitted in 2005-06)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 MATH1800 Elements of Discrete 6 Mathematics PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 11 -

Actuarial Science

- 12 -

BSc in Actuarial Science Programme (for students admitted in 2004-05)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 POLI1002 Fundamentals of Public 6 Administration POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 PSYC1002 How the Mind Works 6 Explorations in Basic Thinking Processes PSYC1003 Psychology and Life 6 Personality and Social Influence SOCI1001 Introduction to Sociology 6 SOCI1002 Discovering Society 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 12 credits from the following courses (List B) BUSI0011 Corporate Finance 6 BUSI0017 Financial Markets and 6 Institutions BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Corporate Finance 6 MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6 STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6 STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6 12 credits from the following courses (List C) STAT2306 Business Logistics 6 STAT2312 Data Mining 6 STAT3302 Multivariate Data Analysis 6 STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6 STAT3307 Project in Statistics 6 STAT3308 Financial Engineering 6 STAT3802 Advanced Contingencies 6 STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Elective courses

Any two courses from Business Economics and Finance (with BUSI0016 being equivalent to FINA1002 considered as an introductory level Finance course) 12

(12 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening

ECEN2802 Advanced Academic English 3 for Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses

Any advanced level course selected 12 from InterIntra Faculty Courses

(12 credits)

Actuarial Science

- 13 -

Actuarial Science

- 14 -

SECTION III Course Descriptions

BIOC1001 Basic Biochemistry (6 credits)

Course Co-ordinator Dr K F J Chan

Maximum class size 300

Aim This course is designed to present an overview of biochemistry and to provide an understanding of the basic mechanisms underlying life processes It is an independent course which can be taken by students from various disciplines The course also prepares students for further studies in Biochemistry and Molecular Biology

Contents structure and function of biomolecules enzymes and coenzymes basic bioenergetics carbohydrates pH and buffers lipids and nucleic acids separation and purification techniques some key metabolic processes amino acids and proteins some bioregulation mechanisms

Prerequisite AS Biology or AS Chemistry

Co-requisite Nil

Teaching 24 lectures tutorials may be scheduled

Duration One semester (1st semester)

Assessment One 2-hour written final examination (70 weighting) and one 1-hour mid-term written examination (30 weighting)

Textbook Nelson and Cox Lehninger Principles of Biochemistry (Freeman 2004 4th ed)

References Any other Biochemistry textbooks eg Berg Tymoczko and Stryer Biochemistry (Freeman 2007 6th ed)

BIOL0128 Biological Techniques Instrumentation and Data Processing (6 credits)

Course Co-ordinator Dr B K C Chow

Maximum class size ---

AimFollow-up This course is designed to provide students with a wide range of basic biological techniques principles of instruments and data processing Basic concepts in proteinDNA purification including precautions detection and verification of purified products are included The course is also opened to those who wish to take a major or a minor in Biology for General Science

Contents This laboratory-intensive course takes the student through most the major techniques in biological sciences including microscopy cell disruption cellular and subcellular fractionation precipitation centrifugation electrophoresis immunological detection of protein spectrophotometry chromatorgraphy DNA and protein sequence analysis

Prerequisites HKCEE Biology or equivalent

Co-requisite Nil

Teaching 24 lectures and 8 x 3-hours laboratory sessions

Duration One semester (1st semester)

Assessment One 2-hour written examination (80 weighting) and continuous assessment (20 weighting)

TextbooksReferences A short list of reading material on selected topics will be provided during the course

Actuarial Science

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BUSI1002 Introduction to Accounting (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course will cover the principles of double entry book-keeping the interpretation of financial statements the issues raised by corporate regulation and the use of management information for decision making

Prerequisite or Co-requisite

Teaching

Duration

Assessment

TextbookReferences

BUSI0019 Intermediate Accounting I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course provides an in-depth knowledge of the first part of financial accounting It covers the environment of financial accounting and the development of accounting standards conceptual framework underlying financial accounting statement of income and retained earnings balance sheet accounting and the time value of money cash and receivables valuation of inventories acquisition and disposition of property plant and equipment depreciation and depletion intangible assets current liabilities and contingencies long-term liabilities temporary investments and long-term investments and revenue recognition

Prerequisites

BUSI1002 Introduction to Accounting

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 16 -

BUSI0020 Intermediate Accounting II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides an in-depth knowledge of the second part of financial accounting It covers stockholdersrsquo equity dilutive securities and earnings per share calculations accounting for income taxes accounting for pensions and postretirement benefits accounting for leases accounting changes and error analysis statements of cash flows basic financial statement analysis and full disclosure in financial reporting

Prerequisites

BUSI0019 Intermediate Accounting I

Co-requisite

Teaching

Duration

Assessment

References

CHEM1406 Basic Organic Chemistry (6 credits)

Course Co-ordinator Dr P Toy

Maximum class size 150

Aim To educate the student in the terminology methodology and problem solving skills appropriate to the study of carbon based molecules in both their academic and practical applications This course is a pre-requisite for CHEM2402 Intermediate Organic Chemistry

Contents The course includes chemistry of alkanes alkenes and alkynes stereochemistry nucleophilic substitutions elimination reactions addition reactions radical reactions and chemistry of alcohols and ethers

Prerequisite AL or AS Chemistry

Co-requisite CHEM2510 is preferred

Teaching 24 lectures 5 tutorials and 5 times 4 hours laboratory

Duration One semester (1st semester)

Assessment One 2-hour written examination (70 weighting) and coursework (30 weighting)

TextbooksReferences McMurry J Organic Chemistry (Brooks Cole 2004 6th ed) John W Lehman Operational Organic Chemistry (Prentice Hall 1999 3rd ed)

CHEM1401 and CHEM1406 are mutually exclusive Students who are taking or have taken any one of the courses CHEM1301 CHEM1406 CHEM1502 and CHEM1506 cannot

take CHEM1001 Not for students who have taken both CHEM1401

Actuarial Science

- 17 -

CSCI0001 Practical Chinese Language Course for Science Students (3 credits)

Course Co-ordinator Mr K W Wong Maximum class size --- AimContents 1 Practical Chinese Writing Skills 實用中文寫作技巧

a Classical and modern Chinese 文言與白話 b The Chinese language characteristics and usage 漢語特性和語文運用 c Basic grammar of modern Chinese 現代漢語基礎語法 2 Chinese Characters 漢字 a Traditional characters 傳統漢字 b Simplified characters 簡化字 c Variant forms 異體字 3 Letter-writing 書信 a Business letter writing techniques 商務書信寫作技巧 b Official letter writing techniques 公務書信寫作技巧 4 Office Documents 辦公室文書 a Notices and announcements 啟事及通告 b Proposals 建議書 c Minutes and reports of meetings 會議文書 5 Chinese for Special Purposes 專業中文 a Reader-based scientifictechnical writings 讀者為本的科技性專業文案 b Styles and rhetoric of scientifictechnical writings 科技性專業文案的風格與修辭技巧 6 Presentation and Communication Techniques 表達與溝通技巧 a Communication and presentation techniques 演講技巧及演講辭的撰寫 b Discussion and the art of persuasion 討論與說服技巧

Prerequisite Nil Co-requisite Nil Teaching One class-contact hour per week for 13 weeks Duration One semester (1st semester) Assessment One 2-hour examination (50 weighting) plus coursework including 4 assignments (50 weighting) This course is compulsory for all BSc students

CSIS1117 Computer Programming I (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The goal of this course is for students to learn the general principles of programming including how to design implement document test and debug programs

Prerequisite Nil

Teaching

Duration

Assessment One three-hour written examination (50 weighting) and coursework (50 weighting)

TextbookReferences

Actuarial Science

- 18 -

ECEN1801 Academic English for Science Students

(3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To build confidence in the use of English for writing and speaking about science The focus is on 1 Writing an essay which meets the requirements of good academic writing in particular making

appropriate use of published sources and avoiding plagiarism 2 Speaking in an organized and coherent manner

Prerequisite Nil

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (1st semester)

Assessment Assessment is wholly by coursework

This course is compulsory for all BSc students

ECEN2802 Advanced English for Science Students (3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To develop a sense of audience awareness in writing to develop spontaneous speaking skills and to individualise language learning The focus is on 1 Writing a short article for one of a range of web journals each with a different audience and topic

focus (individual choice) 2 Spontaneous (ie unrehearsed) discussion through participation in speaking workshops and one-to-

one discussions 3 Developing independent language learning skills to help students address their individual language

problems and focus on their future language needs

Prerequisite ECEN1801

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (2nd semester)

Assessment Assessment is by coursework and an examination

This course is compulsory for all BSc students

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 3: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 2 -

Available in Semester offered in 2007-08

Examination held in 2007-08 Course

Code Course name Credits Prerequisite Co- requisite

2007-2008

2008-2009

1 = 1st sem 2 = 2nd sem 0 = year long

Dec May

STAT1304 The Analysis of Sample Surveys 6 HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Nil 2 ---

STAT1801 Probability and Statistics Foundations of Actuarial Science

6 A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Nil 1 ---

STAT1802 Financial Mathematics 6 A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Nil 2 ---

STAT2302 Statistical Inference 6 STAT1302 or STAT2802 Nil 1 ---

STAT2305 Quality Control and Management 6 STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Nil 2 ---

STAT2306 Business Logistics 6 STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Nil 1 ---

SECTION I List of BSc(ActuarSc) Courses on offer in 200708 and 200809^

Actuarial Science

- 3 -

Available in Semester offered in 2007-08

Examination held in 2007-08 Course

Code Course name Credits Prerequisite Co- requisite

2007-2008

2008-2009

1 = 1st sem 2 = 2nd sem 0 = year long

Dec May

STAT2312 Data Mining 6 STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Nil 2 100 CA

STAT2801 Life Contingencies 6 (STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Nil 1 ---

STAT2802 Statistical Models 6 STAT1801 Nil 1 ---

STAT2803 Stochastic Models 6 STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Nil 1 ---

STAT2804 Linear Models and Forecasting 6 STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Nil 2

STAT2805 Credibility Theory and Loss Distributions

6 STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Nil 1 ---

STAT2806 Financial Economics 6 STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Nil 1 ---

STAT2807 Corporate Finance for Actuarial Science

6 (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Nil 2 ---

STAT2808 Derivatives Markets 6 STAT1802 Nil 1 ---

STAT2813 Internship in Actuarial Science 6 STAT1802 or STAT2801 Nil 1 amp 2 100 CA

100 CA

STAT3302 Multivariate Data Analysis 6 STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Nil 2 ---

STAT3304 Computer-aided Statistical Modelling

6 STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Nil 2 ---

STAT3305 Financial Data Analysis 6 STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Nil 2 ---

Actuarial Science

- 4 -

Available in Semester offered in 2007-08

Examination held in 2007-08 Course

Code Course name Credits Prerequisite Co- requisite

2007-2008

2008-2009

1 = 1st sem 2 = 2nd sem 0 = year long

Dec May

STAT3306 Selected Topics in Statistics 6 STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Nil 2 ---

STAT3307 Project in Statistics 6 STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Nil 0 100 CA

STAT3308 Financial Engineering 6 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 for students admitted in 2004-05 or before or

2 STAT2315 for students admitted in 2005-06 or thereafter

Nil 1 ---

STAT3316 Advanced Probability 6 STAT2303 or STAT2803 or similar level courses in probability theory

Nil 1 ---

STAT3319 Statistics Project 12 STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Nil --- ---

STAT3801 Advanced Life Contingencies 6 Students taking or having taken STAT2801

Nil 2 ---

STAT3802 Advanced Contingencies 6 STAT3801 Nil 1 ---STAT3806 Investment and Asset Management 6 STAT3801 or (STAT2802

for students admitted in or before the academic year 2003-04)

Nil 2 ---

STAT3807 Fundamentals of Actuarial Practice 6 STAT3801 Nil 1 ---

STAT3809 Current Topics in Actuarial Science

6 STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Nil 2 ---

STAT3810 Risk Theory 6 (Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Nil 2 ---

STAT3811 Survival Analysis 6 (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Nil 2 ---

STAT3812 Stochastic Calculus with Financial Applications

6 STAT2303 or STAT2803 or MATH2603 or STAT0103

Nil 2 ---

Actuarial Science

- 5 -

Special arrangements for students who take on 6-month full time internships (Subject to departmental approval the same arrangements will apply to those who take on internships of a similar nature) In order to let final year students who take on 6-month full time internship to finish their degree with only one more semester of study the department makes the following special arrangement

1 Students who take on at least 6 months internships can take STAT2813 to earn 6 credits which can be used to replace any core course

2 Such students can take STAT3806 and STAT3807 as reading courses if these courses are not available after they come back from internships and before they complete their degree For the reading courses the assessment will be based on 80 written report and 20 oral presentation

3 Such students need not follow the regular programme if some courses are not available for them However departmental approval will be required for these students to take any other courses outside the regular programme

Actuarial Science

- 6 -

BSc in Actuarial Science Programme (for students admitted in 2007-08 or thereafter)

Introductory Courses Advanced Courses Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming I 6 MATH1813 Mathematical Methods for 6 Actuarial Science ECON1001 Introduction to Economics I 6 ECON1002 Introduction to Economics II 6

Any 6-credit introductory course 6

(48 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 or 18 credits from two of the following

courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3319 Statistics Project 12 STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 or 60 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

SECTION II BSc(ActuarSc) Programmes on offer in 20072008

Actuarial Science

- 7 -

Actuarial Science

- 8 -

BSc in Actuarial Science Programme (for students admitted in 2006-07)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming I 6 MATH1813 Mathematical Methods for 6 Actuarial Science 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL0128 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1001 Fundamental Concepts 6 of Mathematics MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 9 -

Actuarial Science

- 10 -

BSc in Actuarial Science Programme (for students admitted in 2005-06)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 MATH1800 Elements of Discrete 6 Mathematics PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 11 -

Actuarial Science

- 12 -

BSc in Actuarial Science Programme (for students admitted in 2004-05)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 POLI1002 Fundamentals of Public 6 Administration POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 PSYC1002 How the Mind Works 6 Explorations in Basic Thinking Processes PSYC1003 Psychology and Life 6 Personality and Social Influence SOCI1001 Introduction to Sociology 6 SOCI1002 Discovering Society 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 12 credits from the following courses (List B) BUSI0011 Corporate Finance 6 BUSI0017 Financial Markets and 6 Institutions BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Corporate Finance 6 MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6 STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6 STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6 12 credits from the following courses (List C) STAT2306 Business Logistics 6 STAT2312 Data Mining 6 STAT3302 Multivariate Data Analysis 6 STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6 STAT3307 Project in Statistics 6 STAT3308 Financial Engineering 6 STAT3802 Advanced Contingencies 6 STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Elective courses

Any two courses from Business Economics and Finance (with BUSI0016 being equivalent to FINA1002 considered as an introductory level Finance course) 12

(12 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening

ECEN2802 Advanced Academic English 3 for Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses

Any advanced level course selected 12 from InterIntra Faculty Courses

(12 credits)

Actuarial Science

- 13 -

Actuarial Science

- 14 -

SECTION III Course Descriptions

BIOC1001 Basic Biochemistry (6 credits)

Course Co-ordinator Dr K F J Chan

Maximum class size 300

Aim This course is designed to present an overview of biochemistry and to provide an understanding of the basic mechanisms underlying life processes It is an independent course which can be taken by students from various disciplines The course also prepares students for further studies in Biochemistry and Molecular Biology

Contents structure and function of biomolecules enzymes and coenzymes basic bioenergetics carbohydrates pH and buffers lipids and nucleic acids separation and purification techniques some key metabolic processes amino acids and proteins some bioregulation mechanisms

Prerequisite AS Biology or AS Chemistry

Co-requisite Nil

Teaching 24 lectures tutorials may be scheduled

Duration One semester (1st semester)

Assessment One 2-hour written final examination (70 weighting) and one 1-hour mid-term written examination (30 weighting)

Textbook Nelson and Cox Lehninger Principles of Biochemistry (Freeman 2004 4th ed)

References Any other Biochemistry textbooks eg Berg Tymoczko and Stryer Biochemistry (Freeman 2007 6th ed)

BIOL0128 Biological Techniques Instrumentation and Data Processing (6 credits)

Course Co-ordinator Dr B K C Chow

Maximum class size ---

AimFollow-up This course is designed to provide students with a wide range of basic biological techniques principles of instruments and data processing Basic concepts in proteinDNA purification including precautions detection and verification of purified products are included The course is also opened to those who wish to take a major or a minor in Biology for General Science

Contents This laboratory-intensive course takes the student through most the major techniques in biological sciences including microscopy cell disruption cellular and subcellular fractionation precipitation centrifugation electrophoresis immunological detection of protein spectrophotometry chromatorgraphy DNA and protein sequence analysis

Prerequisites HKCEE Biology or equivalent

Co-requisite Nil

Teaching 24 lectures and 8 x 3-hours laboratory sessions

Duration One semester (1st semester)

Assessment One 2-hour written examination (80 weighting) and continuous assessment (20 weighting)

TextbooksReferences A short list of reading material on selected topics will be provided during the course

Actuarial Science

- 15 -

BUSI1002 Introduction to Accounting (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course will cover the principles of double entry book-keeping the interpretation of financial statements the issues raised by corporate regulation and the use of management information for decision making

Prerequisite or Co-requisite

Teaching

Duration

Assessment

TextbookReferences

BUSI0019 Intermediate Accounting I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course provides an in-depth knowledge of the first part of financial accounting It covers the environment of financial accounting and the development of accounting standards conceptual framework underlying financial accounting statement of income and retained earnings balance sheet accounting and the time value of money cash and receivables valuation of inventories acquisition and disposition of property plant and equipment depreciation and depletion intangible assets current liabilities and contingencies long-term liabilities temporary investments and long-term investments and revenue recognition

Prerequisites

BUSI1002 Introduction to Accounting

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 16 -

BUSI0020 Intermediate Accounting II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides an in-depth knowledge of the second part of financial accounting It covers stockholdersrsquo equity dilutive securities and earnings per share calculations accounting for income taxes accounting for pensions and postretirement benefits accounting for leases accounting changes and error analysis statements of cash flows basic financial statement analysis and full disclosure in financial reporting

Prerequisites

BUSI0019 Intermediate Accounting I

Co-requisite

Teaching

Duration

Assessment

References

CHEM1406 Basic Organic Chemistry (6 credits)

Course Co-ordinator Dr P Toy

Maximum class size 150

Aim To educate the student in the terminology methodology and problem solving skills appropriate to the study of carbon based molecules in both their academic and practical applications This course is a pre-requisite for CHEM2402 Intermediate Organic Chemistry

Contents The course includes chemistry of alkanes alkenes and alkynes stereochemistry nucleophilic substitutions elimination reactions addition reactions radical reactions and chemistry of alcohols and ethers

Prerequisite AL or AS Chemistry

Co-requisite CHEM2510 is preferred

Teaching 24 lectures 5 tutorials and 5 times 4 hours laboratory

Duration One semester (1st semester)

Assessment One 2-hour written examination (70 weighting) and coursework (30 weighting)

TextbooksReferences McMurry J Organic Chemistry (Brooks Cole 2004 6th ed) John W Lehman Operational Organic Chemistry (Prentice Hall 1999 3rd ed)

CHEM1401 and CHEM1406 are mutually exclusive Students who are taking or have taken any one of the courses CHEM1301 CHEM1406 CHEM1502 and CHEM1506 cannot

take CHEM1001 Not for students who have taken both CHEM1401

Actuarial Science

- 17 -

CSCI0001 Practical Chinese Language Course for Science Students (3 credits)

Course Co-ordinator Mr K W Wong Maximum class size --- AimContents 1 Practical Chinese Writing Skills 實用中文寫作技巧

a Classical and modern Chinese 文言與白話 b The Chinese language characteristics and usage 漢語特性和語文運用 c Basic grammar of modern Chinese 現代漢語基礎語法 2 Chinese Characters 漢字 a Traditional characters 傳統漢字 b Simplified characters 簡化字 c Variant forms 異體字 3 Letter-writing 書信 a Business letter writing techniques 商務書信寫作技巧 b Official letter writing techniques 公務書信寫作技巧 4 Office Documents 辦公室文書 a Notices and announcements 啟事及通告 b Proposals 建議書 c Minutes and reports of meetings 會議文書 5 Chinese for Special Purposes 專業中文 a Reader-based scientifictechnical writings 讀者為本的科技性專業文案 b Styles and rhetoric of scientifictechnical writings 科技性專業文案的風格與修辭技巧 6 Presentation and Communication Techniques 表達與溝通技巧 a Communication and presentation techniques 演講技巧及演講辭的撰寫 b Discussion and the art of persuasion 討論與說服技巧

Prerequisite Nil Co-requisite Nil Teaching One class-contact hour per week for 13 weeks Duration One semester (1st semester) Assessment One 2-hour examination (50 weighting) plus coursework including 4 assignments (50 weighting) This course is compulsory for all BSc students

CSIS1117 Computer Programming I (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The goal of this course is for students to learn the general principles of programming including how to design implement document test and debug programs

Prerequisite Nil

Teaching

Duration

Assessment One three-hour written examination (50 weighting) and coursework (50 weighting)

TextbookReferences

Actuarial Science

- 18 -

ECEN1801 Academic English for Science Students

(3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To build confidence in the use of English for writing and speaking about science The focus is on 1 Writing an essay which meets the requirements of good academic writing in particular making

appropriate use of published sources and avoiding plagiarism 2 Speaking in an organized and coherent manner

Prerequisite Nil

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (1st semester)

Assessment Assessment is wholly by coursework

This course is compulsory for all BSc students

ECEN2802 Advanced English for Science Students (3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To develop a sense of audience awareness in writing to develop spontaneous speaking skills and to individualise language learning The focus is on 1 Writing a short article for one of a range of web journals each with a different audience and topic

focus (individual choice) 2 Spontaneous (ie unrehearsed) discussion through participation in speaking workshops and one-to-

one discussions 3 Developing independent language learning skills to help students address their individual language

problems and focus on their future language needs

Prerequisite ECEN1801

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (2nd semester)

Assessment Assessment is by coursework and an examination

This course is compulsory for all BSc students

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 4: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 3 -

Available in Semester offered in 2007-08

Examination held in 2007-08 Course

Code Course name Credits Prerequisite Co- requisite

2007-2008

2008-2009

1 = 1st sem 2 = 2nd sem 0 = year long

Dec May

STAT2312 Data Mining 6 STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Nil 2 100 CA

STAT2801 Life Contingencies 6 (STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Nil 1 ---

STAT2802 Statistical Models 6 STAT1801 Nil 1 ---

STAT2803 Stochastic Models 6 STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Nil 1 ---

STAT2804 Linear Models and Forecasting 6 STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Nil 2

STAT2805 Credibility Theory and Loss Distributions

6 STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Nil 1 ---

STAT2806 Financial Economics 6 STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Nil 1 ---

STAT2807 Corporate Finance for Actuarial Science

6 (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Nil 2 ---

STAT2808 Derivatives Markets 6 STAT1802 Nil 1 ---

STAT2813 Internship in Actuarial Science 6 STAT1802 or STAT2801 Nil 1 amp 2 100 CA

100 CA

STAT3302 Multivariate Data Analysis 6 STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Nil 2 ---

STAT3304 Computer-aided Statistical Modelling

6 STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Nil 2 ---

STAT3305 Financial Data Analysis 6 STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Nil 2 ---

Actuarial Science

- 4 -

Available in Semester offered in 2007-08

Examination held in 2007-08 Course

Code Course name Credits Prerequisite Co- requisite

2007-2008

2008-2009

1 = 1st sem 2 = 2nd sem 0 = year long

Dec May

STAT3306 Selected Topics in Statistics 6 STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Nil 2 ---

STAT3307 Project in Statistics 6 STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Nil 0 100 CA

STAT3308 Financial Engineering 6 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 for students admitted in 2004-05 or before or

2 STAT2315 for students admitted in 2005-06 or thereafter

Nil 1 ---

STAT3316 Advanced Probability 6 STAT2303 or STAT2803 or similar level courses in probability theory

Nil 1 ---

STAT3319 Statistics Project 12 STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Nil --- ---

STAT3801 Advanced Life Contingencies 6 Students taking or having taken STAT2801

Nil 2 ---

STAT3802 Advanced Contingencies 6 STAT3801 Nil 1 ---STAT3806 Investment and Asset Management 6 STAT3801 or (STAT2802

for students admitted in or before the academic year 2003-04)

Nil 2 ---

STAT3807 Fundamentals of Actuarial Practice 6 STAT3801 Nil 1 ---

STAT3809 Current Topics in Actuarial Science

6 STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Nil 2 ---

STAT3810 Risk Theory 6 (Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Nil 2 ---

STAT3811 Survival Analysis 6 (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Nil 2 ---

STAT3812 Stochastic Calculus with Financial Applications

6 STAT2303 or STAT2803 or MATH2603 or STAT0103

Nil 2 ---

Actuarial Science

- 5 -

Special arrangements for students who take on 6-month full time internships (Subject to departmental approval the same arrangements will apply to those who take on internships of a similar nature) In order to let final year students who take on 6-month full time internship to finish their degree with only one more semester of study the department makes the following special arrangement

