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Mathematical Risk Management (MRM) Specialization in the
Master of Science with a Major in Risk Management and Insurance Degree
The mission of the Specialization in Mathematical Risk Management is to provide students with a solid understanding of the application of mathematics in economics and finance to address contemporary risk management issues. Emphasis is placed on the diagnosis, analysis, pricing, and customization of solutions to risk management problems, broadly defined to include both financial and operational risk exposures. The program is designed to prepare students for analytical and technical positions within financial institutions, risk management advisory organizations, and the treasury departments of nonfinancial corporations. Quantitative in focus, the program is well suited for students with undergraduate and graduate degrees in mathematics, statistics, or similar technical disciplines. Students with an MBA or undergraduate degree in economics, finance or actuarial science, who can demonstrate the necessary skills in mathematics, also make excellent candidates.
The Specialization in Mathematical Risk Management can be completed in 16 months over three semesters. Since the core courses are designed in a lockstep format, students should be prepared to begin their core sequence during the fall semester. Students who have not completed the foundational requirements for the degree should apply for admission during either the spring or summer semester so they can complete the prerequisites before the core sequence begins in the fall. Please contact the MRM faculty adviser for advice about the appropriate time when you should apply to enter the program.
A dual-degree option is available in which students will earn both the Master of Actuarial Science degree and the Master of Science in Risk Management and Insurance degree specializing in Mathematical Risk Management. The program provides students with increased career opportunities in the financial services industries specializing in the application of quantitative methods to solve complex business problems in an era of financial services and capital markets convergence.
Faculty Adviser: Richard D. Phillips
| Regulations for the Degree |
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| 1. |
All Master of Science students will complete the Business Communication Skills Requirement explained earlier in this section. The Summary of Regulations-Master’s Programs, also found earlier in this section, applies to the M.S. program with a major in risk management and insurance as do the regulations, policies, and procedures given in Section 7 (Master’s enrollment). A maximum of 6 hours of transfer credit is permitted in this 30-hour Master of Science in Risk Management and Insurance program. A maximum of 9 hours of transfer credit is permitted in the 48-hour dual degree program. |
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Course Requirements: Foundation and Prerequisite Courses |
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Consult Section 10 (Course descriptions) and the heading “Undergraduate Foundation Courses” in the most current Graduate Catalog for prerequisites to the courses listed below. The courses in this section are in addition to the 30 semester hours required for the Master of Science in Risk Management and Insurance degree or the 48 semester hours required for the dual degree program. They are assigned as part of the admissions process based on a review of each student’s transcripts. They can be exempted if equivalent coursework has been previously completed with minimum grades of “C.”
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- Accounting/Finance: MBA 7010, or financial and managerial accounting and corporate finance principles (Acct 2101, Acct 2102, and Fi 3300). Corporation Finance sequence (MBA 8130 and MBA 8230). This requirement can be waived if Fi 3300, Fi 4300 and Fi 4320, or equivalent coursework, have been completed with grades of “C” or higher.
- Behavioral Science: Management principles (MGS 3400) or sociology (Soci 1101), or psychology (Psyc 1101).
- Economics: Macroeconomic principles (Econ 2105) and microeconomic principles (Econ 2106).
- Mathematics: Three semesters of advanced calculus (Math 2211, Math 2212, and Math 2215). Students entering the joint Master of Actuarial Science/Mathematical Risk Management program must have Compound Interest Theory AS 4230.
- Statistics: MGS 9920 or two semesters of undergraduate mathematical statistics (Math 4751, Math 4752).
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Computing Skills. The department expects all entering MS-RMI students to be proficient at a minimum in CSP 1, Basic Microcomputing Skills. Advanced or more specialized skills, as required by specific courses, must be developed before the courses are taken. The computing skills prerequisites (CSPs) for all RCB courses are shown in the course descriptions. |
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| 3. |
Course Requirements |
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| a. |
Required Technical Support Courses (0-3) |
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The following course must be completed within the first 18 hours of 8000-level course work. |
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Fi 8000 Valuation of Financial Assets* (3)
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Students who have completed an equivalent course with a grade of “C” or higher must substitute an appropriate elective in consultation with the Mathematical Risk Management faculty adviser. |
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Required Courses in the Specialization (24) |
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MRM 8320 Stochastic Risk Management Models (3)
MRM 8600 Theory of Risk Sharing (3)
MRM 8610 Financial Engineering (3)
MRM 8620 Quantitative Financial Risk Models (3)
MRM 8630 Stochastic Interest Rate and Credit Models (3)
RMI 8370 Financial Risk Management (3)
Econ 8750 Econometrics (3)
Econ 8780 Financial Econometrics (3) |
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| c. |
Elective Courses in the Specialization (9-12) |
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Students should consult with the faculty adviser prior to beginning their elective course work and may select from among the following courses.
