Actuarial Reference Library and
electronic database at the Centre
for students,
researchers and practitioners.
One of the main activities of the Centre is a creation of
actuarial library and electronic database of actuarial references, which will
serve students, researchers and practitioners in their further actuarial
education and/or research in
At present the Centre holds enough
actuarial educational materials (UK IoA Core
Readings) for 100 series subjects of the UK Institute of Actuaries. Some
textbooks have already been granted by the UK Institute of Actuaries, Casualty
Actuarial Society (USA),
It
should be noticed that our Actuarial Reference Library is open to the public,
however according to the International Copyright Law all of its items must be
considered as reference ones that can not be borrowed or entirely copied.
The
Centre also plans to create an electronic database of journals of actuarial
science, insurance and finance.
Below
you can find the complete list of all recommended books/texts for 100 series
subjects of the UK Institute of Actuaries. Some of them are available at the
Centre. The brief description of each book from this list is provided. In the
list of literature provided below the candidates may find a number of textbooks
recommended also by the US SOA/CAS.
All
Core Readings for 100 series subjects have been granted by the UK Institute of
Actuaries.
SUBJECT 101: STATISTICAL MODELING
SUBJECT 102:
FINANCIAL MATHEMATICS
SUBJECT
103: STOCHASTIC MODELLING
SUBJECT
105: ACTUARIAL MATHEMATICS 1 (LIFE INSURANCE)
SUBJECT
106: ACTUARIAL MATHEMATICS 2 (NON-LIFE INSURANCE)
SUBJECT
108: FINANCE AND FINANCIAL REPORTING
SUBJECT 109:
FINANCIAL ECONOMICS
ADDITIONAL
LITERATURE ON FINANCIAL AND ACTUARIAL MATHEMATICS,
INSURANCE AND
ECONOMICS FOR RESEARCHERS
SUBJECT 101:
STATISTICAL MODELING
Rice, John, Mathematical Statistics and Data Analysis. – Duxbury Press 1995, ISBN
0534209343 This is the first text in a generation to re-examine
the purpose of the mathematical statistics course. The book's approach interweaves
traditional topics with data analysis and reflects the use of the computer
with close ties to the practice of statistics. The author stresses analysis
of data, examines real problems with real data, and motivates the theory. This textbook
is highly recommended for intermediate students in statistics.
Casella, G. and Berger, R., Statistical Inference. Duxbury Press 2002, ISBN 0534243126 Intended for first-year graduate students specializing in statistics,
this textbook seeks to build theoretical statistics from the first
principles of probability theory. It covers the basics of probability
theory and details major statistical principles, including sufficiency,
likelihood, and invariance. It then outlines the methods of inference,
estimation, and hypothesis testing. Special topics like asymptotic
evaluations, analysis of variance and regression, and regression models are
also discussed.
SUBJECT
102: FINANCIAL MATHEMATICS
McCutcheon,
John J. and Scott, William F., An
introduction to the mathematics of finance. Butterworth-Heinemann, 2002, ISBN 0750600926 This book develops the classical theory
of compound interest (in which the force of interest is constant) as a
special case of a more general model. It also discusses applications of the
theory to the capital redemption policies, the valuation of stock market
securities, consumer credit calculations, and provides simple introductions
to stochastic interest rate models. The UK Institute of Actuaries Core
Reading for subject 101 Financial Mathematics is completely based on this
textbook.
S. Broverman, Mathematics
of Investment and Credit, 2nd Edition, ACTEX, 1996, ISBN 1566982189
This text is a thorough treatment of the theory of interest,
and its application to a wide variety of financial instruments. It
emphasizes a direct-calculation approach to reaching numerical results, and
uses a gentle, thorough pedagogic approach. Major features of the text
include a full chapter on stochastic interest rate models, including
real-world applications of theory, a large number of worked examples, and
end-of-chapter exercises. Students will find this text to be valuable
supplementary reading in preparing for the Course 2 Examination of the
Society of Actuaries.
S. Broverman, Mathematics
of Investment and Credit Solutions Manual 2nd edition, ACTEX, 1996,
ISBN 1566982197 This is Solutions Manual for the textbook Mathematics of
Investment
M. Sherris, Money and
Capital Markets: Pricing, Yields and Analysis, 2nd Edition, Allen &
Unwin, 1996, ISBN 1864481595 This textbook provides
the most up-to-date, practical coverage of the pricing and analysis of
financial instruments and transactions available for Australian and
international capital markets. It is essential reading for tertiary
students of finance, accounting and actuarial studies.