1 Students who take on at least 6 months internships can take STAT2813 to earn 6 credits which can be used to replace any core course

2 Such students can take STAT3806 and STAT3807 as reading courses if these courses are not available after they come back from internships and before they complete their degree For the reading courses the assessment will be based on 80 written report and 20 oral presentation

3 Such students need not follow the regular programme if some courses are not available for them However departmental approval will be required for these students to take any other courses outside the regular programme

Actuarial Science

- 6 -

BSc in Actuarial Science Programme (for students admitted in 2007-08 or thereafter)

Introductory Courses Advanced Courses Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming I 6 MATH1813 Mathematical Methods for 6 Actuarial Science ECON1001 Introduction to Economics I 6 ECON1002 Introduction to Economics II 6

Any 6-credit introductory course 6

(48 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 or 18 credits from two of the following

courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3319 Statistics Project 12 STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 or 60 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

SECTION II BSc(ActuarSc) Programmes on offer in 20072008

Actuarial Science

- 7 -

Actuarial Science

- 8 -

BSc in Actuarial Science Programme (for students admitted in 2006-07)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming I 6 MATH1813 Mathematical Methods for 6 Actuarial Science 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL0128 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1001 Fundamental Concepts 6 of Mathematics MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 9 -

Actuarial Science

- 10 -

BSc in Actuarial Science Programme (for students admitted in 2005-06)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 MATH1800 Elements of Discrete 6 Mathematics PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 11 -

Actuarial Science

- 12 -

BSc in Actuarial Science Programme (for students admitted in 2004-05)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 POLI1002 Fundamentals of Public 6 Administration POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 PSYC1002 How the Mind Works 6 Explorations in Basic Thinking Processes PSYC1003 Psychology and Life 6 Personality and Social Influence SOCI1001 Introduction to Sociology 6 SOCI1002 Discovering Society 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 12 credits from the following courses (List B) BUSI0011 Corporate Finance 6 BUSI0017 Financial Markets and 6 Institutions BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Corporate Finance 6 MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6 STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6 STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6 12 credits from the following courses (List C) STAT2306 Business Logistics 6 STAT2312 Data Mining 6 STAT3302 Multivariate Data Analysis 6 STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6 STAT3307 Project in Statistics 6 STAT3308 Financial Engineering 6 STAT3802 Advanced Contingencies 6 STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Elective courses

Any two courses from Business Economics and Finance (with BUSI0016 being equivalent to FINA1002 considered as an introductory level Finance course) 12

(12 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening

ECEN2802 Advanced Academic English 3 for Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses

Any advanced level course selected 12 from InterIntra Faculty Courses

(12 credits)

Actuarial Science

- 13 -

Actuarial Science

- 14 -

SECTION III Course Descriptions

BIOC1001 Basic Biochemistry (6 credits)

Course Co-ordinator Dr K F J Chan

Maximum class size 300

Aim This course is designed to present an overview of biochemistry and to provide an understanding of the basic mechanisms underlying life processes It is an independent course which can be taken by students from various disciplines The course also prepares students for further studies in Biochemistry and Molecular Biology

Contents structure and function of biomolecules enzymes and coenzymes basic bioenergetics carbohydrates pH and buffers lipids and nucleic acids separation and purification techniques some key metabolic processes amino acids and proteins some bioregulation mechanisms

Prerequisite AS Biology or AS Chemistry

Co-requisite Nil

Teaching 24 lectures tutorials may be scheduled

Duration One semester (1st semester)

Assessment One 2-hour written final examination (70 weighting) and one 1-hour mid-term written examination (30 weighting)

Textbook Nelson and Cox Lehninger Principles of Biochemistry (Freeman 2004 4th ed)

References Any other Biochemistry textbooks eg Berg Tymoczko and Stryer Biochemistry (Freeman 2007 6th ed)

BIOL0128 Biological Techniques Instrumentation and Data Processing (6 credits)

Course Co-ordinator Dr B K C Chow

Maximum class size ---

AimFollow-up This course is designed to provide students with a wide range of basic biological techniques principles of instruments and data processing Basic concepts in proteinDNA purification including precautions detection and verification of purified products are included The course is also opened to those who wish to take a major or a minor in Biology for General Science

Contents This laboratory-intensive course takes the student through most the major techniques in biological sciences including microscopy cell disruption cellular and subcellular fractionation precipitation centrifugation electrophoresis immunological detection of protein spectrophotometry chromatorgraphy DNA and protein sequence analysis

Prerequisites HKCEE Biology or equivalent

Co-requisite Nil

Teaching 24 lectures and 8 x 3-hours laboratory sessions

Duration One semester (1st semester)

Assessment One 2-hour written examination (80 weighting) and continuous assessment (20 weighting)

TextbooksReferences A short list of reading material on selected topics will be provided during the course

Actuarial Science

- 15 -

BUSI1002 Introduction to Accounting (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course will cover the principles of double entry book-keeping the interpretation of financial statements the issues raised by corporate regulation and the use of management information for decision making

Prerequisite or Co-requisite

Teaching

Duration

Assessment

TextbookReferences

BUSI0019 Intermediate Accounting I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course provides an in-depth knowledge of the first part of financial accounting It covers the environment of financial accounting and the development of accounting standards conceptual framework underlying financial accounting statement of income and retained earnings balance sheet accounting and the time value of money cash and receivables valuation of inventories acquisition and disposition of property plant and equipment depreciation and depletion intangible assets current liabilities and contingencies long-term liabilities temporary investments and long-term investments and revenue recognition

Prerequisites

BUSI1002 Introduction to Accounting

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 16 -

BUSI0020 Intermediate Accounting II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides an in-depth knowledge of the second part of financial accounting It covers stockholdersrsquo equity dilutive securities and earnings per share calculations accounting for income taxes accounting for pensions and postretirement benefits accounting for leases accounting changes and error analysis statements of cash flows basic financial statement analysis and full disclosure in financial reporting

Prerequisites

BUSI0019 Intermediate Accounting I

Co-requisite

Teaching

Duration

Assessment

References

CHEM1406 Basic Organic Chemistry (6 credits)

Course Co-ordinator Dr P Toy

Maximum class size 150

Aim To educate the student in the terminology methodology and problem solving skills appropriate to the study of carbon based molecules in both their academic and practical applications This course is a pre-requisite for CHEM2402 Intermediate Organic Chemistry

Contents The course includes chemistry of alkanes alkenes and alkynes stereochemistry nucleophilic substitutions elimination reactions addition reactions radical reactions and chemistry of alcohols and ethers

Prerequisite AL or AS Chemistry

Co-requisite CHEM2510 is preferred

Teaching 24 lectures 5 tutorials and 5 times 4 hours laboratory

Duration One semester (1st semester)

Assessment One 2-hour written examination (70 weighting) and coursework (30 weighting)

TextbooksReferences McMurry J Organic Chemistry (Brooks Cole 2004 6th ed) John W Lehman Operational Organic Chemistry (Prentice Hall 1999 3rd ed)

CHEM1401 and CHEM1406 are mutually exclusive Students who are taking or have taken any one of the courses CHEM1301 CHEM1406 CHEM1502 and CHEM1506 cannot

take CHEM1001 Not for students who have taken both CHEM1401

Actuarial Science

- 17 -

CSCI0001 Practical Chinese Language Course for Science Students (3 credits)

Course Co-ordinator Mr K W Wong Maximum class size --- AimContents 1 Practical Chinese Writing Skills 實用中文寫作技巧

a Classical and modern Chinese 文言與白話 b The Chinese language characteristics and usage 漢語特性和語文運用 c Basic grammar of modern Chinese 現代漢語基礎語法 2 Chinese Characters 漢字 a Traditional characters 傳統漢字 b Simplified characters 簡化字 c Variant forms 異體字 3 Letter-writing 書信 a Business letter writing techniques 商務書信寫作技巧 b Official letter writing techniques 公務書信寫作技巧 4 Office Documents 辦公室文書 a Notices and announcements 啟事及通告 b Proposals 建議書 c Minutes and reports of meetings 會議文書 5 Chinese for Special Purposes 專業中文 a Reader-based scientifictechnical writings 讀者為本的科技性專業文案 b Styles and rhetoric of scientifictechnical writings 科技性專業文案的風格與修辭技巧 6 Presentation and Communication Techniques 表達與溝通技巧 a Communication and presentation techniques 演講技巧及演講辭的撰寫 b Discussion and the art of persuasion 討論與說服技巧

Prerequisite Nil Co-requisite Nil Teaching One class-contact hour per week for 13 weeks Duration One semester (1st semester) Assessment One 2-hour examination (50 weighting) plus coursework including 4 assignments (50 weighting) This course is compulsory for all BSc students

CSIS1117 Computer Programming I (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The goal of this course is for students to learn the general principles of programming including how to design implement document test and debug programs

Prerequisite Nil

Teaching

Duration

Assessment One three-hour written examination (50 weighting) and coursework (50 weighting)

TextbookReferences

Actuarial Science

- 18 -

ECEN1801 Academic English for Science Students

(3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To build confidence in the use of English for writing and speaking about science The focus is on 1 Writing an essay which meets the requirements of good academic writing in particular making

appropriate use of published sources and avoiding plagiarism 2 Speaking in an organized and coherent manner

Prerequisite Nil

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (1st semester)

Assessment Assessment is wholly by coursework

This course is compulsory for all BSc students

ECEN2802 Advanced English for Science Students (3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To develop a sense of audience awareness in writing to develop spontaneous speaking skills and to individualise language learning The focus is on 1 Writing a short article for one of a range of web journals each with a different audience and topic

focus (individual choice) 2 Spontaneous (ie unrehearsed) discussion through participation in speaking workshops and one-to-

one discussions 3 Developing independent language learning skills to help students address their individual language

problems and focus on their future language needs

Prerequisite ECEN1801

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (2nd semester)

Assessment Assessment is by coursework and an examination

This course is compulsory for all BSc students

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

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Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

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Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

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Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

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Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

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Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

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Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

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Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

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Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

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AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

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AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 5: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 4 -

Available in Semester offered in 2007-08

Examination held in 2007-08 Course

Code Course name Credits Prerequisite Co- requisite

2007-2008

2008-2009

1 = 1st sem 2 = 2nd sem 0 = year long

Dec May

STAT3306 Selected Topics in Statistics 6 STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Nil 2 ---

STAT3307 Project in Statistics 6 STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Nil 0 100 CA

STAT3308 Financial Engineering 6 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 for students admitted in 2004-05 or before or

2 STAT2315 for students admitted in 2005-06 or thereafter

Nil 1 ---

STAT3316 Advanced Probability 6 STAT2303 or STAT2803 or similar level courses in probability theory

Nil 1 ---

STAT3319 Statistics Project 12 STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Nil --- ---

STAT3801 Advanced Life Contingencies 6 Students taking or having taken STAT2801

Nil 2 ---

STAT3802 Advanced Contingencies 6 STAT3801 Nil 1 ---STAT3806 Investment and Asset Management 6 STAT3801 or (STAT2802

for students admitted in or before the academic year 2003-04)

Nil 2 ---

STAT3807 Fundamentals of Actuarial Practice 6 STAT3801 Nil 1 ---

STAT3809 Current Topics in Actuarial Science

6 STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Nil 2 ---

STAT3810 Risk Theory 6 (Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Nil 2 ---

STAT3811 Survival Analysis 6 (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Nil 2 ---

STAT3812 Stochastic Calculus with Financial Applications

6 STAT2303 or STAT2803 or MATH2603 or STAT0103

Nil 2 ---

Actuarial Science

- 5 -

Special arrangements for students who take on 6-month full time internships (Subject to departmental approval the same arrangements will apply to those who take on internships of a similar nature) In order to let final year students who take on 6-month full time internship to finish their degree with only one more semester of study the department makes the following special arrangement

1 Students who take on at least 6 months internships can take STAT2813 to earn 6 credits which can be used to replace any core course

2 Such students can take STAT3806 and STAT3807 as reading courses if these courses are not available after they come back from internships and before they complete their degree For the reading courses the assessment will be based on 80 written report and 20 oral presentation

3 Such students need not follow the regular programme if some courses are not available for them However departmental approval will be required for these students to take any other courses outside the regular programme

Actuarial Science

- 6 -

BSc in Actuarial Science Programme (for students admitted in 2007-08 or thereafter)

Introductory Courses Advanced Courses Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming I 6 MATH1813 Mathematical Methods for 6 Actuarial Science ECON1001 Introduction to Economics I 6 ECON1002 Introduction to Economics II 6

Any 6-credit introductory course 6

(48 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 or 18 credits from two of the following

courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3319 Statistics Project 12 STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 or 60 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

SECTION II BSc(ActuarSc) Programmes on offer in 20072008

Actuarial Science

- 7 -

Actuarial Science

- 8 -

BSc in Actuarial Science Programme (for students admitted in 2006-07)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming I 6 MATH1813 Mathematical Methods for 6 Actuarial Science 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL0128 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1001 Fundamental Concepts 6 of Mathematics MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 9 -

Actuarial Science

- 10 -

BSc in Actuarial Science Programme (for students admitted in 2005-06)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 MATH1800 Elements of Discrete 6 Mathematics PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 11 -

Actuarial Science

- 12 -

BSc in Actuarial Science Programme (for students admitted in 2004-05)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 POLI1002 Fundamentals of Public 6 Administration POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 PSYC1002 How the Mind Works 6 Explorations in Basic Thinking Processes PSYC1003 Psychology and Life 6 Personality and Social Influence SOCI1001 Introduction to Sociology 6 SOCI1002 Discovering Society 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 12 credits from the following courses (List B) BUSI0011 Corporate Finance 6 BUSI0017 Financial Markets and 6 Institutions BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Corporate Finance 6 MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6 STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6 STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6 12 credits from the following courses (List C) STAT2306 Business Logistics 6 STAT2312 Data Mining 6 STAT3302 Multivariate Data Analysis 6 STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6 STAT3307 Project in Statistics 6 STAT3308 Financial Engineering 6 STAT3802 Advanced Contingencies 6 STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Elective courses

Any two courses from Business Economics and Finance (with BUSI0016 being equivalent to FINA1002 considered as an introductory level Finance course) 12

(12 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening

ECEN2802 Advanced Academic English 3 for Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses

Any advanced level course selected 12 from InterIntra Faculty Courses

(12 credits)

Actuarial Science

- 13 -

Actuarial Science

- 14 -

SECTION III Course Descriptions

BIOC1001 Basic Biochemistry (6 credits)

Course Co-ordinator Dr K F J Chan

Maximum class size 300

Aim This course is designed to present an overview of biochemistry and to provide an understanding of the basic mechanisms underlying life processes It is an independent course which can be taken by students from various disciplines The course also prepares students for further studies in Biochemistry and Molecular Biology

Contents structure and function of biomolecules enzymes and coenzymes basic bioenergetics carbohydrates pH and buffers lipids and nucleic acids separation and purification techniques some key metabolic processes amino acids and proteins some bioregulation mechanisms

Prerequisite AS Biology or AS Chemistry

Co-requisite Nil

Teaching 24 lectures tutorials may be scheduled

Duration One semester (1st semester)

Assessment One 2-hour written final examination (70 weighting) and one 1-hour mid-term written examination (30 weighting)

Textbook Nelson and Cox Lehninger Principles of Biochemistry (Freeman 2004 4th ed)

References Any other Biochemistry textbooks eg Berg Tymoczko and Stryer Biochemistry (Freeman 2007 6th ed)

BIOL0128 Biological Techniques Instrumentation and Data Processing (6 credits)

Course Co-ordinator Dr B K C Chow

Maximum class size ---

AimFollow-up This course is designed to provide students with a wide range of basic biological techniques principles of instruments and data processing Basic concepts in proteinDNA purification including precautions detection and verification of purified products are included The course is also opened to those who wish to take a major or a minor in Biology for General Science

Contents This laboratory-intensive course takes the student through most the major techniques in biological sciences including microscopy cell disruption cellular and subcellular fractionation precipitation centrifugation electrophoresis immunological detection of protein spectrophotometry chromatorgraphy DNA and protein sequence analysis

Prerequisites HKCEE Biology or equivalent

Co-requisite Nil

Teaching 24 lectures and 8 x 3-hours laboratory sessions

Duration One semester (1st semester)

Assessment One 2-hour written examination (80 weighting) and continuous assessment (20 weighting)

TextbooksReferences A short list of reading material on selected topics will be provided during the course

Actuarial Science

- 15 -

BUSI1002 Introduction to Accounting (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course will cover the principles of double entry book-keeping the interpretation of financial statements the issues raised by corporate regulation and the use of management information for decision making

Prerequisite or Co-requisite

Teaching

Duration

Assessment

TextbookReferences

BUSI0019 Intermediate Accounting I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course provides an in-depth knowledge of the first part of financial accounting It covers the environment of financial accounting and the development of accounting standards conceptual framework underlying financial accounting statement of income and retained earnings balance sheet accounting and the time value of money cash and receivables valuation of inventories acquisition and disposition of property plant and equipment depreciation and depletion intangible assets current liabilities and contingencies long-term liabilities temporary investments and long-term investments and revenue recognition

Prerequisites

BUSI1002 Introduction to Accounting

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 16 -

BUSI0020 Intermediate Accounting II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides an in-depth knowledge of the second part of financial accounting It covers stockholdersrsquo equity dilutive securities and earnings per share calculations accounting for income taxes accounting for pensions and postretirement benefits accounting for leases accounting changes and error analysis statements of cash flows basic financial statement analysis and full disclosure in financial reporting

Prerequisites

BUSI0019 Intermediate Accounting I

Co-requisite

Teaching

Duration

Assessment

References

CHEM1406 Basic Organic Chemistry (6 credits)

Course Co-ordinator Dr P Toy

Maximum class size 150

Aim To educate the student in the terminology methodology and problem solving skills appropriate to the study of carbon based molecules in both their academic and practical applications This course is a pre-requisite for CHEM2402 Intermediate Organic Chemistry

Contents The course includes chemistry of alkanes alkenes and alkynes stereochemistry nucleophilic substitutions elimination reactions addition reactions radical reactions and chemistry of alcohols and ethers

Prerequisite AL or AS Chemistry

Co-requisite CHEM2510 is preferred

Teaching 24 lectures 5 tutorials and 5 times 4 hours laboratory

Duration One semester (1st semester)

Assessment One 2-hour written examination (70 weighting) and coursework (30 weighting)

TextbooksReferences McMurry J Organic Chemistry (Brooks Cole 2004 6th ed) John W Lehman Operational Organic Chemistry (Prentice Hall 1999 3rd ed)

CHEM1401 and CHEM1406 are mutually exclusive Students who are taking or have taken any one of the courses CHEM1301 CHEM1406 CHEM1502 and CHEM1506 cannot

take CHEM1001 Not for students who have taken both CHEM1401

Actuarial Science

- 17 -

CSCI0001 Practical Chinese Language Course for Science Students (3 credits)

Course Co-ordinator Mr K W Wong Maximum class size --- AimContents 1 Practical Chinese Writing Skills 實用中文寫作技巧

a Classical and modern Chinese 文言與白話 b The Chinese language characteristics and usage 漢語特性和語文運用 c Basic grammar of modern Chinese 現代漢語基礎語法 2 Chinese Characters 漢字 a Traditional characters 傳統漢字 b Simplified characters 簡化字 c Variant forms 異體字 3 Letter-writing 書信 a Business letter writing techniques 商務書信寫作技巧 b Official letter writing techniques 公務書信寫作技巧 4 Office Documents 辦公室文書 a Notices and announcements 啟事及通告 b Proposals 建議書 c Minutes and reports of meetings 會議文書 5 Chinese for Special Purposes 專業中文 a Reader-based scientifictechnical writings 讀者為本的科技性專業文案 b Styles and rhetoric of scientifictechnical writings 科技性專業文案的風格與修辭技巧 6 Presentation and Communication Techniques 表達與溝通技巧 a Communication and presentation techniques 演講技巧及演講辭的撰寫 b Discussion and the art of persuasion 討論與說服技巧

Prerequisite Nil Co-requisite Nil Teaching One class-contact hour per week for 13 weeks Duration One semester (1st semester) Assessment One 2-hour examination (50 weighting) plus coursework including 4 assignments (50 weighting) This course is compulsory for all BSc students

CSIS1117 Computer Programming I (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The goal of this course is for students to learn the general principles of programming including how to design implement document test and debug programs

Prerequisite Nil

Teaching

Duration

Assessment One three-hour written examination (50 weighting) and coursework (50 weighting)

TextbookReferences

Actuarial Science

- 18 -

ECEN1801 Academic English for Science Students

(3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To build confidence in the use of English for writing and speaking about science The focus is on 1 Writing an essay which meets the requirements of good academic writing in particular making

appropriate use of published sources and avoiding plagiarism 2 Speaking in an organized and coherent manner

Prerequisite Nil

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (1st semester)

Assessment Assessment is wholly by coursework

This course is compulsory for all BSc students

ECEN2802 Advanced English for Science Students (3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To develop a sense of audience awareness in writing to develop spontaneous speaking skills and to individualise language learning The focus is on 1 Writing a short article for one of a range of web journals each with a different audience and topic

focus (individual choice) 2 Spontaneous (ie unrehearsed) discussion through participation in speaking workshops and one-to-

one discussions 3 Developing independent language learning skills to help students address their individual language

problems and focus on their future language needs

Prerequisite ECEN1801

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (2nd semester)

Assessment Assessment is by coursework and an examination

This course is compulsory for all BSc students

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 6: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 5 -

Special arrangements for students who take on 6-month full time internships (Subject to departmental approval the same arrangements will apply to those who take on internships of a similar nature) In order to let final year students who take on 6-month full time internship to finish their degree with only one more semester of study the department makes the following special arrangement

1 Students who take on at least 6 months internships can take STAT2813 to earn 6 credits which can be used to replace any core course

2 Such students can take STAT3806 and STAT3807 as reading courses if these courses are not available after they come back from internships and before they complete their degree For the reading courses the assessment will be based on 80 written report and 20 oral presentation

3 Such students need not follow the regular programme if some courses are not available for them However departmental approval will be required for these students to take any other courses outside the regular programme

Actuarial Science

- 6 -

BSc in Actuarial Science Programme (for students admitted in 2007-08 or thereafter)

Introductory Courses Advanced Courses Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming I 6 MATH1813 Mathematical Methods for 6 Actuarial Science ECON1001 Introduction to Economics I 6 ECON1002 Introduction to Economics II 6

Any 6-credit introductory course 6

(48 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 or 18 credits from two of the following

courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3319 Statistics Project 12 STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 or 60 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

SECTION II BSc(ActuarSc) Programmes on offer in 20072008

Actuarial Science

- 7 -

Actuarial Science

- 8 -

BSc in Actuarial Science Programme (for students admitted in 2006-07)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming I 6 MATH1813 Mathematical Methods for 6 Actuarial Science 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL0128 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1001 Fundamental Concepts 6 of Mathematics MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 9 -

Actuarial Science

- 10 -

BSc in Actuarial Science Programme (for students admitted in 2005-06)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 MATH1800 Elements of Discrete 6 Mathematics PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 11 -

Actuarial Science

- 12 -

BSc in Actuarial Science Programme (for students admitted in 2004-05)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 POLI1002 Fundamentals of Public 6 Administration POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 PSYC1002 How the Mind Works 6 Explorations in Basic Thinking Processes PSYC1003 Psychology and Life 6 Personality and Social Influence SOCI1001 Introduction to Sociology 6 SOCI1002 Discovering Society 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 12 credits from the following courses (List B) BUSI0011 Corporate Finance 6 BUSI0017 Financial Markets and 6 Institutions BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Corporate Finance 6 MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6 STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6 STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6 12 credits from the following courses (List C) STAT2306 Business Logistics 6 STAT2312 Data Mining 6 STAT3302 Multivariate Data Analysis 6 STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6 STAT3307 Project in Statistics 6 STAT3308 Financial Engineering 6 STAT3802 Advanced Contingencies 6 STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Elective courses

Any two courses from Business Economics and Finance (with BUSI0016 being equivalent to FINA1002 considered as an introductory level Finance course) 12

(12 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening

ECEN2802 Advanced Academic English 3 for Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses

Any advanced level course selected 12 from InterIntra Faculty Courses

(12 credits)

Actuarial Science

- 13 -

Actuarial Science

- 14 -

SECTION III Course Descriptions

BIOC1001 Basic Biochemistry (6 credits)

Course Co-ordinator Dr K F J Chan

Maximum class size 300

Aim This course is designed to present an overview of biochemistry and to provide an understanding of the basic mechanisms underlying life processes It is an independent course which can be taken by students from various disciplines The course also prepares students for further studies in Biochemistry and Molecular Biology

Contents structure and function of biomolecules enzymes and coenzymes basic bioenergetics carbohydrates pH and buffers lipids and nucleic acids separation and purification techniques some key metabolic processes amino acids and proteins some bioregulation mechanisms

Prerequisite AS Biology or AS Chemistry

Co-requisite Nil

Teaching 24 lectures tutorials may be scheduled

Duration One semester (1st semester)

Assessment One 2-hour written final examination (70 weighting) and one 1-hour mid-term written examination (30 weighting)

Textbook Nelson and Cox Lehninger Principles of Biochemistry (Freeman 2004 4th ed)

