## 港中文精算本科全部课程 ## 港中文精算本科精算核心课程

• FINA2220 Quantitative Methods for Actuarial Ana I
• FINA2200 Introduction to Actuarial Science
• FINA3220 Life Contingencies I
• FINA4210 Life Contingencies II
• FINA4250 Applications of Risk Models
• FINA3240 Corporate Property and Liability Insurance
• FINA4220 Non-life Actuarial Models
• FINA3070 Corporate Finance: Theory and Practice
• FINA3080 Investment Ana and Portfolio Management
• FINA3250 Derivatives for Actuaries I
• FINA3290 Linear Models for Actuaries
• FINA3295 Adv Stat Model for Insur and Fin
• DSME1030 Eco for Business Studies I
• DSME1040 Eco For Business Studies II
• ACCT1111 Foundations in Fin'l Accounting
• FINA2010 Financial Management
• FINA2230 Quantitative Methods for Actuarial Ana II
• FINA3210 Risk Management and Insurance
• FINA3230 Life and Health Insurance ## P 概率论

### FINA2220 Quantitative Methods for Actuarial Ana I

• Chapter 1 Combinatorial Analysis

• Basic principle of counting; permutations; combinations; multinomial coefficients.
• Chapter 2 Axioms of Probability

• Sample space and events; axioms of probability; some simple propositions; sample spaces having equally likely outcomes;probability as a measure of belief.
• Chapter 3 Conditional Probability and Independence

• Conditional probabilities; Bayes's formula; independent events; P(·|F) is a probability.
• Chapter 4 Random Variables

• Discrete random variables; expected value; expectation of a function of a random variables; variance; Bernoulli, binomial, Poisson, negative binomial, geometric, and hypergeometric random variables; sums of random variables; cumulative distribution function.
• Chapter 5 Continuous Random Variables

• Expectation and variance; uniform, normal, exponential, gamma, and weibull random variables; distribution of a function of a random variable.
• Chapter 6 Joint Distributed Random Variables

• Joint distribution functions; independent random variables; sums of independent random variables; conditional distributions; order statistics; joint probability distribution of functions of random variables.
• Chapter 7 Properties of Expectation

• Expectation of sums of random variables; covariance, variance of sums, and correlations; conditional expectation; probability and moment generating functions; additional properties of normal random variables
• Chapter 8 Limit Theorems

• Chebyshev's inequality; weak law of large numbers; central limit theorem; strong law of large numbers; Jensen's inequality

## FM 利息理论

### FINA2200 Introduction to Actuarial Science

• Chapter 1 Interest Accumulation and Time Value of Money

• Accumulation functions; simple and compound interest; frequency of compounding; effective rate of interest; Rates of discount, force of interest; future & present value of a single payment; equation of value
• Chapter 2 Annuities

• Annuities due and immediate; perpetuity; deferred annuity; annuity values at other times; Annuities under other accumulation methods; annuities with varying interest rates; Continuous annuities; variable annuities; term of annuity and rate of interest
• Chapter 3 Interest Rates

• Spot rates; forward rates and the term structure; Interest rate swaps
• Chapter 4 Rates of Return

• Internal rate of return; One period rate of return; rate of return over multiple periods portfolio return
• Chapter 5 Loans and Costs of Borrowing

• Outstanding loan balance; Amortization schedules; Sinking funds; varying instalments and varying interest rates; practical applications
• Chapter 6-8 Bonds

• Bond evaluation; bond amortization schedules; bond Management
• Chapter 9

• Determinants of interest rates

## LTAM 寿险精算

### FINA3220 Life Contingencies I

• Chapter 1 Survival Models

• The future lifetime random variables; the force of mortality; actuarial notation; mean and standard deviation of future life time random variables; curtate future lifetime
• Chapter 2 Life Tables and Selection

• Life tables; fractional age assumptions; national life tables; survival models for life insurance policyholders; life insurance underwriting; select and ultimate survival models; notation and formulae for select survival models; select life tables; comments on heterogeneity in mortality; mortality trends
• Chapter 3 Life Insurance

• Assumptions; valuation of insurance benefits; relating actuarial present values for continuous and discrete cases; variable insurance benefits; functions for select lives
• Chapter 4 Life Annuities

• Review of annuities-certain; life annuities payable with different payment frequencies; deferred annuities; guaranteed annuities; increasing annuities; evaluating annuity functions; numerical illustrations; functions for select lives

