Math 437 Actuarial Financial Mathematics

Instructor: Jinguo Lian

Office: LGRT(1028)

Phone: (413)-545-6016

E-mail: jinguo@umass.edu

Website: https://people.math.umass.edu/~lian/interest.htm

Actuarial Career Fair

UMass actuarial club will hold the resume workshop for the actuarial majors on 9/13.

The actuarial career fair:  5:30pm-8:30pm, Monday Oct 3, LGRT16C on 16th Floor of LGRT of UMass Amherst. 

Class Schedule and Location

Section 1 (MWF: 1:25-2:15pm), Location: LGRC A201.

Office hours

Monday and Friday 2:30-3:30 in my office LGRT1028,  Wednesday 11:15am-12:15 pm in LGRT140.

Prerequisites

Math 131 and Math 132

Recommended materials

Textbook: ASM Study Manual for Exam FM 16th Edition by Cherry & Shaban, ISBN 978-1-64756-753-8 . You can buy the printed version through UMass ecampus or buy eBook online at https://www.studymanuals.com/Product/Show/453148564

Calculator (required): Texas Instruments BA II plus calculator or following models approved by SOA,

Teaching Assistants         

Grader: TBA

Description

This 3 credit hours course serves as preparation for SOA's second actuarial exam in financial mathematics, known as Exam FM or Exam 2. The course provides an understanding of the fundamental concepts of financial mathematics, and how those concepts are applied in calculating present and accumulated values for various streams of cash flows as a basis for future use in: reserving, valuation, pricing, asset/liability management, investment income, capital budgeting, and valuing contingent cash flows. The main topics include time value of money, annuities, loans, bonds, general cash flows, portfolios, and asset liability management. Many questions from Past Exam FM will be practiced in the course.

Learning Objectives

  1. Time Value of Money: students will understand and be able to perform calculations relating to present value, current value, and accumulated value.
  2. Annuities/cash flows with non-contingent payments. Students will be able to calculate present value, current value, and accumulated value for sequences of non-contingent payments.
  3.  Loans. Students will understand key concepts concerning loans and how to perform related calculations.
  4. Bonds. Students will understand key concepts concerning bonds, and how to perform related calculations.
  5. General Cash Flows, Portfolios, and Asset Liability Management. Students will understand key concepts concerning yield curves, rates of return, measures of duration and convexity, cash flow matching and immunization, and how to perform related calculations.

Study Groups

In the first class, I will ask students to organize the study groups voluntarily. From week 2, I will ask students to sit in a group to practice an in-class quiz and an in-class teamwork. I encourage you to actively discuss teamwork and homework questions with your group members, to practice keystrokes, and formulas, which may help you understand course material better, and be a quick path to prepare for Exam FM.

Course Requirements

Students should attend classes regularly and complete in-class teamwork.

Complete assigned homework.

Attend and complete the final exam.

Weekly Schedule

The following is meant to give a general idea of which sections are covered in which weeks

Week

Lecture

Events

Memo

Sept 4

Intro, 1.1, 1.2

First lecture is on Tuesday, Sept 5

 

Sept 11

1.3, 1.4, 1.5

9/11 is last day to add/drop

 

Sept 18

2.1, 2.2, 3.1

 

 

Sept 25

3.2, 3.3, 3.4

 

 

Oct 2

3.5, 4.1, 4.2

 

 

Oct 9

4.3, 4.4, 4.5

 Monday 10/9 is a Holiday; Tuesday is Monday's schedule

 

Oct 16

4.6, 4.7, 5.1

 

 

Oct 23

5.2, 5.3, 6.1

 

 

Oct 30

6.2, 6.3, 6.4

 Last day to Drop with ‘W’ and select 'P/F' - Undergraduate, is Tuesday 10/31

 

Nov 6

6.5, 6.6, 7.1

 Saturday, 11/11 is a Holiday

 

Nov 13

7.2,7.3, 7.4

 

 

Nov 20

8.1

Thanksgiving Recess begins after end of classes of Tuesday

 

Nov 27

8.2, 8.3, 8.4

 

 

Dec 4

9.1, 9.2, Final review

 Last class, Monday 12/8

 

Dec 11

Final exam: 12/14/2023, 1-3 pm in LGRCA201

  Final exam covers entire materials

 

Dec 18

 

Final grade is due by midnight Thursday, 12/21

Your grade will be posted on SPIRE.

Course information and communication

You may find the printable syllabus, PDF notes, exercises and homework on Canvas course. If you have any questions, you may discuss questions with your group members, schedule an in-person/a zoom appointment during my office hours.

Weights of Individual Assignments toward final grade

We have required teamwork, homework and final exam in the course. All of the questions are multiple-choice questions. you may draw a time diagram, write an equation, and use the corresponding keystrokes to complete the questions. There is only a universal make-up teamwork/homework at the end of semester. Each student can only make-up once for missed teamwork/homework.

In-class teamwork: We have an in-class teamwork in each class, the in-class teamwork will be 50% of final grading.

Homework\teamwork: We have 10 homework sets in total. Homework will be 40% of final grading.

Final Exam: we will hold a 2-hour final exam with 10 questions. The final exam will be 10% of final grading.

