Simon Fraser University
Engaging the World

Course Outlines

Spring 2017 - ACMA 490 D100

Selected Topics in Actuarial Science (3)

Stoch. Analysis of Insurance Portfolio

Class Number: 5987

Delivery Method: In Person

Overview

  • Course Times + Location:

    Jan 4 – Apr 7, 2017: Mon, 2:30–4:20 p.m.
    Burnaby

    Jan 4 – Apr 7, 2017: Wed, 2:30–3:20 p.m.
    Burnaby

  • Prerequisites:

    Dependent on the topic covered.

Description

CALENDAR DESCRIPTION:

The topics included in this course will vary from term to term depending on faculty availability and student interest.

COURSE DETAILS:


Selected Topic: Stochastic Analysis of Insurance Portfolios

Pre-requisite:
ACMA 320 & permission of the instructor

Course Description:
Life insurance models. Interest rate models for life insurance: time series, stochastic differential equations, estimation. Portfolios of identical policies. Diversified portfolios.

Outline:

  • Basic model for studying life insurance contracts
  • Models for the Rate of return:
  •    >Time Series; ARMA models
  •    >Stochastic Differential Equations; Ito’s formula, log-normal model, Ornstein-Uhlenbeck process, Cox-Ingersoll-Ross model, Principle of covariance equivalence
  •    >Other models: Regime-switching model, Wilkie model
  • Insurance risk: One contract, A portfolio of identical contracts
  • Life Insurance with Random Interest and Mortality: Present value, net single premium
  • Portfolio of Policies with Random Interest and Mortality: moments
  • Distribution of the Present Value of Benefits for a Portfolio
  •    >Approximating the Distribution; Limiting Portfolio
  • Diversified portfolios

Grading

  • Assignments & Term Project 30%
  • Midterm 30%
  • Final 40%

NOTES:

All grading is subject to change.

Materials

RECOMMENDED READING:

Stochastic Analysis of Insurance Portfolios, G. Parker, 2013

Department Undergraduate Notes:

Students with Disabilites:
Students requiring accommodations as a result of disability must contact the Centre for Students with Disabilities 778-782-3112 or csdo@sfu.ca


Tutor Requests:
Students looking for a Tutor should visit http://www.stat.sfu.ca/teaching/need-a-tutor-.html. We accept no responsibility for the consequences of any actions taken related to tutors.

Registrar Notes:

SFU’s Academic Integrity web site http://students.sfu.ca/academicintegrity.html is filled with information on what is meant by academic dishonesty, where you can find resources to help with your studies and the consequences of cheating.  Check out the site for more information and videos that help explain the issues in plain English.

Each student is responsible for his or her conduct as it affects the University community.  Academic dishonesty, in whatever form, is ultimately destructive of the values of the University. Furthermore, it is unfair and discouraging to the majority of students who pursue their studies honestly. Scholarly integrity is required of all members of the University. http://www.sfu.ca/policies/gazette/student/s10-01.html

ACADEMIC INTEGRITY: YOUR WORK, YOUR SUCCESS