《中国精算师考试大纲（Chinese actuary exam outline）.doc》由会员分享，可在线阅读，更多相关《中国精算师考试大纲（Chinese actuary exam outline）.doc（34页珍藏版）》请在三一文库上搜索。
1、中国精算师考试大纲（Chinese actuary exam outline）Chinese actuarial qualification examination guidelines for the spring of 2011Part I Actuaries of the Chinese actuaries qualification examination part A1 to A8 subjectsA1 mathExam time: 3 hoursExamination form: multiple-choice questionsExamination requirements:T
2、his course is a basic course in stochastic mathematics in risk management and Actuarial science. Through the purpose of undergraduate learning, candidates should master the basic knowledge of probability and statistics, have a certain data analysis ability, preliminary understanding of the nature of
3、 various stochastic processes.Candidates should master the basic concepts and main contents of probability theory, statistical models and the application of stochastic processes.Examination content:A and probability theory (fractional ratio is about 35%)1. probability calculation, conditional probab
4、ility, total likelihood formula and Bayes formula (Chapter one)2. calculation of joint distribution law, marginal distribution function and marginal probability density (second chapters)The digital characteristics of 3. random variables (Section 3.1, Section 3.2, Section 3.4)4. conditional expectati
5、on and variance (Section 3.3)5. law of large numbers and their applications (fourth chapters)B and mathematical statistics (the fractional ratio is about 25%)1. statistic and its distribution (fifth chapters)2. parameter estimation (sixth chapters)3. hypothesis testing (seventh chapters)4. analysis
6、of variance (section 8.1)C and Applied Statistics (fractional ratio is about 10%)1. linear regression analysis (Section 8.2)2. time series analysis (stationary time series and ARIMA model) (ninth chapters)D and random process (fractional ratio is about 20%)1. general definitions and basic numerical
7、characteristics of stochastic processes (tenth chapters)2. definitions and properties of several common processes (Poisson process, renewal process, Markov process, martingale process and Brown motion) (eleventh chapters)E and stochastic calculus (fractional ratio is about 10%)1. on the Brown integr
8、al of motion (section 11.5, chapter twelfth)2. Ito formula (section 12.2)Examination materials:Chinese actuary qualification examination book Mathematics, edited by Xiao Yugu, Li Yongquan, China financial and Economic Publishing House, 2010 EditionA2 Financial MathematicsExam time: 3 hoursExaminatio
9、n form: multiple-choice questionsExamination requirements:This subject requires candidates to have a good background in mathematical knowledge. Through the study of this subject, students should master the theory of interest, the term structure of interest rate and stochastic interest rate model, fi
10、nancial derivatives pricing theory, investment portfolio theory, based on the understanding of the basic concepts, basic theory, methods and techniques to master the above several parts related to the.Examination content:A and interest theory (fractional ratio is about 30%)1 the basic concept of int
11、erest (fractional ratio is about 4%)2 annuity (fractional ratio is about 6%)3 yield (fractional ratio is about 6%)4 debt repayment (fractional ratio is about 4%)5 bond and its pricing theory (fractional ratio is about 10%)B, interest rate term structure and stochastic interest rate model (fractional
12、 ratio: 16%)1 term structure theory of interest rates (fractional ratio is about 10%)2 stochastic interest rate model (fractional ratio is about 6%)C and the pricing theory of financial derivatives (fractional ratio: 26%)1 introduction of financial derivatives (fractional ratio is about 16%)2 pricin
13、g theory of financial derivatives (fractional ratio is about 10%)D, investment theory (fraction ratio: 28%)1 portfolio theory (fractional ratio is about 12%)2 capital asset pricing (CAPM) and arbitrage pricing (APT) theory (fractional ratio is about 16%)Examination materials:Chinese actuary qualific
14、ation examination book, financial mathematics, edited by Xu Jingfeng, Yang Jingping trial, China financial and Economic Publishing House, 2010 edition, all chapters.A3 actuarial modelExam time: 3 hoursExamination form: multiple-choice questionsExamination requirements:This course is devoted to actua
15、rial modeling. Learning through undergraduate purposes,The candidates should master in probability and statistics as a research tool to quantify the risk of loss and risk management in insurance to describe, and establish a method of actuarial models, which require candidates to have the estimated m
16、odel parameters and how to determine which model, how to use the method of empirical model according to the prior data posterior adjustment.Examination content:A, basic risk model (fractional ratio: 30%)1. the basic function and survival model of survival analysis: the concept of survival analysis b