References Any other Biochemistry textbooks eg Berg Tymoczko and Stryer Biochemistry (Freeman 2007 6th ed)

BIOL0128 Biological Techniques Instrumentation and Data Processing (6 credits)

Course Co-ordinator Dr B K C Chow

Maximum class size ---

AimFollow-up This course is designed to provide students with a wide range of basic biological techniques principles of instruments and data processing Basic concepts in proteinDNA purification including precautions detection and verification of purified products are included The course is also opened to those who wish to take a major or a minor in Biology for General Science

Contents This laboratory-intensive course takes the student through most the major techniques in biological sciences including microscopy cell disruption cellular and subcellular fractionation precipitation centrifugation electrophoresis immunological detection of protein spectrophotometry chromatorgraphy DNA and protein sequence analysis

Prerequisites HKCEE Biology or equivalent

Co-requisite Nil

Teaching 24 lectures and 8 x 3-hours laboratory sessions

Duration One semester (1st semester)

Assessment One 2-hour written examination (80 weighting) and continuous assessment (20 weighting)

TextbooksReferences A short list of reading material on selected topics will be provided during the course

Actuarial Science

- 15 -

BUSI1002 Introduction to Accounting (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course will cover the principles of double entry book-keeping the interpretation of financial statements the issues raised by corporate regulation and the use of management information for decision making

Prerequisite or Co-requisite

Teaching

Duration

Assessment

TextbookReferences

BUSI0019 Intermediate Accounting I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course provides an in-depth knowledge of the first part of financial accounting It covers the environment of financial accounting and the development of accounting standards conceptual framework underlying financial accounting statement of income and retained earnings balance sheet accounting and the time value of money cash and receivables valuation of inventories acquisition and disposition of property plant and equipment depreciation and depletion intangible assets current liabilities and contingencies long-term liabilities temporary investments and long-term investments and revenue recognition

Prerequisites

BUSI1002 Introduction to Accounting

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 16 -

BUSI0020 Intermediate Accounting II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides an in-depth knowledge of the second part of financial accounting It covers stockholdersrsquo equity dilutive securities and earnings per share calculations accounting for income taxes accounting for pensions and postretirement benefits accounting for leases accounting changes and error analysis statements of cash flows basic financial statement analysis and full disclosure in financial reporting

Prerequisites

BUSI0019 Intermediate Accounting I

Co-requisite

Teaching

Duration

Assessment

References

CHEM1406 Basic Organic Chemistry (6 credits)

Course Co-ordinator Dr P Toy

Maximum class size 150

Aim To educate the student in the terminology methodology and problem solving skills appropriate to the study of carbon based molecules in both their academic and practical applications This course is a pre-requisite for CHEM2402 Intermediate Organic Chemistry

Contents The course includes chemistry of alkanes alkenes and alkynes stereochemistry nucleophilic substitutions elimination reactions addition reactions radical reactions and chemistry of alcohols and ethers

Prerequisite AL or AS Chemistry

Co-requisite CHEM2510 is preferred

Teaching 24 lectures 5 tutorials and 5 times 4 hours laboratory

Duration One semester (1st semester)

Assessment One 2-hour written examination (70 weighting) and coursework (30 weighting)

TextbooksReferences McMurry J Organic Chemistry (Brooks Cole 2004 6th ed) John W Lehman Operational Organic Chemistry (Prentice Hall 1999 3rd ed)

CHEM1401 and CHEM1406 are mutually exclusive Students who are taking or have taken any one of the courses CHEM1301 CHEM1406 CHEM1502 and CHEM1506 cannot

take CHEM1001 Not for students who have taken both CHEM1401

Actuarial Science

- 17 -

CSCI0001 Practical Chinese Language Course for Science Students (3 credits)

Course Co-ordinator Mr K W Wong Maximum class size --- AimContents 1 Practical Chinese Writing Skills 實用中文寫作技巧

a Classical and modern Chinese 文言與白話 b The Chinese language characteristics and usage 漢語特性和語文運用 c Basic grammar of modern Chinese 現代漢語基礎語法 2 Chinese Characters 漢字 a Traditional characters 傳統漢字 b Simplified characters 簡化字 c Variant forms 異體字 3 Letter-writing 書信 a Business letter writing techniques 商務書信寫作技巧 b Official letter writing techniques 公務書信寫作技巧 4 Office Documents 辦公室文書 a Notices and announcements 啟事及通告 b Proposals 建議書 c Minutes and reports of meetings 會議文書 5 Chinese for Special Purposes 專業中文 a Reader-based scientifictechnical writings 讀者為本的科技性專業文案 b Styles and rhetoric of scientifictechnical writings 科技性專業文案的風格與修辭技巧 6 Presentation and Communication Techniques 表達與溝通技巧 a Communication and presentation techniques 演講技巧及演講辭的撰寫 b Discussion and the art of persuasion 討論與說服技巧

Prerequisite Nil Co-requisite Nil Teaching One class-contact hour per week for 13 weeks Duration One semester (1st semester) Assessment One 2-hour examination (50 weighting) plus coursework including 4 assignments (50 weighting) This course is compulsory for all BSc students

CSIS1117 Computer Programming I (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The goal of this course is for students to learn the general principles of programming including how to design implement document test and debug programs

Prerequisite Nil

Teaching

Duration

Assessment One three-hour written examination (50 weighting) and coursework (50 weighting)

TextbookReferences

Actuarial Science

- 18 -

ECEN1801 Academic English for Science Students

(3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To build confidence in the use of English for writing and speaking about science The focus is on 1 Writing an essay which meets the requirements of good academic writing in particular making

appropriate use of published sources and avoiding plagiarism 2 Speaking in an organized and coherent manner

Prerequisite Nil

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (1st semester)

Assessment Assessment is wholly by coursework

This course is compulsory for all BSc students

ECEN2802 Advanced English for Science Students (3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To develop a sense of audience awareness in writing to develop spontaneous speaking skills and to individualise language learning The focus is on 1 Writing a short article for one of a range of web journals each with a different audience and topic

focus (individual choice) 2 Spontaneous (ie unrehearsed) discussion through participation in speaking workshops and one-to-

one discussions 3 Developing independent language learning skills to help students address their individual language

problems and focus on their future language needs

Prerequisite ECEN1801

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (2nd semester)

Assessment Assessment is by coursework and an examination

This course is compulsory for all BSc students

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

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Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 7: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 6 -

BSc in Actuarial Science Programme (for students admitted in 2007-08 or thereafter)

Introductory Courses Advanced Courses Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming I 6 MATH1813 Mathematical Methods for 6 Actuarial Science ECON1001 Introduction to Economics I 6 ECON1002 Introduction to Economics II 6

Any 6-credit introductory course 6

(48 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 or 18 credits from two of the following

courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3319 Statistics Project 12 STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 or 60 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

SECTION II BSc(ActuarSc) Programmes on offer in 20072008

Actuarial Science

- 7 -

Actuarial Science

- 8 -

BSc in Actuarial Science Programme (for students admitted in 2006-07)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming I 6 MATH1813 Mathematical Methods for 6 Actuarial Science 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL0128 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1001 Fundamental Concepts 6 of Mathematics MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 9 -

Actuarial Science

- 10 -

BSc in Actuarial Science Programme (for students admitted in 2005-06)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 MATH1800 Elements of Discrete 6 Mathematics PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 11 -

Actuarial Science

- 12 -

BSc in Actuarial Science Programme (for students admitted in 2004-05)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 POLI1002 Fundamentals of Public 6 Administration POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 PSYC1002 How the Mind Works 6 Explorations in Basic Thinking Processes PSYC1003 Psychology and Life 6 Personality and Social Influence SOCI1001 Introduction to Sociology 6 SOCI1002 Discovering Society 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 12 credits from the following courses (List B) BUSI0011 Corporate Finance 6 BUSI0017 Financial Markets and 6 Institutions BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Corporate Finance 6 MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6 STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6 STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6 12 credits from the following courses (List C) STAT2306 Business Logistics 6 STAT2312 Data Mining 6 STAT3302 Multivariate Data Analysis 6 STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6 STAT3307 Project in Statistics 6 STAT3308 Financial Engineering 6 STAT3802 Advanced Contingencies 6 STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Elective courses

Any two courses from Business Economics and Finance (with BUSI0016 being equivalent to FINA1002 considered as an introductory level Finance course) 12

(12 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening

ECEN2802 Advanced Academic English 3 for Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses

Any advanced level course selected 12 from InterIntra Faculty Courses

(12 credits)

Actuarial Science

- 13 -

Actuarial Science

- 14 -

SECTION III Course Descriptions

BIOC1001 Basic Biochemistry (6 credits)

Course Co-ordinator Dr K F J Chan

Maximum class size 300

Aim This course is designed to present an overview of biochemistry and to provide an understanding of the basic mechanisms underlying life processes It is an independent course which can be taken by students from various disciplines The course also prepares students for further studies in Biochemistry and Molecular Biology

Contents structure and function of biomolecules enzymes and coenzymes basic bioenergetics carbohydrates pH and buffers lipids and nucleic acids separation and purification techniques some key metabolic processes amino acids and proteins some bioregulation mechanisms

Prerequisite AS Biology or AS Chemistry

Co-requisite Nil

Teaching 24 lectures tutorials may be scheduled

Duration One semester (1st semester)

Assessment One 2-hour written final examination (70 weighting) and one 1-hour mid-term written examination (30 weighting)

Textbook Nelson and Cox Lehninger Principles of Biochemistry (Freeman 2004 4th ed)

References Any other Biochemistry textbooks eg Berg Tymoczko and Stryer Biochemistry (Freeman 2007 6th ed)

BIOL0128 Biological Techniques Instrumentation and Data Processing (6 credits)

Course Co-ordinator Dr B K C Chow

Maximum class size ---

AimFollow-up This course is designed to provide students with a wide range of basic biological techniques principles of instruments and data processing Basic concepts in proteinDNA purification including precautions detection and verification of purified products are included The course is also opened to those who wish to take a major or a minor in Biology for General Science

Contents This laboratory-intensive course takes the student through most the major techniques in biological sciences including microscopy cell disruption cellular and subcellular fractionation precipitation centrifugation electrophoresis immunological detection of protein spectrophotometry chromatorgraphy DNA and protein sequence analysis

Prerequisites HKCEE Biology or equivalent

Co-requisite Nil

Teaching 24 lectures and 8 x 3-hours laboratory sessions

Duration One semester (1st semester)

Assessment One 2-hour written examination (80 weighting) and continuous assessment (20 weighting)

TextbooksReferences A short list of reading material on selected topics will be provided during the course

Actuarial Science

- 15 -

BUSI1002 Introduction to Accounting (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course will cover the principles of double entry book-keeping the interpretation of financial statements the issues raised by corporate regulation and the use of management information for decision making

Prerequisite or Co-requisite

Teaching

Duration

Assessment

TextbookReferences

BUSI0019 Intermediate Accounting I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course provides an in-depth knowledge of the first part of financial accounting It covers the environment of financial accounting and the development of accounting standards conceptual framework underlying financial accounting statement of income and retained earnings balance sheet accounting and the time value of money cash and receivables valuation of inventories acquisition and disposition of property plant and equipment depreciation and depletion intangible assets current liabilities and contingencies long-term liabilities temporary investments and long-term investments and revenue recognition

Prerequisites

BUSI1002 Introduction to Accounting

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 16 -

BUSI0020 Intermediate Accounting II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides an in-depth knowledge of the second part of financial accounting It covers stockholdersrsquo equity dilutive securities and earnings per share calculations accounting for income taxes accounting for pensions and postretirement benefits accounting for leases accounting changes and error analysis statements of cash flows basic financial statement analysis and full disclosure in financial reporting

Prerequisites

BUSI0019 Intermediate Accounting I

Co-requisite

Teaching

Duration

Assessment

References

CHEM1406 Basic Organic Chemistry (6 credits)

Course Co-ordinator Dr P Toy

Maximum class size 150

Aim To educate the student in the terminology methodology and problem solving skills appropriate to the study of carbon based molecules in both their academic and practical applications This course is a pre-requisite for CHEM2402 Intermediate Organic Chemistry

Contents The course includes chemistry of alkanes alkenes and alkynes stereochemistry nucleophilic substitutions elimination reactions addition reactions radical reactions and chemistry of alcohols and ethers

Prerequisite AL or AS Chemistry

Co-requisite CHEM2510 is preferred

Teaching 24 lectures 5 tutorials and 5 times 4 hours laboratory

Duration One semester (1st semester)

Assessment One 2-hour written examination (70 weighting) and coursework (30 weighting)

TextbooksReferences McMurry J Organic Chemistry (Brooks Cole 2004 6th ed) John W Lehman Operational Organic Chemistry (Prentice Hall 1999 3rd ed)

CHEM1401 and CHEM1406 are mutually exclusive Students who are taking or have taken any one of the courses CHEM1301 CHEM1406 CHEM1502 and CHEM1506 cannot

take CHEM1001 Not for students who have taken both CHEM1401

Actuarial Science

- 17 -

CSCI0001 Practical Chinese Language Course for Science Students (3 credits)

Course Co-ordinator Mr K W Wong Maximum class size --- AimContents 1 Practical Chinese Writing Skills 實用中文寫作技巧

a Classical and modern Chinese 文言與白話 b The Chinese language characteristics and usage 漢語特性和語文運用 c Basic grammar of modern Chinese 現代漢語基礎語法 2 Chinese Characters 漢字 a Traditional characters 傳統漢字 b Simplified characters 簡化字 c Variant forms 異體字 3 Letter-writing 書信 a Business letter writing techniques 商務書信寫作技巧 b Official letter writing techniques 公務書信寫作技巧 4 Office Documents 辦公室文書 a Notices and announcements 啟事及通告 b Proposals 建議書 c Minutes and reports of meetings 會議文書 5 Chinese for Special Purposes 專業中文 a Reader-based scientifictechnical writings 讀者為本的科技性專業文案 b Styles and rhetoric of scientifictechnical writings 科技性專業文案的風格與修辭技巧 6 Presentation and Communication Techniques 表達與溝通技巧 a Communication and presentation techniques 演講技巧及演講辭的撰寫 b Discussion and the art of persuasion 討論與說服技巧

Prerequisite Nil Co-requisite Nil Teaching One class-contact hour per week for 13 weeks Duration One semester (1st semester) Assessment One 2-hour examination (50 weighting) plus coursework including 4 assignments (50 weighting) This course is compulsory for all BSc students

CSIS1117 Computer Programming I (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The goal of this course is for students to learn the general principles of programming including how to design implement document test and debug programs

Prerequisite Nil

Teaching

Duration

Assessment One three-hour written examination (50 weighting) and coursework (50 weighting)

TextbookReferences

Actuarial Science

- 18 -

ECEN1801 Academic English for Science Students

(3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To build confidence in the use of English for writing and speaking about science The focus is on 1 Writing an essay which meets the requirements of good academic writing in particular making

appropriate use of published sources and avoiding plagiarism 2 Speaking in an organized and coherent manner

Prerequisite Nil

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (1st semester)

Assessment Assessment is wholly by coursework

This course is compulsory for all BSc students

ECEN2802 Advanced English for Science Students (3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To develop a sense of audience awareness in writing to develop spontaneous speaking skills and to individualise language learning The focus is on 1 Writing a short article for one of a range of web journals each with a different audience and topic

focus (individual choice) 2 Spontaneous (ie unrehearsed) discussion through participation in speaking workshops and one-to-

one discussions 3 Developing independent language learning skills to help students address their individual language

problems and focus on their future language needs

Prerequisite ECEN1801

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (2nd semester)

Assessment Assessment is by coursework and an examination

This course is compulsory for all BSc students

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 8: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 7 -

Actuarial Science

- 8 -

BSc in Actuarial Science Programme (for students admitted in 2006-07)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming I 6 MATH1813 Mathematical Methods for 6 Actuarial Science 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL0128 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1001 Fundamental Concepts 6 of Mathematics MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 9 -

Actuarial Science

- 10 -

BSc in Actuarial Science Programme (for students admitted in 2005-06)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 MATH1800 Elements of Discrete 6 Mathematics PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 11 -

Actuarial Science

- 12 -

BSc in Actuarial Science Programme (for students admitted in 2004-05)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 POLI1002 Fundamentals of Public 6 Administration POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 PSYC1002 How the Mind Works 6 Explorations in Basic Thinking Processes PSYC1003 Psychology and Life 6 Personality and Social Influence SOCI1001 Introduction to Sociology 6 SOCI1002 Discovering Society 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 12 credits from the following courses (List B) BUSI0011 Corporate Finance 6 BUSI0017 Financial Markets and 6 Institutions BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Corporate Finance 6 MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6 STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6 STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6 12 credits from the following courses (List C) STAT2306 Business Logistics 6 STAT2312 Data Mining 6 STAT3302 Multivariate Data Analysis 6 STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6 STAT3307 Project in Statistics 6 STAT3308 Financial Engineering 6 STAT3802 Advanced Contingencies 6 STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Elective courses

Any two courses from Business Economics and Finance (with BUSI0016 being equivalent to FINA1002 considered as an introductory level Finance course) 12

(12 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening

ECEN2802 Advanced Academic English 3 for Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses

Any advanced level course selected 12 from InterIntra Faculty Courses

(12 credits)

Actuarial Science

- 13 -

Actuarial Science

- 14 -

SECTION III Course Descriptions

BIOC1001 Basic Biochemistry (6 credits)

Course Co-ordinator Dr K F J Chan

Maximum class size 300

Aim This course is designed to present an overview of biochemistry and to provide an understanding of the basic mechanisms underlying life processes It is an independent course which can be taken by students from various disciplines The course also prepares students for further studies in Biochemistry and Molecular Biology

Contents structure and function of biomolecules enzymes and coenzymes basic bioenergetics carbohydrates pH and buffers lipids and nucleic acids separation and purification techniques some key metabolic processes amino acids and proteins some bioregulation mechanisms

Prerequisite AS Biology or AS Chemistry

Co-requisite Nil

Teaching 24 lectures tutorials may be scheduled

Duration One semester (1st semester)

Assessment One 2-hour written final examination (70 weighting) and one 1-hour mid-term written examination (30 weighting)

Textbook Nelson and Cox Lehninger Principles of Biochemistry (Freeman 2004 4th ed)

References Any other Biochemistry textbooks eg Berg Tymoczko and Stryer Biochemistry (Freeman 2007 6th ed)

BIOL0128 Biological Techniques Instrumentation and Data Processing (6 credits)

Course Co-ordinator Dr B K C Chow

Maximum class size ---

AimFollow-up This course is designed to provide students with a wide range of basic biological techniques principles of instruments and data processing Basic concepts in proteinDNA purification including precautions detection and verification of purified products are included The course is also opened to those who wish to take a major or a minor in Biology for General Science

Contents This laboratory-intensive course takes the student through most the major techniques in biological sciences including microscopy cell disruption cellular and subcellular fractionation precipitation centrifugation electrophoresis immunological detection of protein spectrophotometry chromatorgraphy DNA and protein sequence analysis

Prerequisites HKCEE Biology or equivalent

Co-requisite Nil

Teaching 24 lectures and 8 x 3-hours laboratory sessions

Duration One semester (1st semester)

Assessment One 2-hour written examination (80 weighting) and continuous assessment (20 weighting)

TextbooksReferences A short list of reading material on selected topics will be provided during the course

Actuarial Science

- 15 -

BUSI1002 Introduction to Accounting (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course will cover the principles of double entry book-keeping the interpretation of financial statements the issues raised by corporate regulation and the use of management information for decision making

Prerequisite or Co-requisite

Teaching

Duration

Assessment

TextbookReferences

BUSI0019 Intermediate Accounting I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course provides an in-depth knowledge of the first part of financial accounting It covers the environment of financial accounting and the development of accounting standards conceptual framework underlying financial accounting statement of income and retained earnings balance sheet accounting and the time value of money cash and receivables valuation of inventories acquisition and disposition of property plant and equipment depreciation and depletion intangible assets current liabilities and contingencies long-term liabilities temporary investments and long-term investments and revenue recognition

Prerequisites

BUSI1002 Introduction to Accounting

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 16 -

BUSI0020 Intermediate Accounting II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides an in-depth knowledge of the second part of financial accounting It covers stockholdersrsquo equity dilutive securities and earnings per share calculations accounting for income taxes accounting for pensions and postretirement benefits accounting for leases accounting changes and error analysis statements of cash flows basic financial statement analysis and full disclosure in financial reporting

Prerequisites

BUSI0019 Intermediate Accounting I

Co-requisite

Teaching

Duration

Assessment

References

CHEM1406 Basic Organic Chemistry (6 credits)

Course Co-ordinator Dr P Toy

Maximum class size 150

Aim To educate the student in the terminology methodology and problem solving skills appropriate to the study of carbon based molecules in both their academic and practical applications This course is a pre-requisite for CHEM2402 Intermediate Organic Chemistry

Contents The course includes chemistry of alkanes alkenes and alkynes stereochemistry nucleophilic substitutions elimination reactions addition reactions radical reactions and chemistry of alcohols and ethers

Prerequisite AL or AS Chemistry

Co-requisite CHEM2510 is preferred

Teaching 24 lectures 5 tutorials and 5 times 4 hours laboratory

Duration One semester (1st semester)

Assessment One 2-hour written examination (70 weighting) and coursework (30 weighting)

TextbooksReferences McMurry J Organic Chemistry (Brooks Cole 2004 6th ed) John W Lehman Operational Organic Chemistry (Prentice Hall 1999 3rd ed)

CHEM1401 and CHEM1406 are mutually exclusive Students who are taking or have taken any one of the courses CHEM1301 CHEM1406 CHEM1502 and CHEM1506 cannot

take CHEM1001 Not for students who have taken both CHEM1401

Actuarial Science

- 17 -

CSCI0001 Practical Chinese Language Course for Science Students (3 credits)

Course Co-ordinator Mr K W Wong Maximum class size --- AimContents 1 Practical Chinese Writing Skills 實用中文寫作技巧

a Classical and modern Chinese 文言與白話 b The Chinese language characteristics and usage 漢語特性和語文運用 c Basic grammar of modern Chinese 現代漢語基礎語法 2 Chinese Characters 漢字 a Traditional characters 傳統漢字 b Simplified characters 簡化字 c Variant forms 異體字 3 Letter-writing 書信 a Business letter writing techniques 商務書信寫作技巧 b Official letter writing techniques 公務書信寫作技巧 4 Office Documents 辦公室文書 a Notices and announcements 啟事及通告 b Proposals 建議書 c Minutes and reports of meetings 會議文書 5 Chinese for Special Purposes 專業中文 a Reader-based scientifictechnical writings 讀者為本的科技性專業文案 b Styles and rhetoric of scientifictechnical writings 科技性專業文案的風格與修辭技巧 6 Presentation and Communication Techniques 表達與溝通技巧 a Communication and presentation techniques 演講技巧及演講辭的撰寫 b Discussion and the art of persuasion 討論與說服技巧

Prerequisite Nil Co-requisite Nil Teaching One class-contact hour per week for 13 weeks Duration One semester (1st semester) Assessment One 2-hour examination (50 weighting) plus coursework including 4 assignments (50 weighting) This course is compulsory for all BSc students

CSIS1117 Computer Programming I (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The goal of this course is for students to learn the general principles of programming including how to design implement document test and debug programs

Prerequisite Nil

Teaching

Duration

Assessment One three-hour written examination (50 weighting) and coursework (50 weighting)

TextbookReferences

Actuarial Science

- 18 -

ECEN1801 Academic English for Science Students

(3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To build confidence in the use of English for writing and speaking about science The focus is on 1 Writing an essay which meets the requirements of good academic writing in particular making

appropriate use of published sources and avoiding plagiarism 2 Speaking in an organized and coherent manner

Prerequisite Nil

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (1st semester)

Assessment Assessment is wholly by coursework

This course is compulsory for all BSc students

ECEN2802 Advanced English for Science Students (3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To develop a sense of audience awareness in writing to develop spontaneous speaking skills and to individualise language learning The focus is on 1 Writing a short article for one of a range of web journals each with a different audience and topic

focus (individual choice) 2 Spontaneous (ie unrehearsed) discussion through participation in speaking workshops and one-to-

one discussions 3 Developing independent language learning skills to help students address their individual language

problems and focus on their future language needs

Prerequisite ECEN1801

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (2nd semester)

Assessment Assessment is by coursework and an examination

This course is compulsory for all BSc students

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 9: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 8 -

BSc in Actuarial Science Programme (for students admitted in 2006-07)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming I 6 MATH1813 Mathematical Methods for 6 Actuarial Science 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL0128 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1001 Fundamental Concepts 6 of Mathematics MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 9 -

Actuarial Science

- 10 -

BSc in Actuarial Science Programme (for students admitted in 2005-06)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 MATH1800 Elements of Discrete 6 Mathematics PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 11 -

