## Financial Mathematics for Actuaries: Updated Edition

### Wai-Sum Chan; Yiu-Kuen Tse

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Financial Mathematics for Actuaries: Updated Edition is an introductory textbook on the mathematics of interest rates. It is written at a level of rigor required of students who major in actuarial science and prepares them for further analysis of financial instruments. This book emphasizes an intuitive treatment of the mathematics of finance and insurance, with a particular focus on applications. Students will find many illustrative examples that apply mathematical techniques to financial products and personal financial management.

For this latest updated edition, a whole section in the chapter on bond management has been revised, extended and placed under a new heading called Immunization Strategies.

Contents
Preface to the Updated Edition vii
Preface to the 1st Edition ix
List of Mathematical Symbols xi

Chapter 1 Interest Accumulation and Time Value of Money 1
Chapter 2 Annuities 39
Chapter 3 Spot Rates, Forward Rates and the Term Structure 73
Chapter 4 Rates of Return 99
Chapter 5 Loans and Costs of Borrowing 141
Chapter 6 Bonds and Bond Pricing 181
Chapter 7 Bond Yields and the Term Structure 207
Chapter 8 Bond Management 239
Chapter 9 Stochastic Interest Rates 285
Appendix A Review of Mathematics and Statistics 307

"synopsis" may belong to another edition of this title.

Wai-Sum Chan, PhD, FSA, CERA, graduated from the Chinese University of Hong Kong with a major in Accounting and a minor in Statistics. He pursued a doctorate in Applied Statistics at the Fox School of Business Management, Temple University (Philadelphia, USA), receiving his PhD in 1989. He qualified as a Fellow of the Society of Actuaries in 1995 and Chartered Enterprise Risk Analyst in 2008. Dr. Chan held teaching and research posts at the National University of Singapore, the University of Waterloo and the University of Hong Kong before his present appointment as Professor of Finance at the Chinese University of Hong Kong. Dr. Chan s research interests include Health Care Financing, Actuarial Modeling and Financial Econometrics. He has had over 90 scientific articles published in scholarly journals. Dr. Chan has been teaching financial and actuarial courses since 1992.

Yiu-Kuen Tse, PhD, FSA, graduated from the University of Hong Kong, majoring in Economics and Statistics. He obtained his MSc in Statistics and his PhD in Econometrics from the London School of Economics. He has been a Fellow of the Society of Actuaries since 1993. Dr. Tse s research interests are in Empirical Finance, Financial Econometrics and Econometric Methodology. He is Professor of Economics at the School of Economics and Social Sciences, Singapore Management University. He has published extensively in scholarly journals and is the author of the book Nonlife Actuarial Models: Theory, Methods and Evaluation (Cambridge University Press, 2009). Dr. Tse teaches undergraduate actuarial courses and has been involved in many executive training programs.

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