Week |
Subject |
Related Preparation |
1) |
General review of private pension funds and sosial security systems. |
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2) |
Defined benefit and defined contributions cost methods. |
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3) |
Rewiew of defıned benefit plans. Unit credit and projected unit credit methods. |
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4) |
Individual and aggregated methods in denifed benefit plans. |
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5) |
Inter model movements in Defined Benefit cost methods. |
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6) |
Defined Contributions cost methods. Basic investment policies. |
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7) |
Portfolio creation. Basic risk management strategies. |
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8) |
Risk hedging financial instruments. |
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9) |
Basic financial derivatives used in defined contributions plans. |
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10) |
Options, futures and forwards contracts. Binomial Model. Creation of risk elimination portfolio(hedging portfolio). |
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11) |
Black and Scholes Model. Model Greeks and usage of Greeks in Risk eliminations. |
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12) |
Basic option and advanced option strategies. Application examples. |
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13) |
Investment policies in defined contribution plans. Usage of annuities. Longevity risk and elimination of this risk. |
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14) |
Inter model movements between defined benefit and defined contribution methods. Advantages and disadvantages of plans. |
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15) |
Final exam. |
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16) |
Final Exam |
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Course Notes / Textbooks: |
Arthur W. Anderson, 'Pension Mathematics for Actuaries', ACTEX Publications 2006
David Blake, 'Pension Economics', John Wiley & Sons',Ltd 2006
William H. Aitken, 'Pension Funding and Valuation', ACTEX Publications 1996
David Blake, 'Pension Finance', John Wiley & Sons',Ltd 2006
Don M. Chance, 'An Introduction to Derivatives and Risk Management', Thomson - South Western 2004
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References: |
Olivia Mitchell, J. Poterba, M. Warshawsky, "New Evidence on the Money's Worth of Individual Annuities", NBER Working Paper.
D. Blake et.al, Pensionmetrics I and II, The Pension Institute, U.K. |
|
Program Outcomes |
Level of Contribution |
1) |
Acquire the quantitative skills to become an actuary. |
5 |
2) |
Will know about risks and ways to manage risk. |
4 |
3) |
Will know about financial planning and its role in actuarial management. |
4 |
4) |
Will be able to design new products and carry profitability tests and scenario analyses. |
4 |
5) |
Besides gaining competence in theoretical subjects, the graduate will also be aware of practical issues and applications through lecturers and instructors who have market experience. |
3 |
6) |
Will be able to follow all innovations and carry on research on the particular area. |
4 |
7) |
Will share information with colleagues and will use it for project development.. |
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8) |
Will be able to apply and make the necessary adaptation to all new rules and regulations. |
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