Actuarial Science

- 12 -

BSc in Actuarial Science Programme (for students admitted in 2004-05)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 POLI1002 Fundamentals of Public 6 Administration POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 PSYC1002 How the Mind Works 6 Explorations in Basic Thinking Processes PSYC1003 Psychology and Life 6 Personality and Social Influence SOCI1001 Introduction to Sociology 6 SOCI1002 Discovering Society 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 12 credits from the following courses (List B) BUSI0011 Corporate Finance 6 BUSI0017 Financial Markets and 6 Institutions BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Corporate Finance 6 MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6 STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6 STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6 12 credits from the following courses (List C) STAT2306 Business Logistics 6 STAT2312 Data Mining 6 STAT3302 Multivariate Data Analysis 6 STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6 STAT3307 Project in Statistics 6 STAT3308 Financial Engineering 6 STAT3802 Advanced Contingencies 6 STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Elective courses

Any two courses from Business Economics and Finance (with BUSI0016 being equivalent to FINA1002 considered as an introductory level Finance course) 12

(12 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening

ECEN2802 Advanced Academic English 3 for Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses

Any advanced level course selected 12 from InterIntra Faculty Courses

(12 credits)

Actuarial Science

- 13 -

Actuarial Science

- 14 -

SECTION III Course Descriptions

BIOC1001 Basic Biochemistry (6 credits)

Course Co-ordinator Dr K F J Chan

Maximum class size 300

Aim This course is designed to present an overview of biochemistry and to provide an understanding of the basic mechanisms underlying life processes It is an independent course which can be taken by students from various disciplines The course also prepares students for further studies in Biochemistry and Molecular Biology

Contents structure and function of biomolecules enzymes and coenzymes basic bioenergetics carbohydrates pH and buffers lipids and nucleic acids separation and purification techniques some key metabolic processes amino acids and proteins some bioregulation mechanisms

Prerequisite AS Biology or AS Chemistry

Co-requisite Nil

Teaching 24 lectures tutorials may be scheduled

Duration One semester (1st semester)

Assessment One 2-hour written final examination (70 weighting) and one 1-hour mid-term written examination (30 weighting)

Textbook Nelson and Cox Lehninger Principles of Biochemistry (Freeman 2004 4th ed)

References Any other Biochemistry textbooks eg Berg Tymoczko and Stryer Biochemistry (Freeman 2007 6th ed)

BIOL0128 Biological Techniques Instrumentation and Data Processing (6 credits)

Course Co-ordinator Dr B K C Chow

Maximum class size ---

AimFollow-up This course is designed to provide students with a wide range of basic biological techniques principles of instruments and data processing Basic concepts in proteinDNA purification including precautions detection and verification of purified products are included The course is also opened to those who wish to take a major or a minor in Biology for General Science

Contents This laboratory-intensive course takes the student through most the major techniques in biological sciences including microscopy cell disruption cellular and subcellular fractionation precipitation centrifugation electrophoresis immunological detection of protein spectrophotometry chromatorgraphy DNA and protein sequence analysis

Prerequisites HKCEE Biology or equivalent

Co-requisite Nil

Teaching 24 lectures and 8 x 3-hours laboratory sessions

Duration One semester (1st semester)

Assessment One 2-hour written examination (80 weighting) and continuous assessment (20 weighting)

TextbooksReferences A short list of reading material on selected topics will be provided during the course

Actuarial Science

- 15 -

BUSI1002 Introduction to Accounting (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course will cover the principles of double entry book-keeping the interpretation of financial statements the issues raised by corporate regulation and the use of management information for decision making

Prerequisite or Co-requisite

Teaching

Duration

Assessment

TextbookReferences

BUSI0019 Intermediate Accounting I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course provides an in-depth knowledge of the first part of financial accounting It covers the environment of financial accounting and the development of accounting standards conceptual framework underlying financial accounting statement of income and retained earnings balance sheet accounting and the time value of money cash and receivables valuation of inventories acquisition and disposition of property plant and equipment depreciation and depletion intangible assets current liabilities and contingencies long-term liabilities temporary investments and long-term investments and revenue recognition

Prerequisites

BUSI1002 Introduction to Accounting

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 16 -

BUSI0020 Intermediate Accounting II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides an in-depth knowledge of the second part of financial accounting It covers stockholdersrsquo equity dilutive securities and earnings per share calculations accounting for income taxes accounting for pensions and postretirement benefits accounting for leases accounting changes and error analysis statements of cash flows basic financial statement analysis and full disclosure in financial reporting

Prerequisites

BUSI0019 Intermediate Accounting I

Co-requisite

Teaching

Duration

Assessment

References

CHEM1406 Basic Organic Chemistry (6 credits)

Course Co-ordinator Dr P Toy

Maximum class size 150

Aim To educate the student in the terminology methodology and problem solving skills appropriate to the study of carbon based molecules in both their academic and practical applications This course is a pre-requisite for CHEM2402 Intermediate Organic Chemistry

Contents The course includes chemistry of alkanes alkenes and alkynes stereochemistry nucleophilic substitutions elimination reactions addition reactions radical reactions and chemistry of alcohols and ethers

Prerequisite AL or AS Chemistry

Co-requisite CHEM2510 is preferred

Teaching 24 lectures 5 tutorials and 5 times 4 hours laboratory

Duration One semester (1st semester)

Assessment One 2-hour written examination (70 weighting) and coursework (30 weighting)

TextbooksReferences McMurry J Organic Chemistry (Brooks Cole 2004 6th ed) John W Lehman Operational Organic Chemistry (Prentice Hall 1999 3rd ed)

CHEM1401 and CHEM1406 are mutually exclusive Students who are taking or have taken any one of the courses CHEM1301 CHEM1406 CHEM1502 and CHEM1506 cannot

take CHEM1001 Not for students who have taken both CHEM1401

Actuarial Science

- 17 -

CSCI0001 Practical Chinese Language Course for Science Students (3 credits)

Course Co-ordinator Mr K W Wong Maximum class size --- AimContents 1 Practical Chinese Writing Skills 實用中文寫作技巧

a Classical and modern Chinese 文言與白話 b The Chinese language characteristics and usage 漢語特性和語文運用 c Basic grammar of modern Chinese 現代漢語基礎語法 2 Chinese Characters 漢字 a Traditional characters 傳統漢字 b Simplified characters 簡化字 c Variant forms 異體字 3 Letter-writing 書信 a Business letter writing techniques 商務書信寫作技巧 b Official letter writing techniques 公務書信寫作技巧 4 Office Documents 辦公室文書 a Notices and announcements 啟事及通告 b Proposals 建議書 c Minutes and reports of meetings 會議文書 5 Chinese for Special Purposes 專業中文 a Reader-based scientifictechnical writings 讀者為本的科技性專業文案 b Styles and rhetoric of scientifictechnical writings 科技性專業文案的風格與修辭技巧 6 Presentation and Communication Techniques 表達與溝通技巧 a Communication and presentation techniques 演講技巧及演講辭的撰寫 b Discussion and the art of persuasion 討論與說服技巧

Prerequisite Nil Co-requisite Nil Teaching One class-contact hour per week for 13 weeks Duration One semester (1st semester) Assessment One 2-hour examination (50 weighting) plus coursework including 4 assignments (50 weighting) This course is compulsory for all BSc students

CSIS1117 Computer Programming I (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The goal of this course is for students to learn the general principles of programming including how to design implement document test and debug programs

Prerequisite Nil

Teaching

Duration

Assessment One three-hour written examination (50 weighting) and coursework (50 weighting)

TextbookReferences

Actuarial Science

- 18 -

ECEN1801 Academic English for Science Students

(3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To build confidence in the use of English for writing and speaking about science The focus is on 1 Writing an essay which meets the requirements of good academic writing in particular making

appropriate use of published sources and avoiding plagiarism 2 Speaking in an organized and coherent manner

Prerequisite Nil

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (1st semester)

Assessment Assessment is wholly by coursework

This course is compulsory for all BSc students

ECEN2802 Advanced English for Science Students (3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To develop a sense of audience awareness in writing to develop spontaneous speaking skills and to individualise language learning The focus is on 1 Writing a short article for one of a range of web journals each with a different audience and topic

focus (individual choice) 2 Spontaneous (ie unrehearsed) discussion through participation in speaking workshops and one-to-

one discussions 3 Developing independent language learning skills to help students address their individual language

problems and focus on their future language needs

Prerequisite ECEN1801

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (2nd semester)

Assessment Assessment is by coursework and an examination

This course is compulsory for all BSc students

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 10: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 9 -

Actuarial Science

- 10 -

BSc in Actuarial Science Programme (for students admitted in 2005-06)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 MATH1800 Elements of Discrete 6 Mathematics PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 11 -

Actuarial Science

- 12 -

BSc in Actuarial Science Programme (for students admitted in 2004-05)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 POLI1002 Fundamentals of Public 6 Administration POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 PSYC1002 How the Mind Works 6 Explorations in Basic Thinking Processes PSYC1003 Psychology and Life 6 Personality and Social Influence SOCI1001 Introduction to Sociology 6 SOCI1002 Discovering Society 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 12 credits from the following courses (List B) BUSI0011 Corporate Finance 6 BUSI0017 Financial Markets and 6 Institutions BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Corporate Finance 6 MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6 STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6 STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6 12 credits from the following courses (List C) STAT2306 Business Logistics 6 STAT2312 Data Mining 6 STAT3302 Multivariate Data Analysis 6 STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6 STAT3307 Project in Statistics 6 STAT3308 Financial Engineering 6 STAT3802 Advanced Contingencies 6 STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Elective courses

Any two courses from Business Economics and Finance (with BUSI0016 being equivalent to FINA1002 considered as an introductory level Finance course) 12

(12 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening

ECEN2802 Advanced Academic English 3 for Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses

Any advanced level course selected 12 from InterIntra Faculty Courses

(12 credits)

Actuarial Science

- 13 -

Actuarial Science

- 14 -

SECTION III Course Descriptions

BIOC1001 Basic Biochemistry (6 credits)

Course Co-ordinator Dr K F J Chan

Maximum class size 300

Aim This course is designed to present an overview of biochemistry and to provide an understanding of the basic mechanisms underlying life processes It is an independent course which can be taken by students from various disciplines The course also prepares students for further studies in Biochemistry and Molecular Biology

Contents structure and function of biomolecules enzymes and coenzymes basic bioenergetics carbohydrates pH and buffers lipids and nucleic acids separation and purification techniques some key metabolic processes amino acids and proteins some bioregulation mechanisms

Prerequisite AS Biology or AS Chemistry

Co-requisite Nil

Teaching 24 lectures tutorials may be scheduled

Duration One semester (1st semester)

Assessment One 2-hour written final examination (70 weighting) and one 1-hour mid-term written examination (30 weighting)

Textbook Nelson and Cox Lehninger Principles of Biochemistry (Freeman 2004 4th ed)

References Any other Biochemistry textbooks eg Berg Tymoczko and Stryer Biochemistry (Freeman 2007 6th ed)

BIOL0128 Biological Techniques Instrumentation and Data Processing (6 credits)

Course Co-ordinator Dr B K C Chow

Maximum class size ---

AimFollow-up This course is designed to provide students with a wide range of basic biological techniques principles of instruments and data processing Basic concepts in proteinDNA purification including precautions detection and verification of purified products are included The course is also opened to those who wish to take a major or a minor in Biology for General Science

Contents This laboratory-intensive course takes the student through most the major techniques in biological sciences including microscopy cell disruption cellular and subcellular fractionation precipitation centrifugation electrophoresis immunological detection of protein spectrophotometry chromatorgraphy DNA and protein sequence analysis

Prerequisites HKCEE Biology or equivalent

Co-requisite Nil

Teaching 24 lectures and 8 x 3-hours laboratory sessions

Duration One semester (1st semester)

Assessment One 2-hour written examination (80 weighting) and continuous assessment (20 weighting)

TextbooksReferences A short list of reading material on selected topics will be provided during the course

Actuarial Science

- 15 -

BUSI1002 Introduction to Accounting (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course will cover the principles of double entry book-keeping the interpretation of financial statements the issues raised by corporate regulation and the use of management information for decision making

Prerequisite or Co-requisite

Teaching

Duration

Assessment

TextbookReferences

BUSI0019 Intermediate Accounting I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course provides an in-depth knowledge of the first part of financial accounting It covers the environment of financial accounting and the development of accounting standards conceptual framework underlying financial accounting statement of income and retained earnings balance sheet accounting and the time value of money cash and receivables valuation of inventories acquisition and disposition of property plant and equipment depreciation and depletion intangible assets current liabilities and contingencies long-term liabilities temporary investments and long-term investments and revenue recognition

Prerequisites

BUSI1002 Introduction to Accounting

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 16 -

BUSI0020 Intermediate Accounting II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides an in-depth knowledge of the second part of financial accounting It covers stockholdersrsquo equity dilutive securities and earnings per share calculations accounting for income taxes accounting for pensions and postretirement benefits accounting for leases accounting changes and error analysis statements of cash flows basic financial statement analysis and full disclosure in financial reporting

Prerequisites

BUSI0019 Intermediate Accounting I

Co-requisite

Teaching

Duration

Assessment

References

CHEM1406 Basic Organic Chemistry (6 credits)

Course Co-ordinator Dr P Toy

Maximum class size 150

Aim To educate the student in the terminology methodology and problem solving skills appropriate to the study of carbon based molecules in both their academic and practical applications This course is a pre-requisite for CHEM2402 Intermediate Organic Chemistry

Contents The course includes chemistry of alkanes alkenes and alkynes stereochemistry nucleophilic substitutions elimination reactions addition reactions radical reactions and chemistry of alcohols and ethers

Prerequisite AL or AS Chemistry

Co-requisite CHEM2510 is preferred

Teaching 24 lectures 5 tutorials and 5 times 4 hours laboratory

Duration One semester (1st semester)

Assessment One 2-hour written examination (70 weighting) and coursework (30 weighting)

TextbooksReferences McMurry J Organic Chemistry (Brooks Cole 2004 6th ed) John W Lehman Operational Organic Chemistry (Prentice Hall 1999 3rd ed)

CHEM1401 and CHEM1406 are mutually exclusive Students who are taking or have taken any one of the courses CHEM1301 CHEM1406 CHEM1502 and CHEM1506 cannot

take CHEM1001 Not for students who have taken both CHEM1401

Actuarial Science

- 17 -

CSCI0001 Practical Chinese Language Course for Science Students (3 credits)

Course Co-ordinator Mr K W Wong Maximum class size --- AimContents 1 Practical Chinese Writing Skills 實用中文寫作技巧

a Classical and modern Chinese 文言與白話 b The Chinese language characteristics and usage 漢語特性和語文運用 c Basic grammar of modern Chinese 現代漢語基礎語法 2 Chinese Characters 漢字 a Traditional characters 傳統漢字 b Simplified characters 簡化字 c Variant forms 異體字 3 Letter-writing 書信 a Business letter writing techniques 商務書信寫作技巧 b Official letter writing techniques 公務書信寫作技巧 4 Office Documents 辦公室文書 a Notices and announcements 啟事及通告 b Proposals 建議書 c Minutes and reports of meetings 會議文書 5 Chinese for Special Purposes 專業中文 a Reader-based scientifictechnical writings 讀者為本的科技性專業文案 b Styles and rhetoric of scientifictechnical writings 科技性專業文案的風格與修辭技巧 6 Presentation and Communication Techniques 表達與溝通技巧 a Communication and presentation techniques 演講技巧及演講辭的撰寫 b Discussion and the art of persuasion 討論與說服技巧

Prerequisite Nil Co-requisite Nil Teaching One class-contact hour per week for 13 weeks Duration One semester (1st semester) Assessment One 2-hour examination (50 weighting) plus coursework including 4 assignments (50 weighting) This course is compulsory for all BSc students

CSIS1117 Computer Programming I (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The goal of this course is for students to learn the general principles of programming including how to design implement document test and debug programs

Prerequisite Nil

Teaching

Duration

Assessment One three-hour written examination (50 weighting) and coursework (50 weighting)

TextbookReferences

Actuarial Science

- 18 -

ECEN1801 Academic English for Science Students

(3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To build confidence in the use of English for writing and speaking about science The focus is on 1 Writing an essay which meets the requirements of good academic writing in particular making

appropriate use of published sources and avoiding plagiarism 2 Speaking in an organized and coherent manner

Prerequisite Nil

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (1st semester)

Assessment Assessment is wholly by coursework

This course is compulsory for all BSc students

ECEN2802 Advanced English for Science Students (3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To develop a sense of audience awareness in writing to develop spontaneous speaking skills and to individualise language learning The focus is on 1 Writing a short article for one of a range of web journals each with a different audience and topic

focus (individual choice) 2 Spontaneous (ie unrehearsed) discussion through participation in speaking workshops and one-to-

one discussions 3 Developing independent language learning skills to help students address their individual language

problems and focus on their future language needs

Prerequisite ECEN1801

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (2nd semester)

Assessment Assessment is by coursework and an examination

This course is compulsory for all BSc students

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 11: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 10 -

BSc in Actuarial Science Programme (for students admitted in 2005-06)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 MATH1201 Calculus I 6 MATH1800 Elements of Discrete 6 Mathematics PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 PHYS1314 Modern Physics 6 POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 SOCI1001 Introduction to Sociology 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT2808 Derivatives Markets 6 STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6

12 credits from the following courses (List C) STAT2302 Statistical Inference 6STAT2306 Business Logistics 6STAT2312 Data Mining 6STAT3302 Multivariate Data Analysis 6STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6STAT3307 Project in Statistics 6STAT3802 Advanced Contingencies 6STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science STAT3316 Advanced Probability 6

6 credits from the following courses (List B) BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Theories of Corporate 6 Finance MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(54 credits)

Elective courses Any two courses from Business Economics 12 and Finance

(12 credits)

General Education Broadening CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening ECEN2802 Advanced English for 3 Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses Any advanced level course selected 6from InterIntra Faculty Courses

(6 credits)

Actuarial Science

- 11 -

Actuarial Science

- 12 -

BSc in Actuarial Science Programme (for students admitted in 2004-05)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 POLI1002 Fundamentals of Public 6 Administration POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 PSYC1002 How the Mind Works 6 Explorations in Basic Thinking Processes PSYC1003 Psychology and Life 6 Personality and Social Influence SOCI1001 Introduction to Sociology 6 SOCI1002 Discovering Society 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 12 credits from the following courses (List B) BUSI0011 Corporate Finance 6 BUSI0017 Financial Markets and 6 Institutions BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Corporate Finance 6 MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6 STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6 STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6 12 credits from the following courses (List C) STAT2306 Business Logistics 6 STAT2312 Data Mining 6 STAT3302 Multivariate Data Analysis 6 STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6 STAT3307 Project in Statistics 6 STAT3308 Financial Engineering 6 STAT3802 Advanced Contingencies 6 STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Elective courses

Any two courses from Business Economics and Finance (with BUSI0016 being equivalent to FINA1002 considered as an introductory level Finance course) 12

(12 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening

ECEN2802 Advanced Academic English 3 for Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses

Any advanced level course selected 12 from InterIntra Faculty Courses

(12 credits)

Actuarial Science

- 13 -

Actuarial Science

- 14 -

SECTION III Course Descriptions

BIOC1001 Basic Biochemistry (6 credits)

Course Co-ordinator Dr K F J Chan

Maximum class size 300

Aim This course is designed to present an overview of biochemistry and to provide an understanding of the basic mechanisms underlying life processes It is an independent course which can be taken by students from various disciplines The course also prepares students for further studies in Biochemistry and Molecular Biology

Contents structure and function of biomolecules enzymes and coenzymes basic bioenergetics carbohydrates pH and buffers lipids and nucleic acids separation and purification techniques some key metabolic processes amino acids and proteins some bioregulation mechanisms

Prerequisite AS Biology or AS Chemistry

Co-requisite Nil

Teaching 24 lectures tutorials may be scheduled

Duration One semester (1st semester)

Assessment One 2-hour written final examination (70 weighting) and one 1-hour mid-term written examination (30 weighting)

Textbook Nelson and Cox Lehninger Principles of Biochemistry (Freeman 2004 4th ed)

References Any other Biochemistry textbooks eg Berg Tymoczko and Stryer Biochemistry (Freeman 2007 6th ed)

BIOL0128 Biological Techniques Instrumentation and Data Processing (6 credits)

Course Co-ordinator Dr B K C Chow

Maximum class size ---

AimFollow-up This course is designed to provide students with a wide range of basic biological techniques principles of instruments and data processing Basic concepts in proteinDNA purification including precautions detection and verification of purified products are included The course is also opened to those who wish to take a major or a minor in Biology for General Science

Contents This laboratory-intensive course takes the student through most the major techniques in biological sciences including microscopy cell disruption cellular and subcellular fractionation precipitation centrifugation electrophoresis immunological detection of protein spectrophotometry chromatorgraphy DNA and protein sequence analysis

Prerequisites HKCEE Biology or equivalent

Co-requisite Nil

Teaching 24 lectures and 8 x 3-hours laboratory sessions

Duration One semester (1st semester)

Assessment One 2-hour written examination (80 weighting) and continuous assessment (20 weighting)

TextbooksReferences A short list of reading material on selected topics will be provided during the course

Actuarial Science

- 15 -

BUSI1002 Introduction to Accounting (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course will cover the principles of double entry book-keeping the interpretation of financial statements the issues raised by corporate regulation and the use of management information for decision making

Prerequisite or Co-requisite

Teaching

Duration

Assessment

TextbookReferences

BUSI0019 Intermediate Accounting I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course provides an in-depth knowledge of the first part of financial accounting It covers the environment of financial accounting and the development of accounting standards conceptual framework underlying financial accounting statement of income and retained earnings balance sheet accounting and the time value of money cash and receivables valuation of inventories acquisition and disposition of property plant and equipment depreciation and depletion intangible assets current liabilities and contingencies long-term liabilities temporary investments and long-term investments and revenue recognition

Prerequisites

BUSI1002 Introduction to Accounting

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 16 -

BUSI0020 Intermediate Accounting II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides an in-depth knowledge of the second part of financial accounting It covers stockholdersrsquo equity dilutive securities and earnings per share calculations accounting for income taxes accounting for pensions and postretirement benefits accounting for leases accounting changes and error analysis statements of cash flows basic financial statement analysis and full disclosure in financial reporting

Prerequisites

BUSI0019 Intermediate Accounting I

Co-requisite

Teaching

Duration

Assessment

References

CHEM1406 Basic Organic Chemistry (6 credits)

Course Co-ordinator Dr P Toy

Maximum class size 150

Aim To educate the student in the terminology methodology and problem solving skills appropriate to the study of carbon based molecules in both their academic and practical applications This course is a pre-requisite for CHEM2402 Intermediate Organic Chemistry

Contents The course includes chemistry of alkanes alkenes and alkynes stereochemistry nucleophilic substitutions elimination reactions addition reactions radical reactions and chemistry of alcohols and ethers

Prerequisite AL or AS Chemistry

Co-requisite CHEM2510 is preferred

Teaching 24 lectures 5 tutorials and 5 times 4 hours laboratory

Duration One semester (1st semester)

Assessment One 2-hour written examination (70 weighting) and coursework (30 weighting)

TextbooksReferences McMurry J Organic Chemistry (Brooks Cole 2004 6th ed) John W Lehman Operational Organic Chemistry (Prentice Hall 1999 3rd ed)

CHEM1401 and CHEM1406 are mutually exclusive Students who are taking or have taken any one of the courses CHEM1301 CHEM1406 CHEM1502 and CHEM1506 cannot

take CHEM1001 Not for students who have taken both CHEM1401

Actuarial Science

- 17 -

CSCI0001 Practical Chinese Language Course for Science Students (3 credits)

Course Co-ordinator Mr K W Wong Maximum class size --- AimContents 1 Practical Chinese Writing Skills 實用中文寫作技巧

a Classical and modern Chinese 文言與白話 b The Chinese language characteristics and usage 漢語特性和語文運用 c Basic grammar of modern Chinese 現代漢語基礎語法 2 Chinese Characters 漢字 a Traditional characters 傳統漢字 b Simplified characters 簡化字 c Variant forms 異體字 3 Letter-writing 書信 a Business letter writing techniques 商務書信寫作技巧 b Official letter writing techniques 公務書信寫作技巧 4 Office Documents 辦公室文書 a Notices and announcements 啟事及通告 b Proposals 建議書 c Minutes and reports of meetings 會議文書 5 Chinese for Special Purposes 專業中文 a Reader-based scientifictechnical writings 讀者為本的科技性專業文案 b Styles and rhetoric of scientifictechnical writings 科技性專業文案的風格與修辭技巧 6 Presentation and Communication Techniques 表達與溝通技巧 a Communication and presentation techniques 演講技巧及演講辭的撰寫 b Discussion and the art of persuasion 討論與說服技巧

Prerequisite Nil Co-requisite Nil Teaching One class-contact hour per week for 13 weeks Duration One semester (1st semester) Assessment One 2-hour examination (50 weighting) plus coursework including 4 assignments (50 weighting) This course is compulsory for all BSc students

CSIS1117 Computer Programming I (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The goal of this course is for students to learn the general principles of programming including how to design implement document test and debug programs

Prerequisite Nil

Teaching

Duration

Assessment One three-hour written examination (50 weighting) and coursework (50 weighting)

TextbookReferences

Actuarial Science

- 18 -

ECEN1801 Academic English for Science Students

(3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To build confidence in the use of English for writing and speaking about science The focus is on 1 Writing an essay which meets the requirements of good academic writing in particular making

appropriate use of published sources and avoiding plagiarism 2 Speaking in an organized and coherent manner

