Browsing by Subject "actuarial science"
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- ItemOpen AccessAn analysis of curriculum knowledge in an introductory actuarial science course(2016) Enderstein, BelindaActuarial Science is a sought after profession in South Africa with high attrition rates at university. The profession is small and dominated by white males. Slow transformation of the profession to reflect a more representative sample of the population is exacerbated by the long route to qualification. This study is an analysis of the first module of the redesigned course reader for the course 'Introduction to Actuarial Science' at the University Cape Town. It was prompted by the change in student engagement with and sentiment about the course in 2013. Data is concurrently analysed from two interviews with the course convenor exploring (a) the nature and description of the profession as well as what knowledge is valued in the field of practice and the discipline and (b) the reasons for the redesign of the course reader and the process itself. The first module of the course reader is analysed in tandem with the second interview data. The research aims to reveal the complexity of the knowledge of actuarial science which makes mastery of its content, methods and ways of thinking (summed up in the term epistemic access ) challenging. Thus careful curriculum design is important in orientating first year students to the discipline and profession. Educational theorists from the school of social realism provide conceptual frameworks through which one can identify knowledge structures and elements thereof in data. Basil Bernstein's Pedagogic Device is used in locating the course reader data in the field of recontextualisation, relying on recontextualising rules which 'regulate the formation of specific pedagogic discourse' (Bernstein, 2000, p.28) to examine the ways in which access to the discipline is facilitated in the course reader. In addition, Bernstein's pedagogic codes analysed by means of his concepts classification and framing are employed to analyse (a) the nature and description of the profession and (b) the knowledge valued in the discipline and in the field of practice. Karl Maton's Legitimation Code Theory and in particular the identification of specialisation codes on the basis of epistemic and social relation s affords the potential of understanding the key principles by which this knowledge form is legitimated. The writings of Young (2008) and Muller (2009 and Young and Muller (201 4 ) assist in delineating a few crucial issues on professional knowledge and the curriculum. This project seeks to analyse the curriculum knowledge and the pedagogic codes employed in the course reader of a newly designed introductory course to ascertain the nature of actuarial science and to suggest what forms of pedagogy might enable students to access that knowledge. Regarding the nature of actuarial science, the study found that it is a complex region that combines highly specialized techno-theoretical knowledge with specific forms of inferential reasoning and professional judgment required to address knotty problems in the business world. Regarding an effective pedagogy, the analysis of the course reader provides clues as to what an explicit, visible pedagogic discourse capable of providing access to this complex field to first generation students might entail.
- ItemOpen AccessEstimation of Shadow-Rate Term Structure Models Near the Zero-Lower Bound(2019) Esmail, Shabbirhussein; Ouwehand, PeterThough it is customary to use standard Gaussian term structure models for term structure modelling, this becomes theoretically implausible in cases when nominal interest rates are near zero: Gaussian models can have arbitrarily large negative rates, whereas arbitrage considerations dictate that rates should remain positive (or very slightly negative at most). Black (1995) suggests that interest rates include an optionality which restricts them to non-negative values. This introduces a non-linearity at the zero-lower bound that makes these so-called shadow-rate models a computational challenge. This dissertation analyses the shadow-rate approximations suggested by Krippner (2013) and Priebsch (2013) for the Vasicek and ˇ arbitrage-free Nelson-Siegel (AFNS) models. We also investigate and compare the accuracy of the iterated extended Kalman filter (IEKF) with that of the unscented Kalman filter (UKF). We find that Krippner’s approach approximates interest rates within reasonable bounds for both the 1-factor Vasicek and AFNS models. Prieb- ˇ sch’s first-cumulant method is more accurate than Krippner’s method for a 1-factor Vasicek model, while Priebsch’s second-cumulant method is deemed impractical ˇ because of the computational time it takes. In a multi-factor AFNS model, only Krippner’s framework is feasible. Moreover, the IEKF outperforms the UKF in terms of filtering with no significant difference in run-time.
