ACSI 5630 - Mathematics of Risk Management3 credit hours
Prerequisite: ACSI/MATH 4200/ACSI 5200 /MATH 5200 . A preparatory course for the Society of Actuaries Course 6. Topics include mathematical modeling of volatility; pricing of bonds, stocks, and other derivatives with uncertainty; benchmark portfolios; asset/liability management for property/casualty insurers; liability associated with a financially distressed company. Heath-Jarrow-Morton and Cox-Ingersoll-Ross models studied.
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