Prerequisite Nil

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (1st semester)

Assessment Assessment is wholly by coursework

This course is compulsory for all BSc students

ECEN2802 Advanced English for Science Students (3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To develop a sense of audience awareness in writing to develop spontaneous speaking skills and to individualise language learning The focus is on 1 Writing a short article for one of a range of web journals each with a different audience and topic

focus (individual choice) 2 Spontaneous (ie unrehearsed) discussion through participation in speaking workshops and one-to-

one discussions 3 Developing independent language learning skills to help students address their individual language

problems and focus on their future language needs

Prerequisite ECEN1801

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (2nd semester)

Assessment Assessment is by coursework and an examination

This course is compulsory for all BSc students

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 12: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 11 -

Actuarial Science

- 12 -

BSc in Actuarial Science Programme (for students admitted in 2004-05)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 POLI1002 Fundamentals of Public 6 Administration POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 PSYC1002 How the Mind Works 6 Explorations in Basic Thinking Processes PSYC1003 Psychology and Life 6 Personality and Social Influence SOCI1001 Introduction to Sociology 6 SOCI1002 Discovering Society 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 12 credits from the following courses (List B) BUSI0011 Corporate Finance 6 BUSI0017 Financial Markets and 6 Institutions BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Corporate Finance 6 MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6 STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6 STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6 12 credits from the following courses (List C) STAT2306 Business Logistics 6 STAT2312 Data Mining 6 STAT3302 Multivariate Data Analysis 6 STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6 STAT3307 Project in Statistics 6 STAT3308 Financial Engineering 6 STAT3802 Advanced Contingencies 6 STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Elective courses

Any two courses from Business Economics and Finance (with BUSI0016 being equivalent to FINA1002 considered as an introductory level Finance course) 12

(12 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening

ECEN2802 Advanced Academic English 3 for Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses

Any advanced level course selected 12 from InterIntra Faculty Courses

(12 credits)

Actuarial Science

- 13 -

Actuarial Science

- 14 -

SECTION III Course Descriptions

BIOC1001 Basic Biochemistry (6 credits)

Course Co-ordinator Dr K F J Chan

Maximum class size 300

Aim This course is designed to present an overview of biochemistry and to provide an understanding of the basic mechanisms underlying life processes It is an independent course which can be taken by students from various disciplines The course also prepares students for further studies in Biochemistry and Molecular Biology

Contents structure and function of biomolecules enzymes and coenzymes basic bioenergetics carbohydrates pH and buffers lipids and nucleic acids separation and purification techniques some key metabolic processes amino acids and proteins some bioregulation mechanisms

Prerequisite AS Biology or AS Chemistry

Co-requisite Nil

Teaching 24 lectures tutorials may be scheduled

Duration One semester (1st semester)

Assessment One 2-hour written final examination (70 weighting) and one 1-hour mid-term written examination (30 weighting)

Textbook Nelson and Cox Lehninger Principles of Biochemistry (Freeman 2004 4th ed)

References Any other Biochemistry textbooks eg Berg Tymoczko and Stryer Biochemistry (Freeman 2007 6th ed)

BIOL0128 Biological Techniques Instrumentation and Data Processing (6 credits)

Course Co-ordinator Dr B K C Chow

Maximum class size ---

AimFollow-up This course is designed to provide students with a wide range of basic biological techniques principles of instruments and data processing Basic concepts in proteinDNA purification including precautions detection and verification of purified products are included The course is also opened to those who wish to take a major or a minor in Biology for General Science

Contents This laboratory-intensive course takes the student through most the major techniques in biological sciences including microscopy cell disruption cellular and subcellular fractionation precipitation centrifugation electrophoresis immunological detection of protein spectrophotometry chromatorgraphy DNA and protein sequence analysis

Prerequisites HKCEE Biology or equivalent

Co-requisite Nil

Teaching 24 lectures and 8 x 3-hours laboratory sessions

Duration One semester (1st semester)

Assessment One 2-hour written examination (80 weighting) and continuous assessment (20 weighting)

TextbooksReferences A short list of reading material on selected topics will be provided during the course

Actuarial Science

- 15 -

BUSI1002 Introduction to Accounting (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course will cover the principles of double entry book-keeping the interpretation of financial statements the issues raised by corporate regulation and the use of management information for decision making

Prerequisite or Co-requisite

Teaching

Duration

Assessment

TextbookReferences

BUSI0019 Intermediate Accounting I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course provides an in-depth knowledge of the first part of financial accounting It covers the environment of financial accounting and the development of accounting standards conceptual framework underlying financial accounting statement of income and retained earnings balance sheet accounting and the time value of money cash and receivables valuation of inventories acquisition and disposition of property plant and equipment depreciation and depletion intangible assets current liabilities and contingencies long-term liabilities temporary investments and long-term investments and revenue recognition

Prerequisites

BUSI1002 Introduction to Accounting

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 16 -

BUSI0020 Intermediate Accounting II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides an in-depth knowledge of the second part of financial accounting It covers stockholdersrsquo equity dilutive securities and earnings per share calculations accounting for income taxes accounting for pensions and postretirement benefits accounting for leases accounting changes and error analysis statements of cash flows basic financial statement analysis and full disclosure in financial reporting

Prerequisites

BUSI0019 Intermediate Accounting I

Co-requisite

Teaching

Duration

Assessment

References

CHEM1406 Basic Organic Chemistry (6 credits)

Course Co-ordinator Dr P Toy

Maximum class size 150

Aim To educate the student in the terminology methodology and problem solving skills appropriate to the study of carbon based molecules in both their academic and practical applications This course is a pre-requisite for CHEM2402 Intermediate Organic Chemistry

Contents The course includes chemistry of alkanes alkenes and alkynes stereochemistry nucleophilic substitutions elimination reactions addition reactions radical reactions and chemistry of alcohols and ethers

Prerequisite AL or AS Chemistry

Co-requisite CHEM2510 is preferred

Teaching 24 lectures 5 tutorials and 5 times 4 hours laboratory

Duration One semester (1st semester)

Assessment One 2-hour written examination (70 weighting) and coursework (30 weighting)

TextbooksReferences McMurry J Organic Chemistry (Brooks Cole 2004 6th ed) John W Lehman Operational Organic Chemistry (Prentice Hall 1999 3rd ed)

CHEM1401 and CHEM1406 are mutually exclusive Students who are taking or have taken any one of the courses CHEM1301 CHEM1406 CHEM1502 and CHEM1506 cannot

take CHEM1001 Not for students who have taken both CHEM1401

Actuarial Science

- 17 -

CSCI0001 Practical Chinese Language Course for Science Students (3 credits)

Course Co-ordinator Mr K W Wong Maximum class size --- AimContents 1 Practical Chinese Writing Skills 實用中文寫作技巧

a Classical and modern Chinese 文言與白話 b The Chinese language characteristics and usage 漢語特性和語文運用 c Basic grammar of modern Chinese 現代漢語基礎語法 2 Chinese Characters 漢字 a Traditional characters 傳統漢字 b Simplified characters 簡化字 c Variant forms 異體字 3 Letter-writing 書信 a Business letter writing techniques 商務書信寫作技巧 b Official letter writing techniques 公務書信寫作技巧 4 Office Documents 辦公室文書 a Notices and announcements 啟事及通告 b Proposals 建議書 c Minutes and reports of meetings 會議文書 5 Chinese for Special Purposes 專業中文 a Reader-based scientifictechnical writings 讀者為本的科技性專業文案 b Styles and rhetoric of scientifictechnical writings 科技性專業文案的風格與修辭技巧 6 Presentation and Communication Techniques 表達與溝通技巧 a Communication and presentation techniques 演講技巧及演講辭的撰寫 b Discussion and the art of persuasion 討論與說服技巧

Prerequisite Nil Co-requisite Nil Teaching One class-contact hour per week for 13 weeks Duration One semester (1st semester) Assessment One 2-hour examination (50 weighting) plus coursework including 4 assignments (50 weighting) This course is compulsory for all BSc students

CSIS1117 Computer Programming I (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The goal of this course is for students to learn the general principles of programming including how to design implement document test and debug programs

Prerequisite Nil

Teaching

Duration

Assessment One three-hour written examination (50 weighting) and coursework (50 weighting)

TextbookReferences

Actuarial Science

- 18 -

ECEN1801 Academic English for Science Students

(3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To build confidence in the use of English for writing and speaking about science The focus is on 1 Writing an essay which meets the requirements of good academic writing in particular making

appropriate use of published sources and avoiding plagiarism 2 Speaking in an organized and coherent manner

Prerequisite Nil

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (1st semester)

Assessment Assessment is wholly by coursework

This course is compulsory for all BSc students

ECEN2802 Advanced English for Science Students (3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To develop a sense of audience awareness in writing to develop spontaneous speaking skills and to individualise language learning The focus is on 1 Writing a short article for one of a range of web journals each with a different audience and topic

focus (individual choice) 2 Spontaneous (ie unrehearsed) discussion through participation in speaking workshops and one-to-

one discussions 3 Developing independent language learning skills to help students address their individual language

problems and focus on their future language needs

Prerequisite ECEN1801

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (2nd semester)

Assessment Assessment is by coursework and an examination

This course is compulsory for all BSc students

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 13: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 12 -

BSc in Actuarial Science Programme (for students admitted in 2004-05)

Introductory Courses Advanced Courses

Year I Year II Year III

Core courses STAT1801 Probability and Statistics 6 Foundations of Actuarial Science STAT1802 Financial Mathematics 6 BUSI1002 Introduction to Accounting 6 CSIS1117 Computer Programming 6 MATH1803 Basic Mathematics III 6 6 credits from the following courses (List A) BIOC1001 Basic Biochemistry 6 BIOL1104 Biological Techniques 6 Instrumentation and Data Processing CHEM1301 Basic Inorganic Chemistry 6 CHEM1406 Basic Organic Chemistry 6 MATH1101 Linear Algebra I 6 PHYS1111 Introduction to Mechanics 6 PHYS1112 Electricity and Magnetism 6 PHYS1113 Heat Light and Waves 6 POLI1002 Fundamentals of Public 6 Administration POLI1003 Making Sense of Politics 6 PSYC1001 Introduction to Psychology 6 PSYC1002 How the Mind Works 6 Explorations in Basic Thinking Processes PSYC1003 Psychology and Life 6 Personality and Social Influence SOCI1001 Introduction to Sociology 6 SOCI1002 Discovering Society 6 SOCI1003 Introduction to Anthropology 6 SOWK1001 Introduction to Social 6 Administration SOWK1003 Introduction to Social 6 Welfare Any other course approved by the Department of Statistics and Actuarial Science

(36 credits)

Core courses STAT2801 Life Contingencies 6 STAT2802 Statistical Models 6 STAT2803 Stochastic Models 6 STAT2804 Linear Models and 6 Forecasting STAT3801 Advanced Life 6 Contingencies STAT3810 Risk Theory 6 12 credits from the following courses (List B) BUSI0011 Corporate Finance 6 BUSI0017 Financial Markets and 6 Institutions BUSI0019 Intermediate Accounting I 6 BUSI0020 Intermediate Accounting II 6 ECON2101 Microeconomic Theory 6 ECON2102 Macroeconomic Theory 6 ECON2113 Microeconomic Analysis 6 ECON2114 Macroeconomic Analysis 6 FINA0102 Financial Markets and 6 Institutions FINA0302 Corporate Finance 6 MATH2303 Matrix Theory and Its 6 Applications MATH2601 Numerical Analysis 6 STAT2807 Corporate Finance for 6 Actuarial Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Core courses STAT2805 Credibility Theory and 6 Loss Distributions STAT2806 Financial Economics 6 STAT3806 Investment and Asset 6 Management STAT3811 Survival Analysis 6 STAT3812 Stochastic Calculus with 6 Financial Applications STAT3305 Financial Data Analysis 6 12 credits from the following courses (List C) STAT2306 Business Logistics 6 STAT2312 Data Mining 6 STAT3302 Multivariate Data Analysis 6 STAT3304 Computer-aided Statistical 6 Modelling STAT3306 Selected Topics in Statistics 6 STAT3307 Project in Statistics 6 STAT3308 Financial Engineering 6 STAT3802 Advanced Contingencies 6 STAT3807 Fundamentals of Actuarial 6 Practice STAT3809 Current Topics in Actuarial 6 Science Any other course approved by the Department of Statistics and Actuarial Science

(48 credits)

Elective courses

Any two courses from Business Economics and Finance (with BUSI0016 being equivalent to FINA1002 considered as an introductory level Finance course) 12

(12 credits)

General Education Broadening

CSCI0001 Practical Chinese Language 3 Course for Science Students ECEN1801 Academic English for 3 Science Students 6 credits of any Broadening Course 6

(12 credits)

General Education Broadening

ECEN2802 Advanced Academic English 3 for Science Students One 3-credit course selected from 3 ldquoHumanities and Social Sciences studiesrdquo One 3-credit course selected from 3 ldquoCulture and Value Studiesrdquo or any Inter-faculty Electives Course outside BSC(ActuarSc) Syllabus At least 3 credits of any other Broadening 3 Course

(12 credits)

Elective courses

Any advanced level course selected 12 from InterIntra Faculty Courses

(12 credits)

Actuarial Science

- 13 -

Actuarial Science

- 14 -

SECTION III Course Descriptions

BIOC1001 Basic Biochemistry (6 credits)

Course Co-ordinator Dr K F J Chan

Maximum class size 300

Aim This course is designed to present an overview of biochemistry and to provide an understanding of the basic mechanisms underlying life processes It is an independent course which can be taken by students from various disciplines The course also prepares students for further studies in Biochemistry and Molecular Biology

Contents structure and function of biomolecules enzymes and coenzymes basic bioenergetics carbohydrates pH and buffers lipids and nucleic acids separation and purification techniques some key metabolic processes amino acids and proteins some bioregulation mechanisms

Prerequisite AS Biology or AS Chemistry

Co-requisite Nil

Teaching 24 lectures tutorials may be scheduled

Duration One semester (1st semester)

Assessment One 2-hour written final examination (70 weighting) and one 1-hour mid-term written examination (30 weighting)

Textbook Nelson and Cox Lehninger Principles of Biochemistry (Freeman 2004 4th ed)

References Any other Biochemistry textbooks eg Berg Tymoczko and Stryer Biochemistry (Freeman 2007 6th ed)

BIOL0128 Biological Techniques Instrumentation and Data Processing (6 credits)

Course Co-ordinator Dr B K C Chow

Maximum class size ---

AimFollow-up This course is designed to provide students with a wide range of basic biological techniques principles of instruments and data processing Basic concepts in proteinDNA purification including precautions detection and verification of purified products are included The course is also opened to those who wish to take a major or a minor in Biology for General Science

Contents This laboratory-intensive course takes the student through most the major techniques in biological sciences including microscopy cell disruption cellular and subcellular fractionation precipitation centrifugation electrophoresis immunological detection of protein spectrophotometry chromatorgraphy DNA and protein sequence analysis

Prerequisites HKCEE Biology or equivalent

Co-requisite Nil

Teaching 24 lectures and 8 x 3-hours laboratory sessions

Duration One semester (1st semester)

Assessment One 2-hour written examination (80 weighting) and continuous assessment (20 weighting)

TextbooksReferences A short list of reading material on selected topics will be provided during the course

Actuarial Science

- 15 -

BUSI1002 Introduction to Accounting (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course will cover the principles of double entry book-keeping the interpretation of financial statements the issues raised by corporate regulation and the use of management information for decision making

Prerequisite or Co-requisite

Teaching

Duration

Assessment

TextbookReferences

BUSI0019 Intermediate Accounting I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course provides an in-depth knowledge of the first part of financial accounting It covers the environment of financial accounting and the development of accounting standards conceptual framework underlying financial accounting statement of income and retained earnings balance sheet accounting and the time value of money cash and receivables valuation of inventories acquisition and disposition of property plant and equipment depreciation and depletion intangible assets current liabilities and contingencies long-term liabilities temporary investments and long-term investments and revenue recognition

Prerequisites

BUSI1002 Introduction to Accounting

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 16 -

BUSI0020 Intermediate Accounting II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides an in-depth knowledge of the second part of financial accounting It covers stockholdersrsquo equity dilutive securities and earnings per share calculations accounting for income taxes accounting for pensions and postretirement benefits accounting for leases accounting changes and error analysis statements of cash flows basic financial statement analysis and full disclosure in financial reporting

Prerequisites

BUSI0019 Intermediate Accounting I

Co-requisite

Teaching

Duration

Assessment

References

CHEM1406 Basic Organic Chemistry (6 credits)

Course Co-ordinator Dr P Toy

Maximum class size 150

Aim To educate the student in the terminology methodology and problem solving skills appropriate to the study of carbon based molecules in both their academic and practical applications This course is a pre-requisite for CHEM2402 Intermediate Organic Chemistry

Contents The course includes chemistry of alkanes alkenes and alkynes stereochemistry nucleophilic substitutions elimination reactions addition reactions radical reactions and chemistry of alcohols and ethers

Prerequisite AL or AS Chemistry

Co-requisite CHEM2510 is preferred

Teaching 24 lectures 5 tutorials and 5 times 4 hours laboratory

Duration One semester (1st semester)

Assessment One 2-hour written examination (70 weighting) and coursework (30 weighting)

TextbooksReferences McMurry J Organic Chemistry (Brooks Cole 2004 6th ed) John W Lehman Operational Organic Chemistry (Prentice Hall 1999 3rd ed)

CHEM1401 and CHEM1406 are mutually exclusive Students who are taking or have taken any one of the courses CHEM1301 CHEM1406 CHEM1502 and CHEM1506 cannot

take CHEM1001 Not for students who have taken both CHEM1401

Actuarial Science

- 17 -

CSCI0001 Practical Chinese Language Course for Science Students (3 credits)

Course Co-ordinator Mr K W Wong Maximum class size --- AimContents 1 Practical Chinese Writing Skills 實用中文寫作技巧

a Classical and modern Chinese 文言與白話 b The Chinese language characteristics and usage 漢語特性和語文運用 c Basic grammar of modern Chinese 現代漢語基礎語法 2 Chinese Characters 漢字 a Traditional characters 傳統漢字 b Simplified characters 簡化字 c Variant forms 異體字 3 Letter-writing 書信 a Business letter writing techniques 商務書信寫作技巧 b Official letter writing techniques 公務書信寫作技巧 4 Office Documents 辦公室文書 a Notices and announcements 啟事及通告 b Proposals 建議書 c Minutes and reports of meetings 會議文書 5 Chinese for Special Purposes 專業中文 a Reader-based scientifictechnical writings 讀者為本的科技性專業文案 b Styles and rhetoric of scientifictechnical writings 科技性專業文案的風格與修辭技巧 6 Presentation and Communication Techniques 表達與溝通技巧 a Communication and presentation techniques 演講技巧及演講辭的撰寫 b Discussion and the art of persuasion 討論與說服技巧

Prerequisite Nil Co-requisite Nil Teaching One class-contact hour per week for 13 weeks Duration One semester (1st semester) Assessment One 2-hour examination (50 weighting) plus coursework including 4 assignments (50 weighting) This course is compulsory for all BSc students

CSIS1117 Computer Programming I (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The goal of this course is for students to learn the general principles of programming including how to design implement document test and debug programs

Prerequisite Nil

Teaching

Duration

Assessment One three-hour written examination (50 weighting) and coursework (50 weighting)

TextbookReferences

Actuarial Science

- 18 -

ECEN1801 Academic English for Science Students

(3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To build confidence in the use of English for writing and speaking about science The focus is on 1 Writing an essay which meets the requirements of good academic writing in particular making

appropriate use of published sources and avoiding plagiarism 2 Speaking in an organized and coherent manner

Prerequisite Nil

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (1st semester)

Assessment Assessment is wholly by coursework

This course is compulsory for all BSc students

ECEN2802 Advanced English for Science Students (3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To develop a sense of audience awareness in writing to develop spontaneous speaking skills and to individualise language learning The focus is on 1 Writing a short article for one of a range of web journals each with a different audience and topic

focus (individual choice) 2 Spontaneous (ie unrehearsed) discussion through participation in speaking workshops and one-to-

one discussions 3 Developing independent language learning skills to help students address their individual language

problems and focus on their future language needs

Prerequisite ECEN1801

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (2nd semester)

Assessment Assessment is by coursework and an examination

This course is compulsory for all BSc students

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 14: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 13 -

Actuarial Science

- 14 -

SECTION III Course Descriptions

BIOC1001 Basic Biochemistry (6 credits)

Course Co-ordinator Dr K F J Chan

Maximum class size 300

Aim This course is designed to present an overview of biochemistry and to provide an understanding of the basic mechanisms underlying life processes It is an independent course which can be taken by students from various disciplines The course also prepares students for further studies in Biochemistry and Molecular Biology

Contents structure and function of biomolecules enzymes and coenzymes basic bioenergetics carbohydrates pH and buffers lipids and nucleic acids separation and purification techniques some key metabolic processes amino acids and proteins some bioregulation mechanisms

Prerequisite AS Biology or AS Chemistry

Co-requisite Nil

Teaching 24 lectures tutorials may be scheduled

Duration One semester (1st semester)

Assessment One 2-hour written final examination (70 weighting) and one 1-hour mid-term written examination (30 weighting)

Textbook Nelson and Cox Lehninger Principles of Biochemistry (Freeman 2004 4th ed)

References Any other Biochemistry textbooks eg Berg Tymoczko and Stryer Biochemistry (Freeman 2007 6th ed)

BIOL0128 Biological Techniques Instrumentation and Data Processing (6 credits)

Course Co-ordinator Dr B K C Chow

Maximum class size ---

AimFollow-up This course is designed to provide students with a wide range of basic biological techniques principles of instruments and data processing Basic concepts in proteinDNA purification including precautions detection and verification of purified products are included The course is also opened to those who wish to take a major or a minor in Biology for General Science

Contents This laboratory-intensive course takes the student through most the major techniques in biological sciences including microscopy cell disruption cellular and subcellular fractionation precipitation centrifugation electrophoresis immunological detection of protein spectrophotometry chromatorgraphy DNA and protein sequence analysis

Prerequisites HKCEE Biology or equivalent

Co-requisite Nil

Teaching 24 lectures and 8 x 3-hours laboratory sessions

Duration One semester (1st semester)

Assessment One 2-hour written examination (80 weighting) and continuous assessment (20 weighting)

TextbooksReferences A short list of reading material on selected topics will be provided during the course

Actuarial Science

- 15 -

BUSI1002 Introduction to Accounting (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course will cover the principles of double entry book-keeping the interpretation of financial statements the issues raised by corporate regulation and the use of management information for decision making

Prerequisite or Co-requisite

Teaching

Duration

Assessment

TextbookReferences

BUSI0019 Intermediate Accounting I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course provides an in-depth knowledge of the first part of financial accounting It covers the environment of financial accounting and the development of accounting standards conceptual framework underlying financial accounting statement of income and retained earnings balance sheet accounting and the time value of money cash and receivables valuation of inventories acquisition and disposition of property plant and equipment depreciation and depletion intangible assets current liabilities and contingencies long-term liabilities temporary investments and long-term investments and revenue recognition

Prerequisites

BUSI1002 Introduction to Accounting

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 16 -

BUSI0020 Intermediate Accounting II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides an in-depth knowledge of the second part of financial accounting It covers stockholdersrsquo equity dilutive securities and earnings per share calculations accounting for income taxes accounting for pensions and postretirement benefits accounting for leases accounting changes and error analysis statements of cash flows basic financial statement analysis and full disclosure in financial reporting

Prerequisites

BUSI0019 Intermediate Accounting I

Co-requisite

Teaching

Duration

Assessment

References

CHEM1406 Basic Organic Chemistry (6 credits)

Course Co-ordinator Dr P Toy

Maximum class size 150

Aim To educate the student in the terminology methodology and problem solving skills appropriate to the study of carbon based molecules in both their academic and practical applications This course is a pre-requisite for CHEM2402 Intermediate Organic Chemistry

Contents The course includes chemistry of alkanes alkenes and alkynes stereochemistry nucleophilic substitutions elimination reactions addition reactions radical reactions and chemistry of alcohols and ethers

Prerequisite AL or AS Chemistry

Co-requisite CHEM2510 is preferred

Teaching 24 lectures 5 tutorials and 5 times 4 hours laboratory

Duration One semester (1st semester)

Assessment One 2-hour written examination (70 weighting) and coursework (30 weighting)

TextbooksReferences McMurry J Organic Chemistry (Brooks Cole 2004 6th ed) John W Lehman Operational Organic Chemistry (Prentice Hall 1999 3rd ed)

CHEM1401 and CHEM1406 are mutually exclusive Students who are taking or have taken any one of the courses CHEM1301 CHEM1406 CHEM1502 and CHEM1506 cannot

take CHEM1001 Not for students who have taken both CHEM1401

Actuarial Science

- 17 -

CSCI0001 Practical Chinese Language Course for Science Students (3 credits)