• Assumptions; the present value of future loss random variable; the equivalence principle; gross premium; profit; the portfolio percentile premium principle; extra risks
• Chapter X Net Level Premium Benefit Reserves

• 详细内容见 FINA4210 Life Contingencies II Chapter 6 Net Premium Reserve

### FINA4210 Life Contingencies II

• Chapter 6 Net Premium Reserve

• Prospective and recursive calculation, interim reserve, Thiele’s differential equation
• Chapter 7 Insurance Models Including Expenses

• Gross premium reserve, expense reserve, modified reserve, profit and its decomposition
• Chapter 8 Multiple Decrements: Theory

• Force of decrement, associated single decrement, fractional age assumptions
• Chapter 9 Multiple Decrements: Applications

• EPV, reserve and profit calculations
• Chapter 13 Deterministic Profit Testing

• Profit vector and profit signature, application in pricing and valuation
• Chapter 12 Pension Plans

• Salary projection, DB plans, accrued and non-accrued benefits, service table, valuation and funding of plans

### FINA4250 Applications of Risk Models

• Chapter 11 Multiple Life Functions

• Insurance and annuities for joint and last survivor statuses, contingent life functions, dependent life models
• Chapter 14 Survival Analysis

• Non-parametric estimation (KM and NA estimators), large sample approximation, interval-based approximation
• Chapter 10 Multiple State Models

• Transition probability matrix and intensity, the Kolmogorov forward equations, pricing and valuation
• Chapter 16 Health Benefits

• Health policies: features, modelling and pricing, continuing retirement caring community
• Chapter 15 Mortality Improvement

• Mortality improvement scales, stochastic mortality models

## STAM 非寿险精算

### FINA3240 Corporate Property and Liability Insurance

• Chapter 1 Why Insurance?
• Chapter 2 Property and Casualty Coverages
• Chapter 3 Ratemaking
• Chapter 4 Loss Reserving
• Chapter 5 Intermediate Topics

### FINA4220 Non-life Actuarial Models

• Chapter 1 Practical Considerations in Parametric Estimation

• Maximum likelihood estimation for truncated and censored data, standard error and CI; Validation and Selection of Parametric Models (pp plot, KS test, likelihood ratio test, SBC and AIC)
• Chapter 2 Fundamentals of Loss Models

• Introduction to aggregate loss model, creating severity distribution; The (a, b, 0) class, property of Poisson distribution; Thinning. computation of compound distribution, stop loss insurance
• Chapter 3 Greatest Accuracy Credibility

• Hierarchical linear model, the Bühlmann model; The Bühlmann model: harder examples, estimation; the Bühlmann-Struab model
• Chapter 4 Estimation of Credibility Factor

• Estimation in the Bühlmann-Struab model, semi-parametric estimation; Classical credibility and its failure
• Chapter 5 Individual Policy Modifications

• Definition of limited expected value; Coverage modifications: deductible and bonus; Coverage modifications: limit, inflation; the (a, b, 1) class; Thinning of (a, b, 1), Panjer’s recursion, interaction of frequency and severity

## IFM 衍生品定价

### FINA3070 Corporate Finance: Theory and Practice

（课件暂缺，有该科目课件的同学请联系我）

### FINA3080 Investment Ana and Portfolio Management

（课件暂缺，有该科目课件的同学请联系我）

### FINA3250 Derivatives for Actuaries I

• Chapter 1 Introductory Derivatives

• Underlying assets, Prepaid forward and forward contract, Currency forwards, Put-call parity, Option strategies, Path-dependent options, Futures contracts and their options
• Chapter 2 The Binomial Tree Model

• Replicate derivatives in a single-period binomial tree; Multi-period tree; Pricing American options, volatility and tree construction; Pricing currency option using binomial tree; Limit of binomial tree
• Chapter 3 The Black-Scholes Model

• The lognormal distribution; The Black-Scholes framework, Risk-neutral pricing, The Black-Scholes formula, Pricing currency options and options on discrete-dividend paying stock
• Chapter 4 Greek Letters and Their Applications

• Greek letters: calculation; Greek letters: qualitative properties, elasticity, delta-gamma-theta app; Delta-hedging, rebalancing, Gamma-neutrality
• Chapter 5 Exotic Options

• Asian, exchange and chooser options; Compound, forward start, lookback and shout options
• Chapter 6 Options in Insurance