Bonus: you are encouraged to show teamwork solutions on board. Each correct solution will be worth 2 extra points (extra points will be added into your overall score directly). Each student can show three questions on board. Extra points are applied only if you attend the final exam.

Online Practice SOA Exam FM: if you want to practice more questions, you take Exam FM mock test at http://q40542.questionwritertracker.com/N8BXPANM/

Grading Scale

The final score is calculated by adding in-class teamwork portion (50%), Homework portion (40%), final exam (10%), and extra points. The letter grade will be assigned by following score intervals.

A = 90 - 100%

A- = 87 - 89.99%

B+ = 83 - 86.99%

B = 79 - 82.99%

B- = 75 -78.99%

C+ = 71 -74.99%

C = 67 - 70.99%

C- = 63 - 66.99%

D+ = 59 - 62.99%

D = 55 - 58.99%

F = 0 - 54.99%

Exam Policy

Students who enroll in this course will have to take the final exam within the scheduled exam time frame. During the proctored final exam, students must follow proctoring rules and requirements set by the instructor for the course.

 Please arrive 15 minutes early. You will not be admitted to the exam more than 30 minutes late.

Attendance and other class policies

Attendance: you must attend the course regularly to complete the assigned course work in a pointed period.

Special Accommodation

The University of Massachusetts Amherst is committed to making reasonable, effective and appropriate accommodations to meet the needs of students with disabilities and help create a barrier-free campus. If you have a disability and require accommodations, please register with Disability Services (161 Whitmore Administration building; phone 413-545-0892), meet with an Access Coordinator and send an accommodation letter to your faculty. Information on services and materials for registering are also available on the website www.umass.edu/disability.

Special accommodation request: new disability students should be certified by Umass disability service center (UDSC) at first, then you should ask UDSC to send the special accommodation documents to your instructor at the beginning of the semester. After that, your instructor may ask you to contact UDSC,

Trisha Link
Exam Proctoring Coordinator
examsaccess@admin.umass.edu
413-545-0892
169A Whitmore

directly to schedule an appointment, UDSC will notify you when and where to take the exam in a few days before the exam . For the documented disability students, UDSC will notify you when you should schedule the final exam in UDSC.

Makeup Policy: For Teamwork/homework, you may work with your group members together in the pointed time frame during the class, there is no extension or make-up for homework/teamwork unless you are a documented special accommodation student and can provide me with an official document.

For the final exam, unless there is an unpredicted reason, if you have a schedule conflict, you should provide me with an official document at least two weeks early to request a make-up exam.

Contingency plan

Before the semester, please test the technology that we use. If you have difficulty accessing UMass Canvas, please contact UMass OIT support https://www.umass.edu/it/support.

Gradescope: you will need a gradescope account with www.gradescope.com for submission of written teamwork and homework. I will notify you how to log on to the gradescope account after the first week of the semester.

Help

The best way to get help is to send me an email at jinguo@umass.edu to schedule an appointment during my office hours, you can drop by my office or meet through zoom.

Incompletes

An Incomplete is possible only if: (1) you had a compelling personal reason, e.g., serious illness; (2) your work has clearly been passing; and (3) there is a good chance you'll complete the course with a passing grade within the allotted time. Thus, failing work is no reason for an Incomplete.

Academic Honesty Statement

Since the integrity of the academic enterprise of any institution of higher education requires honesty in scholarship and research, academic honesty is required of all students at the University of Massachusetts Amherst. Academic dishonesty is prohibited in all programs of the University. Academic dishonesty includes but is not limited to cheating, fabrication, plagiarism, and facilitating dishonesty. Appropriate sanctions may be imposed on any student who has committed an act of academic dishonesty. Instructors should take reasonable steps to address academic misconduct. Any person who has reason to believe that a student has committed academic dishonesty should bring such information to the attention of the appropriate course instructor as soon as possible. Instances of academic dishonesty not related to a specific course should be brought to the attention of the appropriate department Head or Chair. Since students are expected to be familiar with this policy and the commonly accepted standards of academic integrity, ignorance of such standards is not normally sufficient evidence of lack of intent (http://www.umass.edu/dean_students/codeofconduct/acadhonesty/).

Title IX Statement

In accordance with Title IX of the Education Amendments of 1972 that prohibits gender-based discrimination in educational settings that receive federal funds, the University of Massachusetts Amherst is committed to providing a safe learning environment for all students, free from all forms of discrimination, including sexual assault, sexual harassment, domestic violence, dating violence, stalking, and retaliation. This includes interactions in person or online through digital platforms and social media. Title IX also protects against discrimination on the basis of pregnancy, childbirth, false pregnancy, miscarriage, abortion, or related conditions, including recovery. There are resources here on campus to support you. A summary of the available Title IX resources (confidential and non-confidential) can be found at the following link: https://www.umass.edu/titleix/resources. You do not need to make a formal report to access them. If you need immediate support, you are not alone. Free and confidential support is available 24 hours a day / 7 days a week / 365 days a year at the SASA Hotline 413-545-0800.

Reimburse your Exam FM expense.

The department will reimburse the full fee (up to $500) for any of the first three exams that are successfully passed. For detailed information, you may look over the following page.

https://www.math.umass.edu/undergraduate/actuarial-science#Exam%20Fund