Course Co-ordinator Mr K W Wong Maximum class size --- AimContents 1 Practical Chinese Writing Skills 實用中文寫作技巧

a Classical and modern Chinese 文言與白話 b The Chinese language characteristics and usage 漢語特性和語文運用 c Basic grammar of modern Chinese 現代漢語基礎語法 2 Chinese Characters 漢字 a Traditional characters 傳統漢字 b Simplified characters 簡化字 c Variant forms 異體字 3 Letter-writing 書信 a Business letter writing techniques 商務書信寫作技巧 b Official letter writing techniques 公務書信寫作技巧 4 Office Documents 辦公室文書 a Notices and announcements 啟事及通告 b Proposals 建議書 c Minutes and reports of meetings 會議文書 5 Chinese for Special Purposes 專業中文 a Reader-based scientifictechnical writings 讀者為本的科技性專業文案 b Styles and rhetoric of scientifictechnical writings 科技性專業文案的風格與修辭技巧 6 Presentation and Communication Techniques 表達與溝通技巧 a Communication and presentation techniques 演講技巧及演講辭的撰寫 b Discussion and the art of persuasion 討論與說服技巧

Prerequisite Nil Co-requisite Nil Teaching One class-contact hour per week for 13 weeks Duration One semester (1st semester) Assessment One 2-hour examination (50 weighting) plus coursework including 4 assignments (50 weighting) This course is compulsory for all BSc students

CSIS1117 Computer Programming I (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The goal of this course is for students to learn the general principles of programming including how to design implement document test and debug programs

Prerequisite Nil

Teaching

Duration

Assessment One three-hour written examination (50 weighting) and coursework (50 weighting)

TextbookReferences

Actuarial Science

- 18 -

ECEN1801 Academic English for Science Students

(3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To build confidence in the use of English for writing and speaking about science The focus is on 1 Writing an essay which meets the requirements of good academic writing in particular making

appropriate use of published sources and avoiding plagiarism 2 Speaking in an organized and coherent manner

Prerequisite Nil

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (1st semester)

Assessment Assessment is wholly by coursework

This course is compulsory for all BSc students

ECEN2802 Advanced English for Science Students (3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To develop a sense of audience awareness in writing to develop spontaneous speaking skills and to individualise language learning The focus is on 1 Writing a short article for one of a range of web journals each with a different audience and topic

focus (individual choice) 2 Spontaneous (ie unrehearsed) discussion through participation in speaking workshops and one-to-

one discussions 3 Developing independent language learning skills to help students address their individual language

problems and focus on their future language needs

Prerequisite ECEN1801

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (2nd semester)

Assessment Assessment is by coursework and an examination

This course is compulsory for all BSc students

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 15: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 14 -

SECTION III Course Descriptions

BIOC1001 Basic Biochemistry (6 credits)

Course Co-ordinator Dr K F J Chan

Maximum class size 300

Aim This course is designed to present an overview of biochemistry and to provide an understanding of the basic mechanisms underlying life processes It is an independent course which can be taken by students from various disciplines The course also prepares students for further studies in Biochemistry and Molecular Biology

Contents structure and function of biomolecules enzymes and coenzymes basic bioenergetics carbohydrates pH and buffers lipids and nucleic acids separation and purification techniques some key metabolic processes amino acids and proteins some bioregulation mechanisms

Prerequisite AS Biology or AS Chemistry

Co-requisite Nil

Teaching 24 lectures tutorials may be scheduled

Duration One semester (1st semester)

Assessment One 2-hour written final examination (70 weighting) and one 1-hour mid-term written examination (30 weighting)

Textbook Nelson and Cox Lehninger Principles of Biochemistry (Freeman 2004 4th ed)

References Any other Biochemistry textbooks eg Berg Tymoczko and Stryer Biochemistry (Freeman 2007 6th ed)

BIOL0128 Biological Techniques Instrumentation and Data Processing (6 credits)

Course Co-ordinator Dr B K C Chow

Maximum class size ---

AimFollow-up This course is designed to provide students with a wide range of basic biological techniques principles of instruments and data processing Basic concepts in proteinDNA purification including precautions detection and verification of purified products are included The course is also opened to those who wish to take a major or a minor in Biology for General Science

Contents This laboratory-intensive course takes the student through most the major techniques in biological sciences including microscopy cell disruption cellular and subcellular fractionation precipitation centrifugation electrophoresis immunological detection of protein spectrophotometry chromatorgraphy DNA and protein sequence analysis

Prerequisites HKCEE Biology or equivalent

Co-requisite Nil

Teaching 24 lectures and 8 x 3-hours laboratory sessions

Duration One semester (1st semester)

Assessment One 2-hour written examination (80 weighting) and continuous assessment (20 weighting)

TextbooksReferences A short list of reading material on selected topics will be provided during the course

Actuarial Science

- 15 -

BUSI1002 Introduction to Accounting (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course will cover the principles of double entry book-keeping the interpretation of financial statements the issues raised by corporate regulation and the use of management information for decision making

Prerequisite or Co-requisite

Teaching

Duration

Assessment

TextbookReferences

BUSI0019 Intermediate Accounting I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course provides an in-depth knowledge of the first part of financial accounting It covers the environment of financial accounting and the development of accounting standards conceptual framework underlying financial accounting statement of income and retained earnings balance sheet accounting and the time value of money cash and receivables valuation of inventories acquisition and disposition of property plant and equipment depreciation and depletion intangible assets current liabilities and contingencies long-term liabilities temporary investments and long-term investments and revenue recognition

Prerequisites

BUSI1002 Introduction to Accounting

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 16 -

BUSI0020 Intermediate Accounting II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides an in-depth knowledge of the second part of financial accounting It covers stockholdersrsquo equity dilutive securities and earnings per share calculations accounting for income taxes accounting for pensions and postretirement benefits accounting for leases accounting changes and error analysis statements of cash flows basic financial statement analysis and full disclosure in financial reporting

Prerequisites

BUSI0019 Intermediate Accounting I

Co-requisite

Teaching

Duration

Assessment

References

CHEM1406 Basic Organic Chemistry (6 credits)

Course Co-ordinator Dr P Toy

Maximum class size 150

Aim To educate the student in the terminology methodology and problem solving skills appropriate to the study of carbon based molecules in both their academic and practical applications This course is a pre-requisite for CHEM2402 Intermediate Organic Chemistry

Contents The course includes chemistry of alkanes alkenes and alkynes stereochemistry nucleophilic substitutions elimination reactions addition reactions radical reactions and chemistry of alcohols and ethers

Prerequisite AL or AS Chemistry

Co-requisite CHEM2510 is preferred

Teaching 24 lectures 5 tutorials and 5 times 4 hours laboratory

Duration One semester (1st semester)

Assessment One 2-hour written examination (70 weighting) and coursework (30 weighting)

TextbooksReferences McMurry J Organic Chemistry (Brooks Cole 2004 6th ed) John W Lehman Operational Organic Chemistry (Prentice Hall 1999 3rd ed)

CHEM1401 and CHEM1406 are mutually exclusive Students who are taking or have taken any one of the courses CHEM1301 CHEM1406 CHEM1502 and CHEM1506 cannot

take CHEM1001 Not for students who have taken both CHEM1401

Actuarial Science

- 17 -

CSCI0001 Practical Chinese Language Course for Science Students (3 credits)

Course Co-ordinator Mr K W Wong Maximum class size --- AimContents 1 Practical Chinese Writing Skills 實用中文寫作技巧

a Classical and modern Chinese 文言與白話 b The Chinese language characteristics and usage 漢語特性和語文運用 c Basic grammar of modern Chinese 現代漢語基礎語法 2 Chinese Characters 漢字 a Traditional characters 傳統漢字 b Simplified characters 簡化字 c Variant forms 異體字 3 Letter-writing 書信 a Business letter writing techniques 商務書信寫作技巧 b Official letter writing techniques 公務書信寫作技巧 4 Office Documents 辦公室文書 a Notices and announcements 啟事及通告 b Proposals 建議書 c Minutes and reports of meetings 會議文書 5 Chinese for Special Purposes 專業中文 a Reader-based scientifictechnical writings 讀者為本的科技性專業文案 b Styles and rhetoric of scientifictechnical writings 科技性專業文案的風格與修辭技巧 6 Presentation and Communication Techniques 表達與溝通技巧 a Communication and presentation techniques 演講技巧及演講辭的撰寫 b Discussion and the art of persuasion 討論與說服技巧

Prerequisite Nil Co-requisite Nil Teaching One class-contact hour per week for 13 weeks Duration One semester (1st semester) Assessment One 2-hour examination (50 weighting) plus coursework including 4 assignments (50 weighting) This course is compulsory for all BSc students

CSIS1117 Computer Programming I (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The goal of this course is for students to learn the general principles of programming including how to design implement document test and debug programs

Prerequisite Nil

Teaching

Duration

Assessment One three-hour written examination (50 weighting) and coursework (50 weighting)

TextbookReferences

Actuarial Science

- 18 -

ECEN1801 Academic English for Science Students

(3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To build confidence in the use of English for writing and speaking about science The focus is on 1 Writing an essay which meets the requirements of good academic writing in particular making

appropriate use of published sources and avoiding plagiarism 2 Speaking in an organized and coherent manner

Prerequisite Nil

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (1st semester)

Assessment Assessment is wholly by coursework

This course is compulsory for all BSc students

ECEN2802 Advanced English for Science Students (3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To develop a sense of audience awareness in writing to develop spontaneous speaking skills and to individualise language learning The focus is on 1 Writing a short article for one of a range of web journals each with a different audience and topic

focus (individual choice) 2 Spontaneous (ie unrehearsed) discussion through participation in speaking workshops and one-to-

one discussions 3 Developing independent language learning skills to help students address their individual language

problems and focus on their future language needs

Prerequisite ECEN1801

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (2nd semester)

Assessment Assessment is by coursework and an examination

This course is compulsory for all BSc students

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 16: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 15 -

BUSI1002 Introduction to Accounting (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course will cover the principles of double entry book-keeping the interpretation of financial statements the issues raised by corporate regulation and the use of management information for decision making

Prerequisite or Co-requisite

Teaching

Duration

Assessment

TextbookReferences

BUSI0019 Intermediate Accounting I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The course provides an in-depth knowledge of the first part of financial accounting It covers the environment of financial accounting and the development of accounting standards conceptual framework underlying financial accounting statement of income and retained earnings balance sheet accounting and the time value of money cash and receivables valuation of inventories acquisition and disposition of property plant and equipment depreciation and depletion intangible assets current liabilities and contingencies long-term liabilities temporary investments and long-term investments and revenue recognition

Prerequisites

BUSI1002 Introduction to Accounting

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 16 -

BUSI0020 Intermediate Accounting II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides an in-depth knowledge of the second part of financial accounting It covers stockholdersrsquo equity dilutive securities and earnings per share calculations accounting for income taxes accounting for pensions and postretirement benefits accounting for leases accounting changes and error analysis statements of cash flows basic financial statement analysis and full disclosure in financial reporting

Prerequisites

BUSI0019 Intermediate Accounting I

Co-requisite

Teaching

Duration

Assessment

References

CHEM1406 Basic Organic Chemistry (6 credits)

Course Co-ordinator Dr P Toy

Maximum class size 150

Aim To educate the student in the terminology methodology and problem solving skills appropriate to the study of carbon based molecules in both their academic and practical applications This course is a pre-requisite for CHEM2402 Intermediate Organic Chemistry

Contents The course includes chemistry of alkanes alkenes and alkynes stereochemistry nucleophilic substitutions elimination reactions addition reactions radical reactions and chemistry of alcohols and ethers

Prerequisite AL or AS Chemistry

Co-requisite CHEM2510 is preferred

Teaching 24 lectures 5 tutorials and 5 times 4 hours laboratory

Duration One semester (1st semester)

Assessment One 2-hour written examination (70 weighting) and coursework (30 weighting)

TextbooksReferences McMurry J Organic Chemistry (Brooks Cole 2004 6th ed) John W Lehman Operational Organic Chemistry (Prentice Hall 1999 3rd ed)

CHEM1401 and CHEM1406 are mutually exclusive Students who are taking or have taken any one of the courses CHEM1301 CHEM1406 CHEM1502 and CHEM1506 cannot

take CHEM1001 Not for students who have taken both CHEM1401

Actuarial Science

- 17 -

CSCI0001 Practical Chinese Language Course for Science Students (3 credits)

Course Co-ordinator Mr K W Wong Maximum class size --- AimContents 1 Practical Chinese Writing Skills 實用中文寫作技巧

a Classical and modern Chinese 文言與白話 b The Chinese language characteristics and usage 漢語特性和語文運用 c Basic grammar of modern Chinese 現代漢語基礎語法 2 Chinese Characters 漢字 a Traditional characters 傳統漢字 b Simplified characters 簡化字 c Variant forms 異體字 3 Letter-writing 書信 a Business letter writing techniques 商務書信寫作技巧 b Official letter writing techniques 公務書信寫作技巧 4 Office Documents 辦公室文書 a Notices and announcements 啟事及通告 b Proposals 建議書 c Minutes and reports of meetings 會議文書 5 Chinese for Special Purposes 專業中文 a Reader-based scientifictechnical writings 讀者為本的科技性專業文案 b Styles and rhetoric of scientifictechnical writings 科技性專業文案的風格與修辭技巧 6 Presentation and Communication Techniques 表達與溝通技巧 a Communication and presentation techniques 演講技巧及演講辭的撰寫 b Discussion and the art of persuasion 討論與說服技巧

Prerequisite Nil Co-requisite Nil Teaching One class-contact hour per week for 13 weeks Duration One semester (1st semester) Assessment One 2-hour examination (50 weighting) plus coursework including 4 assignments (50 weighting) This course is compulsory for all BSc students

CSIS1117 Computer Programming I (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The goal of this course is for students to learn the general principles of programming including how to design implement document test and debug programs

Prerequisite Nil

Teaching

Duration

Assessment One three-hour written examination (50 weighting) and coursework (50 weighting)

TextbookReferences

Actuarial Science

- 18 -

ECEN1801 Academic English for Science Students

(3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To build confidence in the use of English for writing and speaking about science The focus is on 1 Writing an essay which meets the requirements of good academic writing in particular making

appropriate use of published sources and avoiding plagiarism 2 Speaking in an organized and coherent manner

Prerequisite Nil

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (1st semester)

Assessment Assessment is wholly by coursework

This course is compulsory for all BSc students

ECEN2802 Advanced English for Science Students (3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To develop a sense of audience awareness in writing to develop spontaneous speaking skills and to individualise language learning The focus is on 1 Writing a short article for one of a range of web journals each with a different audience and topic

focus (individual choice) 2 Spontaneous (ie unrehearsed) discussion through participation in speaking workshops and one-to-

one discussions 3 Developing independent language learning skills to help students address their individual language

problems and focus on their future language needs

Prerequisite ECEN1801

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (2nd semester)

Assessment Assessment is by coursework and an examination

This course is compulsory for all BSc students

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 17: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 16 -

BUSI0020 Intermediate Accounting II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides an in-depth knowledge of the second part of financial accounting It covers stockholdersrsquo equity dilutive securities and earnings per share calculations accounting for income taxes accounting for pensions and postretirement benefits accounting for leases accounting changes and error analysis statements of cash flows basic financial statement analysis and full disclosure in financial reporting

Prerequisites

BUSI0019 Intermediate Accounting I

Co-requisite

Teaching

Duration

Assessment

References

CHEM1406 Basic Organic Chemistry (6 credits)

Course Co-ordinator Dr P Toy

Maximum class size 150

Aim To educate the student in the terminology methodology and problem solving skills appropriate to the study of carbon based molecules in both their academic and practical applications This course is a pre-requisite for CHEM2402 Intermediate Organic Chemistry

Contents The course includes chemistry of alkanes alkenes and alkynes stereochemistry nucleophilic substitutions elimination reactions addition reactions radical reactions and chemistry of alcohols and ethers

Prerequisite AL or AS Chemistry

Co-requisite CHEM2510 is preferred

Teaching 24 lectures 5 tutorials and 5 times 4 hours laboratory

Duration One semester (1st semester)

Assessment One 2-hour written examination (70 weighting) and coursework (30 weighting)

TextbooksReferences McMurry J Organic Chemistry (Brooks Cole 2004 6th ed) John W Lehman Operational Organic Chemistry (Prentice Hall 1999 3rd ed)

CHEM1401 and CHEM1406 are mutually exclusive Students who are taking or have taken any one of the courses CHEM1301 CHEM1406 CHEM1502 and CHEM1506 cannot

take CHEM1001 Not for students who have taken both CHEM1401

Actuarial Science

- 17 -

CSCI0001 Practical Chinese Language Course for Science Students (3 credits)

Course Co-ordinator Mr K W Wong Maximum class size --- AimContents 1 Practical Chinese Writing Skills 實用中文寫作技巧

a Classical and modern Chinese 文言與白話 b The Chinese language characteristics and usage 漢語特性和語文運用 c Basic grammar of modern Chinese 現代漢語基礎語法 2 Chinese Characters 漢字 a Traditional characters 傳統漢字 b Simplified characters 簡化字 c Variant forms 異體字 3 Letter-writing 書信 a Business letter writing techniques 商務書信寫作技巧 b Official letter writing techniques 公務書信寫作技巧 4 Office Documents 辦公室文書 a Notices and announcements 啟事及通告 b Proposals 建議書 c Minutes and reports of meetings 會議文書 5 Chinese for Special Purposes 專業中文 a Reader-based scientifictechnical writings 讀者為本的科技性專業文案 b Styles and rhetoric of scientifictechnical writings 科技性專業文案的風格與修辭技巧 6 Presentation and Communication Techniques 表達與溝通技巧 a Communication and presentation techniques 演講技巧及演講辭的撰寫 b Discussion and the art of persuasion 討論與說服技巧

Prerequisite Nil Co-requisite Nil Teaching One class-contact hour per week for 13 weeks Duration One semester (1st semester) Assessment One 2-hour examination (50 weighting) plus coursework including 4 assignments (50 weighting) This course is compulsory for all BSc students

CSIS1117 Computer Programming I (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The goal of this course is for students to learn the general principles of programming including how to design implement document test and debug programs

Prerequisite Nil

Teaching

Duration

Assessment One three-hour written examination (50 weighting) and coursework (50 weighting)

TextbookReferences

Actuarial Science

- 18 -

ECEN1801 Academic English for Science Students

(3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To build confidence in the use of English for writing and speaking about science The focus is on 1 Writing an essay which meets the requirements of good academic writing in particular making

appropriate use of published sources and avoiding plagiarism 2 Speaking in an organized and coherent manner

Prerequisite Nil

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (1st semester)

Assessment Assessment is wholly by coursework

This course is compulsory for all BSc students

ECEN2802 Advanced English for Science Students (3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To develop a sense of audience awareness in writing to develop spontaneous speaking skills and to individualise language learning The focus is on 1 Writing a short article for one of a range of web journals each with a different audience and topic

focus (individual choice) 2 Spontaneous (ie unrehearsed) discussion through participation in speaking workshops and one-to-

one discussions 3 Developing independent language learning skills to help students address their individual language

problems and focus on their future language needs

Prerequisite ECEN1801

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (2nd semester)

Assessment Assessment is by coursework and an examination

This course is compulsory for all BSc students

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

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Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

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Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

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Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

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Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

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Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

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Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

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AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

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AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

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Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 18: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 17 -

CSCI0001 Practical Chinese Language Course for Science Students (3 credits)

Course Co-ordinator Mr K W Wong Maximum class size --- AimContents 1 Practical Chinese Writing Skills 實用中文寫作技巧

a Classical and modern Chinese 文言與白話 b The Chinese language characteristics and usage 漢語特性和語文運用 c Basic grammar of modern Chinese 現代漢語基礎語法 2 Chinese Characters 漢字 a Traditional characters 傳統漢字 b Simplified characters 簡化字 c Variant forms 異體字 3 Letter-writing 書信 a Business letter writing techniques 商務書信寫作技巧 b Official letter writing techniques 公務書信寫作技巧 4 Office Documents 辦公室文書 a Notices and announcements 啟事及通告 b Proposals 建議書 c Minutes and reports of meetings 會議文書 5 Chinese for Special Purposes 專業中文 a Reader-based scientifictechnical writings 讀者為本的科技性專業文案 b Styles and rhetoric of scientifictechnical writings 科技性專業文案的風格與修辭技巧 6 Presentation and Communication Techniques 表達與溝通技巧 a Communication and presentation techniques 演講技巧及演講辭的撰寫 b Discussion and the art of persuasion 討論與說服技巧

Prerequisite Nil Co-requisite Nil Teaching One class-contact hour per week for 13 weeks Duration One semester (1st semester) Assessment One 2-hour examination (50 weighting) plus coursework including 4 assignments (50 weighting) This course is compulsory for all BSc students

CSIS1117 Computer Programming I (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The goal of this course is for students to learn the general principles of programming including how to design implement document test and debug programs

Prerequisite Nil

Teaching

Duration

Assessment One three-hour written examination (50 weighting) and coursework (50 weighting)

TextbookReferences

Actuarial Science

- 18 -

ECEN1801 Academic English for Science Students

(3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To build confidence in the use of English for writing and speaking about science The focus is on 1 Writing an essay which meets the requirements of good academic writing in particular making

appropriate use of published sources and avoiding plagiarism 2 Speaking in an organized and coherent manner

Prerequisite Nil

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (1st semester)

Assessment Assessment is wholly by coursework

This course is compulsory for all BSc students

ECEN2802 Advanced English for Science Students (3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To develop a sense of audience awareness in writing to develop spontaneous speaking skills and to individualise language learning The focus is on 1 Writing a short article for one of a range of web journals each with a different audience and topic

focus (individual choice) 2 Spontaneous (ie unrehearsed) discussion through participation in speaking workshops and one-to-

one discussions 3 Developing independent language learning skills to help students address their individual language

problems and focus on their future language needs

Prerequisite ECEN1801

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (2nd semester)

Assessment Assessment is by coursework and an examination

This course is compulsory for all BSc students

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 19: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 18 -

ECEN1801 Academic English for Science Students

(3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To build confidence in the use of English for writing and speaking about science The focus is on 1 Writing an essay which meets the requirements of good academic writing in particular making

appropriate use of published sources and avoiding plagiarism 2 Speaking in an organized and coherent manner

Prerequisite Nil

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (1st semester)

Assessment Assessment is wholly by coursework

This course is compulsory for all BSc students

ECEN2802 Advanced English for Science Students (3 credits) Course Co-ordinator

Dr David Gardner Maximum class size ---

Aim and Content To develop a sense of audience awareness in writing to develop spontaneous speaking skills and to individualise language learning The focus is on 1 Writing a short article for one of a range of web journals each with a different audience and topic

focus (individual choice) 2 Spontaneous (ie unrehearsed) discussion through participation in speaking workshops and one-to-

one discussions 3 Developing independent language learning skills to help students address their individual language

problems and focus on their future language needs

Prerequisite ECEN1801

Co-requisite Nil

Teaching One 2-hours class per week for 12 weeks

Duration One semester (2nd semester)

Assessment Assessment is by coursework and an examination

This course is compulsory for all BSc students

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 20: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 19 -

ECON1001 Introduction to Economics I (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents An introduction to the basic concepts and principles of microeconomics - the study of demand and supply consumer theory cost and production market structure and resource allocation efficiency

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

ECON1002 Introduction to Economic II (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is an introduction to macroeconomics ndash the study of business cycle fluctuations and long run economic growth Topics include the measurement of national economic performance the problems of recession unemployment and inflation money supply government spending and taxation fiscal and monetary policies for full employment and price stability the determination of the exchange rate and international trade and payments

Prerequisites

Nil

Co-requisite

Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 21: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 20 -

ECON2101 Microeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents The laws of demand supply returns and costs price and output determination in different market situations theory of factor pricing and income distribution general equilibrium interest and capital

Prerequisites

ECON1001 Introduction to Economics I Not open to student taking or having taken ECON2113 Microeconomic analysis

Co-requisite

Teaching

Duration

Assessment

References

ECON2102 Macroeconomic Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Theories of income employment and the price level analysis of secular growth and business fluctuations introduction to monetary and fiscal policy

Prerequisites

ECON1001 Introduction to Economics I Not open to students taking or having taken ECON2114 Macroeconomic Analysis

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

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STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 22: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 21 -

ECON2113 Microeconomic Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Examine microeconomic issues with applications Topics include consumer behaviour cost structure market structure theory of the firm factor market and general equilibrium

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2101 Microeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

ECON2114 Macroeconomic Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents

Economics of inflation unemployment income and output determination in the short run and the long run Money interest rates and exchange rates Macroeconomic stabilization policies and open economy macroeconomic issues

Prerequisites

ECON1001 Introduction to Economics I Open only to non-BEcon non-BFin and non-BEconampFin students candidates who have taken ECON2102 Macroeconomic Theory are not allowed to take this course

Co-requisite

Teaching

Duration

Assessment

References

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 23: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 22 -

FINA0102 Financial Markets and Institutions (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is designed to introduce and analyze the structure operations and functions of the financial system The course starts with an introduction to financial marketsrsquo role in the economy and the determination of interest rates and valuation of cash flows The course then discusses various financial markets including money markets bond markets mortgage markets stock markets and derivatives markets Financial institutions will be discussed with an emphasis on their major functions and operations

Prerequisites

ECON1001 Introduction to Economics I and FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

FINA0302 Theories of Corporate Finance (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents A course on the advanced treatment of corporate financial decisions Topics to be covered include corporate valuation cost of capital capital structure leasing mergers and acquisitions options warrants and convertible bonds