• Variable annuities; Other types of insurance guarantees; Risk management
• Chapter 7 Further Topics on Options

• Price and convexity constraint for options; Option bounds; Effect of time to expiration; Exercising of American call; Decision trees and real options
• Chapter 8 Investment Risk Measures

• Investment risk measures: Variance and semi-variance; Var and TVaR; Coherence

## SRM 统计建模

### FINA3290 Linear Models for Actuaries

• Chapter 1 Exploratory Data Analysis

• Graphical tools; estimation and hypothesis testing; correlation analysis
• Chapter 2 Simple Linear Regression

• Model assumptions; parameter estimation; statistical inference on parameters; predicted values, confidence and prediction intervals
• Chapter 3 Multiple Linear Regression I

• Model assumptions; parameter estimation; statistical inference on parameters; predicted values, confidence and prediction intervals
• Chapter 4 Multiple Linear Regression II

• Transformation of variables; interactions; qualitative independent variables
• Chapter 5 Variable Selection and Diagnostic Checking

• Automatic variable selection procedures; residual analysis; influential points; collinearity; selection criteria; heteroscedasticity
• Chapter 6 Categorical Dependent Variables

• Binary, nominal and ordinal dependent variables; logistic and probit regression models
• Chapter 7 Count Dependent Variables

• Poisson regression; overdispersion and negative binomial models
• Chapter 8 Generalized Linear Models

• GLM models; estimation; residual analysis; Tweedie Distribution

### FINA3295 Adv Stat Model for Insur and Fin

• Chapter 1 Modeling Trends

• Time series data; objectives of time series analysis deterministic and stochastic trend models; white noise process; stationarity
• Chapter 2 Autocorrelation and Linear Time Series Models

• Autocorrelations; partial autocorrelations; sample moments; AR, MA, ARMA models; nonstationary time series; ARIMA models; variable stabilizing transformations
• Chapter 3 Statistical Inference of Linear Time Series Models

• Forecasting; model identification; parameter estimation; diagnostic checking; Box-Jenkins approach; model selection; forecast evaluation; choice of sample period; seasonal ARIMA models
• Chapter 4 Other Forecasting Methods and Time Series Models

• Smoothing with moving averages; exponential smoothing; unit root tests; ARCH and GARCH models
• Chapter 5 Statistical Learning

• Prediction accuracy vs model interpretability; supervised vs unsupervised learning; regression vs classification problems; assessing model accuracy
• Chapter 6 Resampling Methods and Linear Model Selection

• Cross-validation; subset selection
• Chapter 7 Linear Model Regularization

• Ridge regression; the lasso; K-nearest neighbors; dimension reduction methods; high dimensional data
• Chapter 8 Tree-based Methods

• Basics of decision trees; bagging, random forests; boosting
• Chapter 9 Principal Components Analysis

• Principal components and their interpretation
• Chapter 10 Clustering Analysis

• K-means clustering; hierarchical clustering, practical issues

## VEE-Economics

### DSME1030 Eco for Business Studies I

（课件暂缺，有该科目课件的同学请联系我）

### DSME1040 Eco For Business Studies II

（课件暂缺，有该科目课件的同学请联系我）

## VEE-Accounting and Finance

### ACCT1111 Foundations in Fin'l Accounting

（课件暂缺，有该科目课件的同学请联系我）

### FINA2010 Financial Management

（课件暂缺，有该科目课件的同学请联系我）

## VEE-Mathematical statistics

### FINA2230 Quantitative Methods for Actuarial Ana II

• Chapter 8 Sampling Distribution

• Population and sample, random sampling, parameter and sample statistics; The Chi-Square Distribution, The t Distribution, The F Distribution
• Chapter 9 Point Estimation

• Methods of moments, percentile matching, maximum likelihood estimation, properties of estimator including MSE, efficiency, UMVUE, consistency
• Chapter 10 Interval Estimation

• Confidence interval, estimation of means, difference between means, variance, ratio of variances, proportions, and difference between proportions
• Chapter 11 and 12 Statistical Inference

• Null and alternative hypothesis, significance, two types of error, power, p-value, NP lemma, UMPT, LRT, standard tests including mean and variance, mean difference and ratio of variance, tests for proportion including test for equality of proportion and contingency tables, one-way ANOVA, goodness-of-fit test, information criteria
• Chapter 13 Bayesian Analysis

• Prior and posterior distribution, credibility interval, p-value under Bayesian test