The aim of this module is to provide a grounding in mathematical and statistical modelling techniques that are of particular relevance to survival analysis and their application to actuarial work.
Calculations in life assurance, pensions and health insurance require reliable estimates of transition intensities/survival rates. This module covers the estimation of these intensities and the graduation of these estimates so they can be used reliably by insurance companies and pension schemes. The syllabus also includes the study of various other survival models, and an introduction to machine learning. This module will cover a number of syllabus items set out in Subject CS2 – Actuarial Mathematics published by the Institute and Faculty of Actuaries.
Total contact hours: 42
Private study hours: 108
Total study hours: 150
60% Examination, 40% Coursework
Study notes published by the Actuarial Education Company for Subject CS2
Modelling Mortality with Actuarial Applications, MacDonald, Richards, Currie (2018)
See the library reading list for this module (Canterbury)
On successfully completing the module students will be able to:
1. describe, interpret and discuss key aspects and concepts involved in survival models;
2. demonstrate the capability to deploy established approaches accurately to analyse and solve complex problems using a high level of skill in calculation and manipulation of survival models;
3. demonstrate an appreciation of recent developments in survival analysis and modelling and the links between the theory of these topics and their practical application in loosely defined contexts.
4. apply the principles of survival analysis to complex financial instruments.
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