Prerequisites

ECON1001 Introduction to Economics I and BUSI0016FINA1002 Introduction to Finance or FINA1003 Corporate Finance

Co-requisite Nil

Teaching

Duration

Assessment

References

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 24: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 23 -

MATH1001 Fundamental Concepts of Mathematics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with solid background on fundamental concepts of mathematics and methods of mathematical proofs Such concepts and methods are important for subsequent studies in all higher level courses in mathematics This course can be followed by (or taken concurrently with) MATH1111 MATH1211 and other more advanced courses

Contents bull Statement calculus bull Mathematical proofs bull Elementary set theory bull Relations and mappings bull Finite and infinite sets bull The natural numbers and mathematical induction bull The real numbers their arithmetic and completeness bull Axiomatic systems in mathematics bull Models of the natural numbers the real numbers and non-Euclidean geometries bull Examples of groups

Prerequisites HKCEE Additional Mathematics or AS Mathematics and Statistics or equivalent Students with good grades in HKCEE Mathematics and have strong interests in mathematics may also apply

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning Tutorials will also be arranged

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1101 and MATH1201 are not allowed to take this course

MATH1813 Mathematical Methods for Actuarial Science (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimFollow-up To provide students with a background of calculus of several variables and matrix algebra and an introduction to ordinary differential equations that can be applied in actuarial science

Contents bull Matrices systems of linear equations determinants bull Eigenvalues and eigenvectors diagonalization of matrices bull Quadratic functions and their standard forms bull Functions of several variables partial differentiation directional derivatives bull Taylor approximations bull Maxima and minima Lagrangian multipliers bull Double and triple integrals bull Simple differential equations

Prerequisites AL Pure Mathematics or equivalent Students taking or having passed in MATH1803 or MATH1211 or MATH1805 are not allowed to take this course

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (2nd semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting)

TextbooksReferences To be announced by the course instructor

Students having passed MATH1202 or MATH1803 are not allowed to take this course

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 25: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 24 -

MATH2303 Matrix Theory and Its Applications (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up Matrix theory has a close connection with other mathematical subjects such as linear algebra functional analysis and combinatorics It also plays an important role in the development of many subjects in science engineering and social sciences In this course students will be taught the fundamentals of matrix analysis and its application to various kinds of practical problems Mathematical software will be used in the course so that students can learn how to use the computer to solve matrix problems

Contents Eigenvalues and eigenvectors similarities applications on difference equations and differential equations Orthogonality inner products and the induced norms orthogonality of null spaces and column spaces applications to over-or under-determined systems least squares fit Unitary normal and hermitian matrices Schurrsquos triangularization theorem Variational description of eigenvalues applications in optimization and in eigenvalue estimation Singular value decomposition polar decomposition pseudo inverse spectral norm of matrices interlacing inequalities for singular values Jordan form and applications Nonnegative matrices Perronrsquos Theorem and applications

Prerequisites 1 (MATH1101 and MATH1102) or 2 (MATH1811 MATH1812 or MATH1803) or 3 (MATH1801 MATH1802 or MATH1807)

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

Jack L Goldberg Matrix Theory with Applications (McGraw-Hill 1991) Steven J Leon Linear Algebra with Applications (Macmillan 1994 4th ed) Chris Rorres amp Howard Anton Applications of Linear Algebra (Wiley 1984 3rd ed) Roger A Horn amp Charles R Johnson Matrix Analysis (Cambridge University Press 1987) The Mathworks Inc The Student Edition of Matlab (Version 4 for Microsoft Windows) (Prentice - Hall 1995)

MATH2601 Numerical Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers both the theoretical and practical aspects of Numerical Analysis Emphasis will be on basic principles and practical methods of solution using high speed computers

Contents Round off errors Polynomial interpolation Solution of equations of one variable Direct and iterative methods for solving linear systems Numerical differentiation and integration Simple initial value problems

Prerequisites 1 (Two out of MATH1101 MATH1102 MATH1201 MATH1202 one of which should be MATH1201 or MATH1202) or (MATH1811 MATH1812 or MATH1803) or (MATH1801 MATH1802 or MATH1807) and

2 Knowledge of a programming language

Co-requisite Nil

Teaching 36 hours of lectures and student-centered learning

Duration One semester (1st semester)

Assessment One 2frac12-hour written examination (50 weighting) together with coursework assessment (50 weighting) based mainly on class tests andor assignments

Textbooks (References)

HKU Lecture Notes A Ralston and P Rabinowitz A First Course in Numerical Analysis (McGraw-Hill) K E Atkinson An Introduction to Numerical Analysis (Wiley 1989)

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

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Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

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Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

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Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

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Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

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Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

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Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

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Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

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Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

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AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

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AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

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Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 26: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 25 -

POLI1003 Making Sense of Politics (6 credits)

Course Co-ordinator

(Head of Department) Maximum class size ---

AimContents It is an introductory course offered to students with no previous background in political science It covers the basic concepts institutions and processes that one would encounter in the study of politics Emphasis will be placed on the application of concepts to current issues including (but not restricted to) that of Hong Kong

Prerequisite Nil

Co-requisite Nil

Teaching

Duration

Assessment Unless otherwise specified by the Department of Politics and Public Administration the final grading for each course will be determined by performance in the examination and assessment of coursework in a ratio to be announced by individual course instructors at the beginning of each semester The weighting of examination ranges from 40-60 of total course assessment

TextbooksReferences

PSYC1001 Introduction to Psychology (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Discussion of basic concepts in psychology and a preliminary survey of representative work carried out in various areas of psychological investigation together with an investigation at some length of one such area

Prerequisites or Co-requisites

Students taking or having taken PSYC1002 or PSYC1003 are not allowed to take this course

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 27: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 26 -

SOCI1001 Introduction to Sociology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course introduces students to the nature of sociological enquiry and the basic concepts used in sociological analysis After some reference to the influence of inheritance and environment on human social behaviour the course will focus on key concepts used in the analysis of cultures social structures social processes and social change The relationship between research concepts and contemporary theory will be explored at an introductory level

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOCI1003 Introduction to Anthropology (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course will explore through cross-cultural comparison key social and cultural issues such as marriage and the family caste and class ethnicity and identity language and culture state formation economic value gender and religion The course will draw on studies of the peoples and cultures of Asia

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 28: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 27 -

SOWK1001 Introduction to Social Administration (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is a basic course in the understanding of social policy in the areas of human resources planning and education land use and housing ageing and social security family and support services etc

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment 40 coursework 60 examination

TextbooksReferences

SOWK1003 Introduction to Social Welfare (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the basic concepts and function of social welfare Analysis will be undertaken of the range and variety of social services in Hong Kong including family services youth centres outreaching services school social work community development rehabilitation elderly services probation and correctional services

Contents

Prerequisites or Co-requisites

Teaching

Duration

Assessment

40 coursework 60 examination

TextbooksReferences

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 29: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 28 -

STAT1304 The Analysis of Sample Surveys (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents We often try to infer the characteristics of a population by taking a sample from that population The validity and the efficiency of the findings depend on the quality of the sample This course considers the basic theory and practical applications for the different sampling design and analysis Examples on marketing surveys social surveys and opinion polls will be considered

Prerequisites

HKCEE Mathematics or AS-level Mathematics amp Statistics or A-level Pure Mathematics or equivalent AND taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1003 or STAT1007 or STAT0601 or STAT1001 or STAT1006 or STAT1008 or STAT2001 or STAT0602

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One two-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials a test and a project

References R L Scheaffer W Mendenhall amp R L Ott Elementary Survey Sampling (Duxbury Press 1996 5th edition) S L Lohr Sampling Design and Analysis (Duxbury Press 1996) L Kish Survey Sampling (John Wiley amp Sons Inc 1995) P Salant amp D A Dillman How to Conduct Your Own Survey (John Wiley amp Sons Inc 1994) W G Cochran Sampling Techniques (John Wiley amp Sons Ltd 1997)

STAT1801 Probability and Statistics Foundations of Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course provides the basic foundations in probability and statistics for students in BSc(ActuarSc) though the course is also suitable for mathematically-able students from other quantitative curricula Probability theory underpins the study of statistics The course aims firstly to develop skills in probabilistic analysis for problems involving randomness Random variables and probability distributions are studied in depth such as discrete and continuous distributions conditional probability conditional expectation central limit theorem The concepts of statistics are then introduced guided by motivating examples

Prerequisites A-Level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent (Students taking or having taken STAT0301 or STAT0302 or STAT1301 or STAT1306 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT0601 or STAT0602 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks ---

References M A Bean Probability The Science of Uncertainty with Applications to Investments Insurance and Engineering (BrooksCole (Thomas Learning)) Gonick Larry amp Smith Woollcott The Cartoon Guide to Statistics (Harper Perennial 1993) R V Hogg amp E A Tanis Probability and Statistical Inference (Englewood Cliffs Prentice Hall 1993 4th edition) H J Larson Introduction to Probability Theory and Statistical Inference (John Wiley amp Sons 1982) B W Lindgren Statistical Theory (New York Chapman Hall 1993) I Miller amp M Miller John E Freundrsquos Mathematical Statistics (Englewood Cliffs Prentice-Hall 2004 7th edition) D S Moore Statistics Concepts and Controversies (Freeman 1997 4th edition) R J Wonnacott amp T H Wonnacott Introductory Statistics (New York Wiley 1990 5th edition)

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 30: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 29 -

STAT1802 Financial Mathematics (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces the mathematics of finance which plays an important role in the development of basic actuarial techniques Introduction to risk management and practical applications of the actuarial functions are also covered

Contents Key topics include measurement of interest annuities certain discounted cash flow analysis yield rates amortization schedules and sinking funds bonds and related securities practical applications such as real estate mortgage short sales and modern financial instruments stochastic approaches to interest financial derivatives including forwards futures options and swaps insurance collars and other strategies introduction to risk management

Prerequisites A-level Pure Mathematics or AS-level Mathematics amp Statistics or equivalent AND taking or having taken STAT1801 or STAT1302

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Broverman S A Mathematics of Investment and Credit (ACTEX Publications - Mad River Books Connecticut 2004 3rd edition) McDonald R L Derivatives Markets (Addison-Wesley New York 2005 2nd edition)

References Kellison S G The Theory of Interest (Irwin Illinois 1991 2nd edition)

STAT2302 Statistical Inference (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course covers the advanced theory of point estimation interval estimation and hypothesis testing Using a mathematically-oriented approach the course provides a solid and rigorous treatment of inferential problems statistical methodologies and the underlying concepts and theory It is suitable in particular for students intending to further their studies or to develop a career in statistical research

Contents 1 Decision theory loss function risk decision rule admissibility minimaxity unbiasedness Bayesrsquo rule

2 Estimation theory group families exponential families likelihood sufficiency minimal sufficiency ancillarity completeness UMVU estimators information inequality large-sample theory of maximum likelihood estimation

3 Hypothesis testing uniformly most powerful test monotone likelihood ratio unbiasedness UMP unbiased test maximal invariants most powerful invariant test large-sample theory of likelihood ratio Waldrsquos test score test

Prerequisites STAT1302 or STAT2802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on

assignments tutorials and a class test

References Berry D A amp Lindgren B W Statistics Theory and Methods (Duxbury Belmont 1996) Bickel P J amp Doksum K A Mathematical Statistics Basic Ideas and Selected Topics Vol 1 (Prentice Hall Upper Saddle River NJ 2001) Freund J E Mathematical Statistics (Prentice Hall Englewood Cliffs NJ 1992) Hogg R V amp Craig A T Introduction to Mathematical Statistics (Macmillan New York 1989)

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 31: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 30 -

STAT2305 Quality Control and Management (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The successful control of quality in production is a matter of primary importance to a companyrsquos profitability and good-will This course provides an overview of quality compromise which involves both the producer and the consumer It presents a variety of statistical solutions including control charts acceptance sampling plans sequential sampling procedures analysis of measurement errors reliability and life-testing Contemporary quality management systems such as total quality control quality control circle zero defects six-sigma and ISO-9000 will be introduced The student is brought to the frontier of todayrsquos quality control and management ideas

Contents Probability distributions and their application process variability sampling and statistical inference Process control variables and attributes control charts Operating characteristic curves Single double and sequential sampling plans MIL-STD-105D and Dodge-Romig schemes Variables sampling Reliability and life-testing Management of quality control total quality control zero defects six-sigma and ISO-9000

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT1001 or STAT1801 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT0100 or STAT2802 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References

A J Duncan Quality Control and Industrial Statistics (Irwin Homewood 1986 5th edition) D C Montgomery Statistical Quality Control (New York Wiley 1996 3rd edition) J Banks Principles of Quality Control (New York Wiley 1989) E L Grant amp R S Leavenworth Statistical Quality Control (New York McGraw-Hill 1988 6th edition)I D Hill An Introduction to Sampling Inspection (The Institute of Engineering Inspection Monograph London 1961) G B Wetherill Sampling Inspection and Quality Control (London Methuen 1977 2nd edition) A V Feigenbaum Total Quality Control (New York McGraw-Hill 1983 3rd edition)

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 32: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 31 -

STAT2306 Business Logistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Originally the word lsquologisticsrsquo described the strategic aspects involved in moving and supplying armies and navies Usage grew to include games of strategy such as chess Modern business corporations are increasingly using logistics as a management tool for example in capital budgeting problems production planning scheduling transportation or in deciding a location for a new factory This course addresses the business applications of logistics

Contents Optimization techniques applied to problems in the allocation of resources financial planning and transportation linear programming dynamic programming integer programming network analysis critical path methods queuing theory probability modelling tools in production and inventory control

Prerequisites STAT1301 or STAT1306 or STAT0301 or STAT0302 or STAT1801 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1001 or STAT1003 or STAT1006 or STAT1007 or STAT1008 or STAT2001 or STAT0601 or STAT0602 (Students taking or having taken MATH2901 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

References F S Hillier amp G J Liberman Introduction to Operations Research (Holden Day 1980 3rd edition) L R Foulds Optimization techniques an introduction (New York Springer-Verlag Inc 1981) H M Wagner Principles of Operations Research ndash with Applications to Managerial Decisions (India Prentice Hall 1974 eastern economy edition) Hamdy A Taha Operations Research ndash an introduction (Collier Macmillan International Edition) M Sasieni A Yaspan amp L Friedman Operations Research Methods and Problems (Wiley International Edition 1959) Plan amp Kochenberger Operations Research for Managerial Decisions (Irwin Series in Quantitative Analysis for Business Richard D Irwin Inc 1972) S K Gupta amp J Cozzolino Fundamentals of Operations Research for Management (Holden-Day Inc 1974)

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 33: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 32 -

STAT2312 Data Mining (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim With an explosion in information technology in the past decade vast amounts of data appear in a variety of fields such as finance marketing research customer relations management medicine and healthcare The challenge of understanding these data with the aim of creating new knowledge and finding new relationships among data attributes has led to the innovative usage of statistical methodologies and development of new ones In this process a new area called data mining is spawned This course provides a comprehensive and practical coverage of essential data mining concepts and statistical models for data mining

Contents Data pre-processing association rules classification and regression trees neural networks and cluster analysis

Prerequisites STAT1801 or STAT1301 or STAT1306 or STAT0301 or STAT0302 or ECON1003 or BIOL2608 (ECOL2006) or STAT1000 or STAT1007 or STAT0601 or STAT0602 or STAT1001 or STAT1003 or STAT1006 or STAT1008 or STAT2001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 computer lab session per week

Duration One semester (2nd semester)

Assessment 100 coursework assessment (30 assignments 40 tests and 30 group project)

References Larose D T Discovering Knowledge in Data An Introduction to Data Mining (Wiley 2005) Tan P N Steinback M and Kumar V Introduction to Data Mining (Addison Wesley 2006) T Hastie R Tibshirani amp J Friedeman The Elements of Statistical Learning Data Mining Inference and Prediction (New York Springer 2001) M Kantardzic Data Mining Concepts Models Methods and Algorithms (Wiley 2003)A Webb Statistical Pattern Recognition (Wiley 2002 2nd edition) P Giudici Applied Data Mining Statistical Methods for Business and Industry (Wiley 2003) J Han amp M Kamber Data Mining Concepts and Techniques (Morgan Kaufmann 2001) M J A Berry amp G S Linoff Data Mining Techniques For Marketing Sales and Customer Support (Wiley 2004 2nd edition)

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 34: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 33 -

STAT2801 Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim The major objectives of this course are to integrate life contingencies into a full probabilistic framework and to demonstrate the wide variety of constructs which are then possible to build from basic models at the foundation of actuarial science The time-until-death random variable will be the basic building block by which models for life insurances designed to reduce the financial impact of the random event of untimely death will be developed Techniques for calculation benefit premiums and benefit reserves of various types of life annuity and insurance will be discussed

Contents Key topics include survival distributions life table functions life insurance life annuities benefit premiums benefit reserves

Prerequisites

(STAT1302 and STAT2315) or (STAT1802 and taking or having taken STAT2802) or (STAT1302 and STAT1802) or (STAT0100 and STAT0113)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and class tests

Textbooks Bowers Gerber Hickman Jones amp Nesbitt Actuarial Mathematics (1997 2nd edition)

STAT2802 Statistical Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course builds on STAT1801 introducing further the concepts and methods of statistics Through the disciplines of statistical modelling inference and decision making students will be equipped with both quantitative skills and qualitative perceptions essential for making rigorous statistical analysis of real-life data

Contents Random Variables and Probability Distributions Function of Random Variables Sampling Distributions Limiting Distributions Estimation Theory Confidence Intervals Analysis of variance and application Hypothesis Testing Goodness of Fit Test

Prerequisite STAT1801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written paper (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References R V Hogg J W McKean amp A T Craig Introduction to Mathematical Statistics (Pearson Prentice Hall 2005 6th edition) S F Arnold Mathematical Statistics (Prentice-Hall 1990) I Miller amp M Miller John E Freundrsquos Mathematical Statistics with Applications (Pearson Education International 2004 7th edition)

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 35: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 34 -

STAT2803 Stochastic Models (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This is an introductory course in probability modelling A range of important topics in stochastic processes will be discussed

Contents Introduction to probability theory Conditional probability and expectation Markov chains random walk models Poisson process and Brownian Motion Birth-and-death process branching process and renewal process may also be covered (if time permits)

Prerequisite STAT1801 (Students taking or having taken STAT2303 or MATH2603 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks S M Ross Introduction to Probability Models (8th edition)

STAT2804 Linear Models and Forecasting (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course deals with applied statistical methods of linear models and investigates various forecasting procedures through time series analysis

Contents Regression and multiple linear regression predicting generalised linear model time series models including autoregressive moving average autoregressive-moving average and integrated models forecasting

Prerequisites

STAT1302 or (Students taking or having taken STAT2802) or STAT0100 or STAT0605 (Students taking or having taken STAT2301 or STAT3301 or STAT0102 or SAT0604 or STAT3101 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks R S Pindyck amp D L Rubinfeld Econometric Models and Economic Forecasts (McGraw-Hill 1998 4th edition)

References ---

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 36: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 35 -

STAT2805 Credibility Theory and Loss Distributions (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Credibility is an example of a statistical estimate The idea of credibility is very useful in premium calculation Insurance loss varies according to the business nature what distribution should be used to fit a particular loss is both of theoretical interest and practical importance This course covers important actuarial and statistical methods

Contents Topics on credibility include Limited fluctuation approach Buhlmanrsquos approach Bayesian approach and their applications Topics on loss distribution will be Some often used distributions and properties truncation and modification compound distributions and mixed models At the end of the course we will cover some topics which are used in the option pricing theory such as lognormal distribution estimating the parameters of a lognormal distribution Monte Carlo method and applications to option valuation

Prerequisites

STAT1302 or STAT2802 or STAT3810 or STAT0100 or STAT0604 or STAT0605 or STAT0802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (2004 2nd edition)

References Foundations of Casualty Actuarial Science (Casualty Actuarial Society 2001 4th edition) H C Mahler amp C G Dean Credibility

STAT2806 Financial Economics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course covers the skills necessary to construct and apply discrete stochastic models to value financial derivatives

Contents Introduction to financial market probability space random variable conditional expectation discrete time stochastic process and martingales discrete time asset pricing models and valuation of derivative securities Basic ideas of asset and liability management interest rate risk and immunization

Prerequisites

STAT1302 or STAT2802 or STAT0100 or STAT0604 or STAT0605

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks H H Panjer Financial Economics with Applications to Investments Insurance and Pensions (chapters 235 and 6)

References J Hull Options Futures and other Derivatives (2002 5th edition)

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

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Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

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Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

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Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 37: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 36 -

STAT2807 Corporate Finance for Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is designed for actuarial science students to receive VEE-Corporate Finance from Society of Actuaries The objective of this course is to introduce students to the fundamental principles of corporate finance The course will provide students with a systematic framework within which to evaluate investment and financing decisions for corporations

Contents The first part of the course will give an introduction to corporate finance and provide an overview of some topics covered in STAT1802 and STAT2315 These include financial markets and companies present value and net present value financial instruments and dividends derivatives market no-arbitrage pricing theory binomial model and Black-Scholes option pricing formula The main part of the course will focus on some important topics of corporate finance including capital structure and dividend policy financial leverage and firm value market efficiency risk and return investment decision using Markowitz mean variance analysis CAPM long term financing measures and performance assessment of financial performance using various measures

Prerequisites (BUSI1002 and STAT1802) or (STAT2310 and STAT2315)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and coursework (25 weighting) based on assignments tutorials and a class test

Textbooks Brealey R A Myers S C and Allen F Principles of Corporate Finance (2006 8th edition)

References Ross S A Westerfield R W and Jaffe J Corporate Finance (2005 7th edition) Luenberger D G Investment Science (1998)

STAT2808 Derivatives Markets (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites

STAT1802

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives (Prentice Hall 2003 5th edition) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 38: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 37 -

STAT2813 Internship in Actuarial Science (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course is offered to actuarial science students who take on an 6-month full time or similar internships A student can complete this course as a project based hisher internship The report should emphasize important workingeducational experiences encountered by the student during hisher internship In many situations this would mean a report of the project(s) that the student has been involved in hisher internship

Prerequisites

STAT1802 or STAT2801

Co-requisite Nil

Teaching No regular lectures

Duration One semester (1st semester repeated in 2nd semester)

Assessment 80 written report and 20 oral presentation The student needs to present a certificate from the employer which indicates that the report is about hisher project during the internship period

STAT3302 Multivariate Data Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim In many designed experiments or observational studies the researchers are dealing with multivariate data where each observation is a set of measurements taken on the same individual These measurements are often correlated The correlation prevents the use of univariate statistics to draw inferences This course develops the statistical methods for analysing multivariate data through examples in various fields of application and hands-on experience with the statistical software SAS

Contents Problems with multivariate data Multivariate normality and transforms Correlations Simple partial multiple and canonical Principal components analysis Factor analysis Mean structure for one sample Problems for means of several samples Multivariate analysis of variance Discriminant analysis Classification Multivariate multiple regression Clustering algorithms

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a class test

References R A Johnson amp D W Wichern Applied Multivariate Statistical Analysis (Prentice-Hall 1998 4th edition) M S Srivastava amp E M Carter An Introduction to Applied Multivariate Statistics (North-Holland 1983)J F Hair R E Anderson R L Tatham amp W C Black Multivariate Data Analysis with Readings (Prentice-Hall 1995 4th edition) D F Morrison Multivariate Statistical Methods (McGraw-Hill Book Company 1990 3rd edition) G A F Seber Multivariate Observations (John Wiley amp Sons 1984) K V Mardia J T Kent amp J M Bibby Multivariate Analysis (Academic Press 1979) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 39: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 38 -

STAT3304 Computer-aided Statistical Modelling (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This is a computer-aided course of statistical modelling designed for the students who have taken STAT2301 Linear Statistical Analysis and like to see theory illustrated by practical computation Numerous real data sets will be presented for modelling and analysis using statistical software such as SAS for gaining hands-on experience The course also aims to develop skills of model selection and hypotheses formulation for testing so that questions of interest can be properly formulated and answered An important element deals with model review and improvement when onersquos first attempt does not adequately fit the data Modern computer software such as SAS makes this interactive approach easier

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 (Students taking or having taken STAT3601 or STAT2311 are not allowed to take this course)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (50 weighting) and a coursework assessment (50 weighting) based on assignments tutorials and a test

Textbooks On-line documents of the adopted statistical software

References B L Bowerman amp R T OrsquoConnell Linear Statistical Models An Applied Approach (PWS-Kent Publishing Company 1990 2nd edition) R P Cody amp J K Smith Applied Statistics and the SAS Programming Language (North-Holland 1997 4th edition) F C Dilorio amp K A Hardy Quick Start to Data Analysis with SAS (Duxbury Press 1996) R J Elliott Learning SAS in the Computer Lab (Duxbury Press 2000 2nd edition) R H Myers Classical and Modern Regression with Applications (PWS-Kent Publishing Company 1990 2nd edition) P McCullagh and J A Nelder Generalized Linear Models (London Chapman and Hall 1983) SAS Manuals SAS Language Version 6 edition SAS Procedures Version 6 edition SASSTAT Userrsquos Guide Volumes 1 and 2 Version 6 edition SASIML Software Version 6 edition SASINSIGHT Userrsquos Guide Version 6 edition