SUBJECT 103:
STOCHASTIC MODELLING
Brzezniak, Zdzislaw and Zastawniak, Tomasz, Basic
stochastic processes: A course through exercises. Springer,
1998, ISBN 3540761756 This book is a final year undergraduate
text on stochastic processes, a tool used widely by statisticians and
researchers working in the mathematics of finance. The book will give a
detailed treatment of conditional expectation and probability, a topic which
in principle belongs to probability theory, but is essential as a tool for
stochastic processes. The author has concentrated on the major topics within
stochastic analysis: Stochastic Processes, Markov Chains, Spectral Theory,
Renewal Theory, Martingales and Itô Stochastic Processes.
Grimmett,
Geoffrey and Stirzaker, David, Probability
and random processes. 3rd ed. It discusses a wide range of random processes in some depth with
many examples, and gives the beginner some flavour of more advanced work,
by suitable choice of material. The book begins with basic material
commonly covered in first-year undergraduate mathematics and statistics
courses, and finishes with topics found in graduate courses.
Norris, Markov Chains. In this rigorous account the author studies both discrete-time
and continuous-time chains. A distinguishing feature is an introduction to
more advanced topics such as martingales and potentials, in the established
context of Markov chains. There are applications to simulation, economics,
optimal control, genetics, queues and many other topics, and a careful
selection of exercises and examples drawn both from theory and practice.
This is an ideal text for seminars on random processes or for those that
are more oriented towards applications, for advanced undergraduates or
graduate students with some background in basic probability theory. Peter J. Brockwell, Richard A.
Davis, P. J. Rockwell Introduction to Time Series and Forecasting. Springer Verlag,
2002 ISBN 0387953515 This is an introduction to time series that emphasizes
methods and analysis of data sets. The logic and tools of model-building
for stationary and non-stationary time series are developed and numerous
exercises, many of which make use of the included computer package, provide
the reader with ample opportunity to develop skills. Statisticians and
students will learn the latest methods in time series and forecasting,
along with modern computational models and algorithms.
James D. Hamilton, Time Series Analysis. James Hamilton provides the first adequate text-book
treatments of important innovations such as vector autoregressions,
generalized method of moments, the economic and statistical consequences of
unit roots, time-varying variances, and nonlinear time series models. Time
Series Analysis fills an important need for a textbook that integrates
economic theory, econometrics, and new results.
Dick London, Survival
Models and Their Estimation, 3rd Edition, ACTEX, 1997 ISBN 1566982685 This text gives a general
description of the properties and characteristics of survival models and
statistical procedures for estimating such models from sample data. Several
approaches and applications are considered, including those of actuarial
science, clinical survival studies, epidemiology and reliability
engineering.
The text
includes numerous examples and exercises and an extensive bibliography for
further research and study.
Dick London, Survival
Models and Their Estimation Manual, 3rd Edition, ACTEX, 1997 ISBN
1566982928 This is
Solutions Manual for the textbook Survival Models and Their Estimation
Klein J. and Moeschberger
M., Survival Analysis: techniques for censored and
truncated data. Springer, 1997 ISBN
038795399X Applied statisticians in many fields frequently analyse
time-to-event data. While the statistical tools presented in this book are
applicable to data from medicine, biology, public health, epidemiology,
engineering, economics and demography, the focus here is on applications of
the techniques to biology and medicine.
SUBJECT 105:
ACTUARIAL MATHEMATICS 1 (Life Insurance)
Bowers, Newton L. et al., Actuarial
mathematics – 2nd ed. Society of Actuaries, 1997 ISBN 0938959468 The second edition of this
foundational book for the actuarial science
profession is well suited to self-study. Highly readable and illustrated
lavishly with charts, graphs and tables, this text also contains exercises
to further clarify key concepts.
Gerber, H. U., Life
insurance mathematics – 3rd ed. Springer. Swiss Association of Actuaries, 1997 ISBN 354062242X. The book introduces the model of life contingencies (the
theory behind actuarial work in life insurance and pension funds) as well
as the theory of compound interest, the numerical evaluation of the
distribution of aggregate claims, and the statistical problem of estimating
death rates and other probabilities of decrement from observations.