17、asic function and their correlation. The assumptions and results of the survival model of common parameters.2. life table: grasp the relationship between life table function and survival analysis function, especially the derivation of life table function of integer age under different assumptions.Th
18、e distribution of claim 3. and the number of claims: the amount of loss distribution of common distribution and different compensation mode of claim; claim number distribution of single policy; distribution of different structure function under the distribution of portfolio claim number and correlat
19、ion between the number of claims of the portfolio.4., short-term individual risk model: the distribution of claims for individual policies, the calculation of independence and distribution, the moment generating function, and the application of the central limit theorem.5., short-term aggregate risk
20、 model: the total amount of claims model; compound Poisson distribution and its nature; the approximate model of reasonable compensation amount.6. ruin model: continuous time and discrete time surplus process and ruin probability; prime compensation process; ruin probability; adjustment coefficient;
21、 optimal reinsurance and adjustment coefficient; Brown motion risk process.B, model estimation and selection (fractional ratio: 30%)1. empirical models: (1) Master Kaplan-Meier product limit survival function of incomplete data estimation, Nelson-Aalen estimation of the hazard rate function; (2) mas
22、ter to estimate the function of survival interval estimation, Greenwood variance approximation and the corresponding interval; (4) master three kinds of kernel density estimation method, familiar with the large sample approximate Kaplan-Meier calculation method of calculation, familiar with multiple
23、 termination probability,The 2. parameter estimation model: (1) master individual data packet data and complete sample data under quantile estimation, moment estimation and maximum likelihood estimation method; (2) Master complete sample data (presence of censoring and truncation data) moment estima
24、tion and maximum likelihood estimation method; (3) familiar with parameter estimation two variables model, and model, Cox model, generalized linear model and multi variable parameter model.The inspection and selection of 3. parameter model: (1) learn to use the P-P map, QQ map and the average remain
25、ing life graph to direct selection method suitable for distribution; (3) Master x2 goodness of fit test, K-S test, Anderson-Darling test and likelihood ratio test to choose distribution.C, model tuning and stochastic simulation (fractional ratio: 40%)1. trim Theory: master various methods of data sm
26、oothing and parameter smoothing. For the table data smoothing, concept to grasp the weighted moving average smoothing method, Whittaker smoothing, Bayes smoothing and related calculation, grasp the method of 2D Whittaker smoothing and related calculation; for parameter smoothing, to master for the t
27、hree parameters of the population model (Gompertz, Makeham, Weibull) estimation method master, spline graduation, smooth connection smoothing method and related calculation.2. reliability theory: familiar with all kinds of reliability model, such as the calculation method of reliability, reliability
28、, finite wave Bias B Hlmann model and B hlmann-Straub model to estimate the degree of CITIC u; familiar with the experience of Bias method to estimate the structural parameters of non parametric, semi parametric and parametric model and calculate the reliability estimate.3. stochastic simulation: th
29、e method of generating random numbers; simulation of discrete random variables and continuous random variables; familiar with the use of Bootstap method to calculate the mean square error; familiar with the simple application of MCMC simulation.Examination materials:Chinese actuary qualification exa
30、minations actuarial model the China editor Sun Jiamei Shaw in finance and Economics Press, 2010 edition, chapter 2-13.A4 EconomicsExam time: 3 hoursExamination form: choice question (50%), subjective question (50%)Examination requirements:This subject is a course on economics. Through undergraduate
31、studies, candidates should master the basic concepts, basic methods and principles of modern economics and finance. The purpose of undergraduate study will help students master and apply certain qualitative analysis and quantitative analysis methods in economics and finance. They should have a wide
32、range of expertise and a strong ability to analyze and solve problems.Examination content:A and Microeconomics (fraction ratio: 50%).The candidates based on mastering the principle of micro economics, through the method of building the model to understand the structure of economic events and the bas