STAT3305 Financial Data Analysis (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course focuses on understanding financial data and methods by which they are analyzed and interpreted It aims at enhancing the studentsrsquo analytical skills of developing statistical models for analysing financial data Techniques are motivated by examples and developed in the context of applications Students will learn how to process financial data for purposes of financial analysis estimation and testing of financial models and to understand better crucial aspects of financial market movements

Contents Modelling non-normal return financial time series models including ARCH models and generalisation and threshold models forecasting volatility and correlation Monte Carlo Simulation and option pricing Estimation of value at risk and expected tail loss becktesting and stress testing

Prerequisites STAT2309 or (Students taking or having taken STAT2806) or ECON1001

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour examination (60 weighting) and a coursework assessment (40 weighting) based on assignments tutorials and a class test

References Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001) McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition) Tsay R S Analysis of Financial Time Series (Wiley 2002)

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 40: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 39 -

STAT3306 Selected Topics in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course introduces basic statistical concepts and methods which potential graduate students will find useful in preparing for work on a research degree in statistics Focus is on applications of state-of-the-art statistical techniques and their underlying theory

Contents 1 Basic asymptotic methods modes of convergence stochastic orders laws of large numbers central limit theorems delta method Edgeworth expansions saddlepoint approximations

2 Parametric and nonparametric likelihood methods high-order approximations profile likelihood and its variants signed likelihood ratio statistics empirical likelihood

3 Nonparametric statistical inference sign and rank tests Kolmogorov-Smirnov test nonparametric regression density estimation kernel methods

4 Robust methods measures of robustness M-estimator L-estimator R-estimator estimating functions

5 Computationally-intensive methods cross-validation bootstrap permutation methods 6 Bayesian methods Bayesian inference hierarchical models empirical Bayes 7 Sequential analysis sequential probability ratio test sequential estimation 8 Other topics as determined by the instructor

Prerequisites STAT2301 or STAT2804 or STAT0102 or STAT0801 or STAT0604

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

Textbooks ---

References J Shao Mathematical Statistics (New York Springer 1999) R J Serfling Approximation Theorems of Mathematical Statistics (New York John Wiley amp Sons 1980)

STAT3307 Project in Statistics (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching No regular lectures The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (start in 1st semester)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 41: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 40 -

STAT3308 Financial Engineering (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course aims at demonstrating the practical use of financial derivative products to analyse various problems arisen in financial engineering Emphases are on the various option pricing formulae hedging techniques and interest rate models

Contents Review of futures forwards and options and the concept of no arbitrage put-call parity valuation of European and American options using the binomial model valuation of European and American options using the Black-Scholes option pricing model the Greeks their calculation and interpretation implied volatility delta hedging and the role of market-makers exotic options Asian options barrier options compound options gap options and exchange options diffusion process and Itorsquos formula interest rate models bond options caps and the Black model market making and bond pricing the Vasicek and Cox-Ingersoll-Ross bond price models the binomial interest rate model and the Black-Derman-Toy model

Prerequisites 1 STAT2309 or (Students taking or having taken STAT2806) or STAT0109 or STAT0806 (for students admitted in 2004-05 or before)

2 STAT2315 (for students admitted in 2005-06 or thereafter)

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbook McDonald R L Derivatives Markets (Addison Wesley 2006 2nd edition)

References Cuthbertson K and Nitzsche D Financial Engineering Derivatives and Risk Management (Wiley 2001) Dowd K Measuring Market Risk (Wiley 2002) Hull J C Options Futures and Other Derivatives Fifth Edition (Prentice Hall 2003) Alexander C Market Models A Guide to Financial Data Analysis (Wiley 2001)

STAT3316 Advanced Probability (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimFollow-up This course provides an introduction to measure theory and probability The course will focus on some basic concepts in probability which are essential for students to read research papers in actuarial science probability and statistics

Contents Kolmogorov-Borel probability spaces σ-field measurability random variable integration theory of

expectation probabilistic inequalities pL - and Hilbert spaces conditional expectations limit theorems martingales and applications

Prerequisites STAT2303 or STAT2803 or similar level courses in probability theory

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 2-hour examination (50 weighting) and a coursework assessment (50 weighting) based on assignments practical work and a term test

Textbooks Jean Jacod and Philip Protter Probability Essentials (Universitext Springer-Verlag New York 2000)

References D Williams Probability with Martingales (Cambridge University Press 1991) KL Chung A Course in Probability Theory (Academic Press 2000 2nd edition) Y-h Chow and H Teicher Probability Theory (Springer-Verlag New York 1980) P Billingsley Probability and Measure (Wiley New York 1995 3rd edition) Robert B Ash Catherine Doleans-Dade Probability and Measure Theory (Academic Press San Diego 1999 2nd edition)

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 42: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 41 -

STAT3319 Statistics Project (12 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents Each year a few projects suitable for Statistics or Actuarial Science major students will be offered These projects under the supervision of individual staff members involve the application of statistics andor probability in interesting situations They provide students with practical experience in approaching a real problem in report writing and in oral presentation

Prerequisites STAT2301 or (STAT2802 and STAT2804) or STAT0102 or STAT0604 or (STAT2802 and STAT0801) Approval is subject to past academic performance Availability of this course to Actuarial Science students is also subject to a quota

Co-requisite Nil

Teaching The student is expected to meet and discuss with a supervisor regularly in the course of the project

Duration Two semesters (year long)

Assessment 80 written report 20 oral presentation

Textbooks ---

References ---

Offered from 2009-2010 For students admitted in 2007-08 or thereafter only

STAT3801 Advanced Life Contingencies (6 credits) Course Co-ordinator (Head of Department)

Maximum class size 75

Aim This course builds on the material covered in STAT2801 Several extensions of the basic theory of life contingencies and insurance models are discussed The analysis of financial benefits contingent on the time of death of a single life can be extended to benefits involving several lives The multiple decrement models instead of a single contingency of death are studied Applications of these advanced theories are given

Contents Select and ultimate tables multiple life functions multiple decrement models valuation for pension plans nonforfeiture benefits and dividends including surrender values and paid-up insurance gross premiums gross premium reserves alterations to life insurance policies

Prerequisites Students taking or having taken STAT2801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments and a class test

References Bowers N L et alli Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Jones B L Actuarial Models and Modelling An Interactive Approach (ACTEX Publications 2000) Cunningham R et al Models for Quantifying Risk (ACTEX Publications 2005)

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 43: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 42 -

STAT3802 Advanced Contingencies (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course serves as a continuation of STAT3801 and extends the coverage of statistical models and actuarial techniques used in the field of life insurance [Students are reminded that this course is a part of the requirement for the exemption from the Subject CT5 Contingencies of the Faculty and Institute of Actuaries UK]

Contents Topic covers further analysis of the multiple decrement model multiple state model disability contracts long-term care contracts unit-linked contracts with profit policies emerging costs methods profit testing asset shares cost of guarantees and options applications of actuarial techniques to a wide range of insurance problems

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (1st semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Neill A Life Contingencies (Heinemann 1977) Bowers N L et al Actuarial Mathematics (Society of Actuaries 1997 2nd ed) Scott W F Life Assurance Mathematics (Heriott-Watt University 1999)

STAT3806 Investment and Asset Management (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course provides basic analysis of various investment instruments and asset management techniques Emphasis will be placed on methods to tackle problems faced by insurance industry such as interest rate fluctuations

Contents Introduction to financial markets the structure of interest rates cash-flow matching methods and immunization models

Prerequisites STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References D Babbel amp F J Fabozzi Investment Management for Insurers (Frank J Fabozzi amp Assoc) F J Fabozzi Handbook of Fixed Income Securities (McGraw-Hill 2001 6th edition) R H Stapleford amp K W Stewart Introduction to the Formation of Investment Strategy for Life Insurance Companies and Pension Plans Z Bodie A Kane amp A Marcus Investments (McGraw-Hill 2005 6th edition) P Jorion Financial Risk Manager Handbook (Wiley 2005 3rd edition)

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 44: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 43 -

STAT3807 Fundamentals of Actuarial Practice (6 credits)

Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers basic principles of design risk classification pricingratemakingfunding profitsurplus analysis and valuation of financial security programmes including life health retirement plans and property casualty insurance

Prerequisite STAT3801

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One Semester (1st Semester)

Assessment One 2-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Bellis C Shepherd J and Lyon R Understanding Actuarial Management The Actuarial Control Cycle (Institute of Actuaries of Australia 2003) Bluhm W F Group Insurance (ACTEX Publications 2003 4th ed) Brown R L and Gottleib L R Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (ACTEX Publications 2001 2nd ed) Easton A E and Harris T F Actuarial Aspects of Individual Life Insurance and Annuity Contracts (ACTEX Publications inc 1999) Lam J Enterprise Risk Management From Incentives to Controls (John Wiley amp Sons 2003) Luenberger D G Investment Science (Oxford University Press 1998) McGill D M Brown K N Haley J J and Schieber S J Fundamentals of Private Pensions (Oxford University Press 2005 8th ed)

STAT3809 Current Topics in Actuarial Science (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

AimContents This course covers a range of topics related to professional actuarial work which may include topics from regulatory requirements law life health financial planning property and casualty and reinsurance

Prerequisite STAT3801 or (STAT2802 for students admitted in or before the academic year 2003-04)

Co-requisite Nil

Teaching The course consists of 2 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 2-hour written examination (40 weighting) and a coursework assessment (60 weighting) based on assignments tutorials and a class test

References ---

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 45: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 44 -

STAT3810 Risk Theory (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Risk theory is one of the main topics in actuarial science Risk theory is the applications of statistical models and stochastic processes to insurance problems such as the premium calculation policy modifications ruin probability etc

Contents Preliminaries individual risk models collective risk models ruin theory concepts of decision theory and application fundamental concepts of rating and application to simple experience rating systems techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position

Prerequisites

(Taking or having taken STAT2803) or STAT2303 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

Textbooks N L Bowers H U Gerber J C Hickman D A Jones amp C J Nesbitt Actuarial Mathematics (The Society of Actuaries 1997 2nd edition) S A Klugman H H Panjer amp G E Willmot Loss Models From Data to Decisions (John Wiley amp Sons Inc 2004 2nd edition)

STAT3811 Survival Analysis (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim This course is concerned with how models which predict the survival pattern of humans or other entities are established This exercise is sometimes referred to as survival-model construction

Contents The nature and properties of survival models including both parametric and tabular models Topics will be selected from methods of estimating tabular models from both complete and incomplete data samples including the actuarial moment and maximum likelihood estimation techniques methods of estimation parametric models from both complete and incomplete data samples including parametric models with concomitant variables evaluation of estimators from sample data valuation schedule exposure formulas practical issues in survival model estimation statistical models including binomial and Poisson models practical methods of estimating age specific single decrement rates analysis of age and duration practical considerations in life-office data collection monitoring actual experience against that expected

Prerequisites (Taking or having taken STAT2802) or STAT2301 or STAT2801 or STAT0102 or STAT0604 or STAT0801

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25 weighting) based on assignments tutorials and a class test

References Broverman S A ACTEX Study Manual for SOA Course 4 and CAS Exam 4 (ACTEX Publications 2000) Cox D R and Oakes D Analysis of Survival Data (Chapman and Hall 1984) Hosmer D W and Lemeshow S Applied Survival Analysis Regression Modeling of Time to Event Data (Wiley 1999) London D Survival Models and Their Estimation (ACTEX Publications 1997 3rd ed)

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 46: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 45 -

STAT3812 Stochastic Calculus with Financial Applications (6 credits) Course Co-ordinator (Head of Department)

Maximum class size ---

Aim Stochastic calculus has become an essential tool in economics insurance finance and econometrics This mathematical theory is the basis for pricing financial derivatives such as options and futures This course is designed for students to develop professional skills in stochastic calculus and its applications to actuarial science and finance Pure mathematical components of the course will be kept at a reasonably low level The course begins with an overview of the basic concepts from probability theory Stochastic processes especially Brownian motion and martingales will be discussed

Contents Itorsquos stochastic integral Itorsquos formula and stochastic differential equations After developing the theory of stochastic calculus Black-Scholes option pricing formula will be derived Interest rate models such as Vasicek and Cox-Ingersoll-Ross models will be studied

Prerequisites STAT2303 or STAT2803 or MATH2603 or STAT0103

Co-requisite Nil

Teaching The course consists of 3 lectures and 1 tutorial per week

Duration One semester (2nd semester)

Assessment One 3-hour written examination (75 weighting) and a coursework assessment (25) based on assignments tutorials and a class test

References Alison Etheridge A Course in Financial Calculus Oksendal Stochastic Differential Equations (5th edition chapters 2-5) Baxter amp Rennie Financial Calculus (chapter 3)

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 47: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 46 -

SECTION IV BSc(ActuarSc) Degree Regulations

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2004-05 or thereafter) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 48: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 47 -

(d) take a maximum of 84 credits of introductory level courses and the rest being advanced level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of advanced level courses from the Department of Statistics and Actuarial Science

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 49: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 48 -

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list shall be published of candidates successful in the examinations for each semester A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All introductory level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Dean via the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course with the prefix STAT leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses with other prefixes please check with the respective departments about the duration of examination and assessment ratio

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 50: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 49 -

REGULATIONS FOR THE DEGREE OF BACHELOR OF SCIENCE IN ACTUARIAL SCIENCE (BSc[ActuarSc]) (for students admitted in 2002-03 and 2003-04) (See also General Regulations and Regulations for First Degree Curricula) The degree of Bachelor of Science in Actuarial Science is an undergraduate degree awarded for the satisfactory completion of a prescribed course of specialist training in actuarial science Definitions AS1(1) In these Regulations and in the Syllabuses for the degree of BSc(ActuarSc) unless the context otherwise requires ⎯ lsquoCoursersquo means a course of instruction which normally carries 6 credits or in some cases 3 credits or multiples of 3 leading to one examination paper as defined in the syllabus lsquoPaperrsquo means one or more of the following tests a theoretical examination paper a practical examination paper an assessment of field practice a thesis and a dissertation or other assignments as prescribed in the syllabus of the course leading to it lsquoCreditsrsquo means the weight assigned to each course relative to the total study load The number of credits is indicative of the contact hours andor study time associated with the course on a weekly basis lsquoPre-requisitersquo means a course which candidates must have completed as specified to the satisfaction of the Head of Department before being permitted to take the course in question Admission to the degree AS2 To be eligible for admission to the degree of Bachelor of Science in Actuarial Science candidates shall

(a) comply with the General Regulations (b) comply with the Regulations for First Degree Curricula and (c) complete the curriculum in accordance with the regulations that follow

Length of study AS3 The curriculum shall normally extend over three academic years consisting of six semesters of full-time study excluding the summer semesters Candidates shall not in any case be permitted to complete the curriculum in more than four academic years which being the maximum period of registration Completion of the curriculum AS4 To complete the curriculum candidates shall

(a) satisfy the requirements prescribed in UG3 of the Regulations for First Degree Curricula(2) (b) enrol in not less than 180 credits of courses unless otherwise required or permitted under the

Regulations (c) follow the required number of compulsory and elective courses as prescribed in the syllabuses of the

equivalent of normally 60 credits for each year of study For each semester candidates shall select not less than 24 or more than 36 credits of courses except for the last semester of study

(d) take a maximum of 84 credits of junior-level courses and the rest being senior-level courses as prescribed in the syllabuses over the entire period of studies and

(e) take not less than 84 credits of senior-level courses from the Department of Statistics and Actuarial Science

(1) This regulation should be read in conjunction with UG1 of the Regulations for First Degree Curricula (2) The specific requirements applicable to candidates of this degree curriculum are spelt out in the syllabuses

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 51: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 50 -

Selection of courses AS5 Candidates who wish to withdraw from a course at the beginning of each semester may do so up to 2 weeks after the commencement of the semester Withdrawal beyond the 2-week deadline will not be permitted except for medical or other reasons acceptable by the Faculty Board and candidatesrsquo withdrawal from any course without permission will be given a failed grade Assessment and grades AS6 Candidates should be assessed for each of the courses which they have registered The assessment may take one or a combination of forms as prescribed in the syllabuses and shall normally include the candidatesrsquo coursework during the semester Only those satisfactorily completed courses will earn credits AS7 Candidatesrsquo performance in a course shall be assessed with the grading system as prescribed in UG5 of the Regulations for First Degree Curricula Failure in examination AS8 Candidates who fail in any course may as directed by the Board of Examiners be permitted to present themselves for re-assessment with or without repeating the failed course The timing and the form(s) of re-assessment shall be decided by the Board of Examiners Candidates shall not be allowed to repeat a course for which they have achieved a passed grade for upgrading purposes nor shall they be permitted to repeat a course more than once The failed grade will be recorded in the official transcripts The new grade obtained after re-assessment of the same failed course will also be recorded and will replace the previous F grade in the calculation of the weighted grade point averages As failed courses shall not be credited towards a degree failed compulsory courses must be re-assessed Absence from examination AS9 Candidates who are unable because of their illness to be present for any written examinations may apply for permission to present themselves for a supplementary examination to be held before the beginning of the first semester of the following academic year Any such application shall be made on the form prescribed within two weeks of the first day of absence from any examination Candidates who fail to satisfy the examiners in one or more papers in such a supplementary examination shall be considered under the provisions made in these Regulations for failure at the first attempt at the examination except that a further supplementary examination shall not be permitted Performance assessment AS10 At the end of each semester candidatesrsquo performance shall be assessed for the purposes of determining

(a) their eligibility for progression to an award of the degree (b) their eligibility for the award or (c) whether they be required to be discontinued from the programme

Progression of studies AS11 Candidates shall be permitted to progress if they have

(a) not exceeded the maximum period of registration and (b) accumulated not less than 30 credits and attained a GPA of 100 or above over the first and second

semesters or (c) accumulated not less than 30 credits and attained a GPA of 150 or above over the third and fourth

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 52: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Actuarial Science

- 51 -

semesters or (d) accumulated not less than 30 credits and attained a GPA of 150 or above over the fifth and sixth

semesters or (e) attained a semester GPA of 150 or above at the end of each subsequent semester

Those who have not been able to fulfill the requirements above shall be recommended for discontinuation from the programme under General Regulation G12 Award of the degree AS12 To be eligible for the award of the degree of BSc(ActuarSc) candidates shall have

(a) achieved a weighted GPA of 100 or above (b) successfully accumulated a minimum of 180 credits and (c) satisfied the requirements in UG3 of the Regulations for First Degree Curricula

Degree classification AS13 A list of candidates who have successfully completed all the degree requirements shall be published in five divisions First Class Honours Second Class Honours Division One Second Class Honours Division Two Third Class Honours Pass The classification of honours shall be determined by the Board of the Faculty at its full discretion by taking the overall performance of candidates and other relevant factors into consideration GENERAL FEATURES 1 Curriculum requirements Regulations AS1 to AS4 specify the requirements with which candidates have to comply for completion of the BSc(ActuarSc) degree programme For the fulfillment of Regulation UG3 ldquoRequirements for Graduationrdquo candidates shall complete successfully the language studies courses and the broadening courses as listed below Furthermore they should obtain a pass in an Information Technology proficiency test or successfully complete a 3-credit course in Information Technology 2 Course registration Course registration will take place before the commencement of each semester All junior-level courses should be taken in the first or second semester except those specified in the syllabuses In course registration candidates should pay special attention to the pre-requisite and co-requisite requirements of courses as specified in the syllabuses A prerequisite is a course which candidates must have completed in accordance with the conditions stipulated by the Head of Department before being permitted to take a course in question A co-requisite is a course which candidates must take at the same time as the course in question 3 Coursework and examination ratio Each 6-credit course leads to one written examination paper which will be two hours in length unless otherwise specified The final grading will be determined by performance in the examination and assessment of coursework in the ratio of 7525 unless otherwise stated For courses offered by the Schools of Business and Economics and Finance the assessment ratio will be announced by teachers at the beginning of each semester

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 53: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

SECTION V Teaching Weeks

Teaching Weeks 2007-2008 for Undergraduate and Taught Postgraduate Students

Semester Week Sun Mon Tue Wed Thur Fri SatSep 2007 1

1 2 3 4 5 6 7 8 2 9 10 11 12 13 14 15 3 16 17 18 19 20 21 22 4 23 24 25 26 27 28 29

Oct 2007 5 30 1 2 3 4 5 6 6 7 8 9 10 11 12 13 7 14 15 16 17 18 19 20 8 21 22 23 24 25 26 27

Nov 2007 9 28 29 30 31 1 2 3 10 4 5 6 7 8 9 10 11 11 12 13 14 15 16 17 12 18 19 20 21 22 23 24

Dec 2007

Firs

t Sem

este

r

13 25 26 27 28 29 30 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29

Jan 2008 30 31 1 2 3 4 5 6 7 8 9 10 11 12 14 13 14 15 16 17 18 19 15 20 21 22 23 24 25 26

Feb 2008 16 27 28 29 30 31 1 2 17 3 4 5 6 7 8 9

18 10 11 12 13 14 15 16 19 17 18 19 20 21 22 23

Mar 2008 20 24 25 26 27 28 29 1 21 2 3 4 5 6 7 8 22 9 10 11 12 13 14 15 23 16 17 18 19 20 21 22

24 23 24 25 26 27 28 29Apr 2008 25 30 31 1 2 3 4 5

26 6 7 8 9 10 11 12 27 13 14 15 16 17 18 19

Seco

nd S

emes

ter

28 20 21 22 23 24 25 26May 2008 27 28 29 30 1 2 3

4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31

Jun 2008 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 29 22 23 24 25 26 27 28

Jul 2008 30 29 30 1 2 3 4 5 31 6 7 8 9 10 11 12 32 13 14 15 16 17 18 19 33 20 21 22 23 24 25 26

Aug 2008 34 27 28 29 30 31 1 2 35 3 4 5 6 7 8 9 Su

mm

er S

emes

ter

36 10 11 12 13 14 15 16 Notes

First Semester (393007 ndash 22122007)

Second Semester (1412008 ndash 2452008)

Optional Summer Semester(2362008 ndash 1682008)

First day of teaching 392007 1412008 --- Last day of teaching 1122007 2642008 --- Classes suspended during the Chinese New Year --- 7 ndash 1222008 --- Readingfield trip week 15 ndash 20102007 3 ndash 832008 --- Revision period 3 ndash 8122007 2842008 ndash 352008 --- End-of-semester assessment 10 ndash 22122007 5 ndash 2452008 ---

First Semester 11 Mondays and Wednesdays 12 Tuesdays Thursdays Fridays and Saturdays Second Semester 11 Fridays 12 Mondays and Saturdays 13 Tuesdays Wednesdays and Thursdays

Additional classes to be arranged by departments to make-up for 12 full teaching weeks if necessary

Wednesday on 622008 is for morning session only

Public Holidays University Holidays 24122007 31122007 (afternoon) and 622008 (afternoon)

Reading week Class suspended during the Chinese New Year

- 52 -

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices
Page 54: 2007-2008 - Faculty of Science, HKUwebapp.science.hku.hk/sr3/download/BSc(AC)2007-08.pdfECON2102 Macroeconomic Theory 6 Microeconomic Analysis 6 ... SECTION II BSc(ActuarSc) Programmes

Location of Offices Faculty of Science G12 Chong Yuet Ming Physics Bldg

Tel 2859 2683 Fax 2858 4620

E-mail sciencehkuhk Website httpwwwhkuhkscience

Biochemistry 3F Laboratory Block Medicine Bldg

Tel 2819 9241 Fax 2855 1254

E-mail biochemhkusuahkuhk Website httpwwwhkuhkbiochem

Biological Sciences Rm 6N-01 Kadoorie Biological Sciences Bldg

Tel 2299 0600 Fax 2559 9114

E-mail bioschhkucchkuhk Website httpwwwhkuhkbiosch

Chemistry Rm G01 Chong Yuet Ming Chemistry Bldg

Tel 2859 7919 Fax 2857 1586

E-mail chemmailhkucchkuhk Website httpchemhkuhk

Earth Sciences Rm 309 James Hsioung Lee Science Bldg

Tel 2857 8558 Fax 2517 6912

E-mail earthscihkusubhkuhk Website httpwww3hkuhkearthsci

Mathematics Rm 408 Run Run Shaw Bldg

Tel 2859 2255 Fax 2559 2225

E-mail mathhkucchkuhk Website httpwwwhkuhkmath

Physics Rm 518 Chong Yuet Ming Physics Bldg

Tel 2859 2359 Fax 2559 9152

E-mail physdepthkucchkuhk Website httpwwwhkuhkphysicspublic_html

Statistics and Rm 502 Meng Wah Complex

Actuarial Science Tel 2859 2466 Fax 2858 9041

E-mail saashkuhk Website httpwwwhkuhkstatistics

Academic Services Rm UG05 Knowles Bldg

Enquiry Office Tel 2859 2433 Fax 2540 1405

E-mail afssreghkuhk Website httpwwwhkuhk

  • Contents
  • SECTION IList of BSc(ActuarSc) Courses on offer in 200708 and 200809
  • SECTION IIBSc(ActuarSc) Programmes on offer in 200708
  • SECTION IIIBSc(ActuarSc) Course Descriptions
  • SECTION IVBSc(ActuarSc) Degree Regulations
  • SECTION VTeaching Weeks
  • Location of Offices