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Econ 8860 Economics of Global Finance (3)
Fi 8220 Derivative Markets II (3)
Fi 8240 Global Portfolio Management (3)
Fi 8300 Advanced Corporate Finance (3)
Fi 8400 Financial Management of Depository Institutions (3)
Fi 9000 Mathematical Methods in Contemporary Finance Theory (3) (Requires consent of instructor.)
Fi 9100 The Theory of Asset Valuation (3) (Requires consent of instructor.)
MGS 8150 Business Modeling (3)
RMI 8150 Corporate Risk Management (3)
RMI 8320 Management of Insurance Institutions (3)
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Students may select, with the prior approval of the Mathematical Risk Management faculty adviser, electives other than those shown above if they can demonstrate the course(s) will better meet their educational objectives. |
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Course Requirements: Dual Degree Master of Actuarial Science and Master of Science in Risk Management and Insurance Specializing in Mathematical Risk Management Program |
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This section is applicable to students interested in the dual degree program Master of Actuarial Science and Master of Science in Risk Management and Insurance Specializing in Mathematical Risk Management. |
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| a. |
Required Technical Support Courses (0-3) |
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The following course must be completed within the first 18 hours of 8000-level course work. |
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Fi 8000 Valuation of Financial Assets* (3) |
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Students who have completed an equivalent course with a grade of “C” or higher must substitute an appropriate elective in consultation with the Mathematical Risk Management faculty adviser. |
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| b. |
Required Courses in the Dual Degree Program (27-33 hours) |
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AS 8340 Life Contingencies** (3)
AS 8350 Insurance Mathematics** (3)
AS 8810 Actuarial Science Graduate Seminar (3)
MRM 8320 Stochastic Risk Management Models (3)
MRM 8600 Theory of Risk Sharing (3)
MRM 8610 Financial Engineering (3)
MRM 8620 Quantitative Financial Risk Models (3)
MRM 8630 Stochastic Interest Rate and Credit Models (3)
RMI 8370 Financial Risk Management (3)
Econ 8750 Econometrics (3)
Econ 8780 Financial Econometrics (3) |
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Students who have completed AS 4340 and/or AS 4350 or their equivalents must substitute appropriate 8000-level actuarial science courses for AS 8340 and/or AS 8350. The substitutions must be selected from section C below in consultation with the actuarial science faculty adviser. |
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Elective Courses in the Dual Degree Program (12-21 hours) Students should consult with the faculty advisers for the Master of Actuarial Science and Mathematical Risk Management programs prior to beginning their elective coursework and may select from among the following courses: |
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AS 8430 Loss Distributions and Credibility Theory (3)
AS 8440 Advanced Survival Models (3)
AS 8520 Principles of Property and Casualty Ratemaking (3)
Econ 8860 Economics of Global Finance (3)
Fi 8220 Derivative Markets II (3)
Fi 8240 Global Portfolio Management (3)
Fi 8300 Advanced Corporate Finance (3)
Fi 8400 Financial Management of Depository Institutions (3)
Fi 9000 Mathematical Methods in Contemporary Financial Theory (3)
Fi 9100 The Theory of Asset Valuation (3)
MGS 8150 Business Modeling (3)
RMI 8150 Corporate Risk Management (3)
RMI 8200 Life Insurance (3)
RMI 8220 Employee Benefit Planning (3)
RMI 8320 Management of Insurance Institutions (3) |
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Students may select, with the prior approval of both faculty advisers for the dual degree program, electives other than those shown above if they can demonstrate the course(s) will better meet their educational objectives. |
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| 6. |
Program of Study: Each student’s program must be planned in consultation with the appropriate faculty adviser for the M.S. in risk management and insurance and a copy of the program filed with the Office of Graduate Student and Alumni Services for review and approval. The program of study should be planned before the student takes a non-required course. Progress toward the degree, including clearance for graduation, can be confirmed only with an approved program of study. Any changes in the program must be approved by the faculty adviser and a copy of the changes sent to GSAS. Students always must consult the Course Descriptions chapter of the current graduate catalog to determine if they have met the prerequisites for any course to be taken. |
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Time Limit: The time limit for completing the M.S./R.M.I. program is five calendar years from the first semester a course in section 3 or 4 (above) is taken. |
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PO BOX 4036