33、ic economic activity analysis; increase the market and economic decision-making behavior understanding.1. supply and demand theory, market equilibrium price theory2. consumer behavior theory3. producer (manufacturer) behavior theory4. market structure theory: perfect competition, complete monopoly,
34、monopolistic competition and Oligopoly5. factor market and income distribution theory;6. general equilibrium theory and efficiency7. market failure and microeconomic policy.B and Macroeconomics (fraction ratio: 30%)Candidates should master the fundamentals of macroeconomics, be familiar with importa
35、nt economic models, assumptions and policies, and understand their relationship to economic growth and economic cycles.1. principles and structure of national income accounting;2. IS-LM model and AS-AD model;3. micro foundations of Macroeconomics4. fiscal policy and monetary policy;5., the exchange
36、rate and the open macroeconomic model;6. economic growth and business cycle theory;7. inflation and unemployment.C and Finance (fraction ratio: 20%)Candidates should master the basic concepts and main contents in the theory and practice of money, banking and international finance. Master the basic c
37、ontent, currency risk and interest rate and financial market, understand the basic principle of macroeconomic models and policy and the basic concept of open economy of international payments, exchange rate and international capital flow under the definition and characteristics of familiar with the
38、main financial instruments and financial institutions, and the microstructure and basic properties, basic understanding financial regulation policy. The finance section includes the basic concepts and main applications of the theory and practice of money, banking and international finance.1. currenc
39、ies, interest and interest rates;2., the main content of the financial market3. commercial banks and other financial institutions4. central bank and financial supervision5. financial and economic development6. balance of payments, foreign exchange and exchange rates7. international financial markets
40、8. international capital flows9. macroeconomic model and macroeconomic policy under open economy10., international coordination of macroeconomic policiesExamination materials:Chinese actuary qualification examinations of economics, edited by Liu Lanbiao Wei Hualin, the Chinese finance and Economics
41、Press 2010 edition, second, third, fourth, 5, all 7, 8, 10, 11, 12, 13, 14, 15, 16 chapter.A5 actuarial life insuranceExam time: 3 hoursExamination form: choice question (70%), subjective question (30%)Examination requirements:This course is a course on Actuarial Mathematics and practice in life ins
42、urance. Through the purpose of undergraduate study, candidates should understand the basic theory and methods of life insurance actuarial mathematics, and the basic principles of life insurance actuarial practice.For the actuarial part of life insurance, the traditional actuarial part is familiar wi
43、th the calculation of life tables, premiums and reserves related to insurance and annuity. In addition, master multivariate life and multivariate risk model. Master the basic elements of Actuarial and multiple state transition models.For life insurance actuarial practice, understand the basic pricin
44、g method of life insurance products, a preliminary understanding of the basic life insurance pricing process of cash flow testing and the basic factors to consider, initially have the ability to build life insurance pricing model,And the pricing of several major factors have a certain understanding.
45、 Master the basic assessment method of reserve liabilities for life insurance products. Basic understanding of solvency regulation system.Examination content:A, survival distribution and life table (fraction ratio is about 5%)1. kinds of survival distribution and its characteristics, such as density
46、 function, force, residual life variable residual life variable T (x) and K (x) of the moment2. the characteristics, construction principles and metrics of life table, such as L, T and a (x)3. calculation method of fractional age life table function4. features and construction principles of selectio
47、n and final tablesActuarial present value of B and life insurance (fractional ratio is about 5%)1. discrete and continuous types of life insurance models and the calculation methods of their actuarial present valueVariance of 2. life insurance present value random variable3. the relationship between
48、 continuous insurance and discrete insurance under the assumption of uniform distribution of deathRecursive equation of present value of 4. life insurance actuary5. using actuarial function to calculate the present value of life insurance actuaryThe actuarial present value of the C and the life annuity (fractional ratio is about 5%)1. discr