Monday May 26 121pm

1
Honours in Actuarial Studies

• Monday May 26 12-1pm
• MAT D
• Professor Michael Sherris

2
Agenda

• Professor Sherris - honours entry requirements,
  application procedures, supervision, assessment
• Christian Sutherland-Wong - a current student
  perspective
• Questions

3
Entry Requirements

• Competitive entry, limited places (2 to 4)
• Academic qualifications and research potential
  the key factors
• High achieving students (distinction average and
  higher)
• Keen interest in learning about and doing
  research
• Topic and availability of supervision

4
Entry Requirements

• Minimum academic requirements
• at least 71 average in Actuarial Courses
  (normally much higher)
• normally gained at least 7 (preferably 8) of the
  Part I exemptions,
• no failures, and an overall high
  credit/distinction average in your studies
  (normally distinction or high distinction)
• a proposed thesis topic that can be supervised by
  the Actuarial Studies staff

5
Application

• Honours brochure plus application form
• Application due on last day of Session 2
• Preliminary assessment based on grades and topic
• Interview for applicants may be required
• Notified of outcome after grades are finalised
  for Session 2

6
Why do Honours?

• To develop higher level research skills
• Complete a thesis on a current advanced topic
• To meet requirements to do a Masters by Research
  or a PhD now or in the future (perhaps overseas)
• Complete Part II courses (many actuarial honours
  applicants have completed these in a 4 year
  program)

7
Courses

• ACTL4000 Thesis (full year) 24 UOC
• ACTL4003 Research Topics in Actuarial Science
  (Session 1) 6 UOC
• ACTL4001 and ACTL4002 Actuarial Theory and
  Practice A and B (Part II courses - Session 1 and
  Session 2) 6 UOC each or 2 electives at Year 3 or
  honours level agreed with Head, Actuarial Studies
• 1 elective - may include a Year 3 ACTL course

8
Honours Assessment

• Final grade is based on the maximum ofBasis 1 -
  100 Year 4 - 65 Coursework and 35 ThesisBasis
  2 - 70 Year 4 - 50 Coursework and 50 Thesis
  and 30 Year 2 and 3 Courses - 2/3rds Actuarial
  and 1/3rd other
• The mark from this determines Honours grade as
  followsgt90 University medal gt85 First class
  gt75 2nd class 1st Division gt65 2nd class 2nd
  Division gt55 3rd Class

9
Thesis Assessment

• Components Weight Topic - Relevance, Level of
  Difficulty 5Structure of Thesis 10Literature
  Review 25Problem Formulation 10Data Analysis
  and/or theoretical developments 15Conclusions
  and Results 10Grammar, Spelling, Length
  10Originality of Contribution 15Total 100

10
Potential Supervisors

• Professor Michael Sherris
• Associate Professor Emil Valdez
• Dr Tina Castillo
• Dr Jiwook Jang
• Sachi Purcal
• Bernard Wong

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Topics

• You can select but need to have a supervisor who
  has agreed to supervise the topic
• Most students complete a topic related to current
  research interests of staff
• Thesis outline and literature review finalised by
  end of Session 1 in Honours year (preferably
  before)
• Thesis due on last day of Session 2

12
Topics - Professor Sherris

• Insurance pricing, solvency and capital
  requirements
• Risk measures and application to premium rating
  and investment strategy
• Risk management strategies, risk linked
  securities
• Application of financial theory and option
  pricing theory to insurance and superannuation

13
Topics - Professor Valdez

• Elliptical Distributions, Copula modeling and
  dependencies
• Managing Retirement Income Assets
• Risk Measures and Capital Requirements
• Survival analysis, mortality investigations,
  competing risk models
• Application of financial economics in actuarial
  science

14
Topics - Sachi Purcal

• Asset and liability modelling
• Computable general equilibrium models in finance
  and insurance
• Insurance and retirement economics
• Application of financial economics to actuarial
  problems

15
Topics - Dr JiWook Jang

• Pricing insurance and reinsurance using advanced
  stochastic models
• Electricity pricing and shot-noise process
• Stochastic processes in actuarial science,
  insurance and finance
• Theory and application of piecewise deterministic
  Markov processes

16
Topics - Dr Tina Castillo

• Optimal Control in Insurance
• Risk Theory
• Spectral theory of Ordinary Differential
  Operators

17
Topics - Bernard Wong

• Coherent Risk Measures and relationship to
  Financial Valuation
• Change of Measure and Stochastic Volatility
  Modeling
• Stochastic Analysis and Exponential Martingales
• Numerical Methods, Simulation
• Econometric Methods for Continuous Time Financial
  Modeling

18
Christian Sutherland-Wong

• Student perspective

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Procedure

• Decide if you want to do research training
• Discuss possible topics with actuarial staff and
  find out who might be available to supervise your
  topic
• If you are really interested, arrange an
  appointment with Professor Sherris and Valdez to
  discuss your proposed honours study during 2nd
  session
• Apply before end of Session 2

20
QUESTIONS

• Entry requirements
• Courses and assessment
• Topics
• Supervisors
• PhD or research degrees