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Actuarial Science (MSc Actuarial Science and Mathematical Finance)
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The study programme

In the study programme of the Actuarial Science track, the focus is on how you can apply the latest techniques and practices in the fields of big data science and behavioural insurance and finance in an organisation.

Learn advanced techniques from industry professionals

The study programme features lectures and seminars by leading scholars in the fields of big data science, sustainability of pension systems and behavioural insurance and finance, and by a number of professionals who work in the industry itself. You will learn the most advanced techniques, practices and insights of today.

The programme

Actuarial Science is one of the tracks of the MSc Actuarial Science and Mathematical Finance. During your Master's you will follow 6 general courses and 3 track-specific electives. You will finish with a thesis. If you have a fundamental drive to challenge the corporate environment, you can participate in our Honours programme.
This track offers ample space for electives that can be selected to meet the entry requirements of the Postmaster Actuarial Practice Cycle. With this Postmaster, you will qualify for membership of the Royal Dutch Actuarial Society.

  • Compulsory courses

    Asset Liability Management - Cases and Skills

    In this hands-on seminar you will learn about the practical implementation of an Asset Liability Management (ALM) study focusing on the match between investment policies and liabilities. The cases involve theoretical aspects such as asset dynamics and liability modelling, numerical aspects like Monte Carlo simulation as well as practical communication and team working skills.

    Financial Mathematics for Insurance

    In this course you learn the basic principles of asset pricing and risk mitigation on a market-consistent basis. The course provides an introduction to mathematical techniques which can be used in complete markets such as those for equity and interest derivatives, but it also considers incomplete markets.

    Non-life Insurance - Statistical Techniques and Data Analysis

    In this course you study statistical techniques that can be applied in non-life insurance. We explore Generalized Linear Models for determining insurance prices. Also, we take a look at IBNR models for predicting future payments on claims regarding events that have occurred in the past but are not yet (fully) known to the insurer. Another topic is credibility theory to predict future claims. Apart from the theory, we study and practice the implementation of the techniques using the programming language R.

    Principles of the Mathematics and Economics of Risk

    The course will cover the basics of information theory, including information asymmetry, moral hazard and adverse selection and the basics of behavioural insurance and finance.

    Risk Management for Insurance and Pensions

    This course provides an in-depth treatment of the principles of (quantitative) risk management for insurers and pensions. The course focuses first on the joint measurement, modelling and allocation of financial and insurance risks. Next, the course treats the design of risk mitigation strategies and of asset allocation strategies from a long-term perspective.

    Stochastic Calculus

    In this course elements of probability theory, stochastic processes and stochastic calculus are discussed to the extent that it is relevant in the analysis of financial derivatives. The emphasis is on the mathematical concepts and techniques and to a lesser extent on their application in pricing and hedging derivatives. Topics that are covered are discrete time methods: binomial trees and the Cox-Ross-Rubinstein model; continuous time stochastic processes: Brownian motion and martingales; stochastic calculus: the Ito integral, Ito's lemma and stochastic differential equations; Girsanov's theorem, equivalent martingale measures and risk-neutral valuation; the Black-Scholes-Merton model; implementation of various numerical methods in computer programmes.

  • Track-specific electives

    Choose 3 electives from the following options:

    • Actuarial Science of Pensions and Ageing
    • Advanced Mathematics and Economics of Risk
    • Banking Risk Management
    • Experimental Economics
    • Financial Institutions and Banking
    • Machine Learning for Econometrics
    • Retirement Savings and Investment Decisions
    • Machine Learning in Finance
  • Thesis

    The Master’s thesis is the final requirement for your graduation. It is your chance to dive deep into a topic that you are enthusiastic about. A professor in your field of choice (track) will supervise and support you in writing your thesis. Upon graduation, you will be awarded the title Master of Science (MSc).

  • Honours programme

    Highly motivated students can participate in the MSc Actuarial Science and Mathematical Finance Honours programme. This challenging programme is a great chance to stand out for future employers.

    More about the Honours programme
Real-life case: how to insure against climate change

Climate change is affecting the world in many different ways, which makes it a significant challenge to the insurance industry. How can we quantify the risk of damage from natural disasters? How should we adjust our estimates and predictions to take into account more frequent and more severe disasters? And how many reserves should be put aside to cover possible future claims? The Actuarial Science track will provide you with the mathematical and statistical tools to tackle questions like these.

Contemporary issues

Examples of real-life business cases and company projects you will discuss:

  • Privacy. What data are insurance companies allowed to collect in order to apply price differentiation?
  • Capital buffers. How should capital buffers of insurance companies be determined so that the probability of another financial crisis is minimised?
  • Discounting. What discount rate should pension funds and insurance companies use to discount long-term liabilities?
Copyright: Economics and Business
Professors give useful instructions on your academic path and future career. You will notice that your classmates are intelligent and creative and it is worthwhile discussing study related matters with them. Shu Zang Read about Shu's experiences with this Master's

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