- ItemOpen AccessThe gender profile of the South African actuarial profession(Acturial Society of South Africa, 2013) Ramjee, S; Sibiya, F G; Dreyer, K AThe aim of this paper is to contextualise the gender status of the South African actuarial profession, both historically and relative to elsewhere in the world, as well as to establish the current level of representation of women in the profession. The authors have investigated the extent to which women are represented in different age groups and at various stages of the qualification process. They find that 85% of Fellow members of the Actuarial Society in 2010 are male but that women represent at least 30% of student members and younger cohorts. Given that people enter the profession primarily from undergraduate degrees in actuarial science, the authors have analysed the relative performance of female students enrolling for an Actuarial Science degree at the University of Cape Town. They find that the proportion of entrants who are female has increased over time but that persistency rates for female students are lower than for male students. They identify the need for further research to establish the underlying reasons for the gender differentials in entrants to university programmes and persistency, and conclude that universities, actuarial employers and the profession have a role to play in improving the perception of the profession and the experiences of women in the classroom and workplace.
- ItemOpen AccessLow-rank completion and recovery of correlation matrices(2019) Ramlall, Chetan K; Ouwehand, Peter; Mc Walter, ThomasIn the pursuit of efficient methods of dimension reduction for multi-factor correlation systems and for sparsely populated and partially observed matrices, the problem of matrix completion within a low-rank framework is of particular significance. This dissertation presents the methods of spectral completion and convex relaxation, which have been successfully applied to the particular problem of lowrank completion and recovery of valid correlation matrices. Numerical testing was performed on the classical exponential and noisy Toeplitz parametrisations and, in addition, to real datasets comprising of FX rates and stock price data. In almost all instances, the method of convex relaxation performed better than spectral methods and achieved the closest and best-fitted low-rank approximations to the true, optimal low-rank matrices (for some rank-n). Furthermore, a dependence was found to exist on which correlation pairs were used as inputs, with the accuracy of the approximations being, in general, directly proportional to the number of input correlations provided to the algorithms.
- ItemOpen AccessOn Marriage Dynamics and Fertility in Malawi: How Does Remarriage Affect Fertility Preferences and Childbearing Behaviour?(2018) John, Benson; Adjiwanou, VisséhoThe interplay between remarriage and fertility is among the most poorly documented subjects in sub-Saharan Africa, yet remarriage is one of the fundamental aspects of marriage dynamics in the region. Referring to classical demographic and statistical techniques, this research uses data collected since 1992 from Malawi Demographic and Health Surveys to establish the pattern and level of union dissolution and remarriage, and to assess the influence of remarriage on fertility preference and childbearing. The results reveal increasing stability of unions over time and a declining proportion of remarried women. The probability of experiencing first union dissolution within 15 years dropped from 45.9 to 40.0 per cent between 1992 and 2015, while the comparable likelihood of remarriage decreased from 36.1 to 27.7 per cent over the same interval duration. The effect of remarriage on the desire for more children is positive at advanced interval durations relative to the onset of first marriage. At shorter interval periods, where remarriage is relatively most recent, remarriage inhibits the desire for additional children. For example, in 2015, among women who first married 15-19 years before the survey, the odds of desiring another child were 4 per cent significantly higher among remarried women relative to their counterparts in intact unions. In contrast, for women who were married for 0-5 years, remarried women had 3 per cent lower olds of desiring another child. Furthermore, the childbearing pattern of remarried women is found to be distinct from that of women in intact unions. Remarried women give birth to more children sooner than their counterparts in intact unions, but eventually end up with fewer children. Indeed, the results show that in 2015, women in intact unions had 0.4 more children on average than their remarried counterparts. However, the difference in complete family size is steadily diminishing (difference of 1.5 in 2000), largely due to more marked fertility decline among women in intact unions. This trend, together with the long-term pattern of cumulated fertility differentials at younger reproductive ages, and current fertility disparities over the past two decades, strongly reveals that a new regime, where remarried women will end up with higher complete family size than those in intact unions, is emerging.