Fall 2018 - ACMA 425 D100
Actuarial Mathematics II (3)
Class Number: 3000
Delivery Method: In Person
Actuarial reserves: allocation of the loss to the policy years. Multiple life functions: joint-life, last-survivor. Multiple decrement models: stochastic and deterministic approaches, associated single decrement, fractional durations. Valuation theory for pension plans. Insurance models including expenses: gross premiums and reserves, type of expenses, modified reserves. Nonforfeiture benefits and dividends: equity concept, cash values insurance options, asset shares, dividends. Covers part of the syllabus for Exam M of the Society of Actuaries and Exam 3 of the Casualty Actuarial Society. Quantitative.
This course, a continuation of ACMA 320, covers the fundamentals of Actuarial Mathematics.
The topics covered correspond to part of Exam MLC of the Society of Actuaries and they include:
- Reserves (Policy values) Continuous, Discrete, Recursive formulas, Fractional duration, Profit, Asset shares
- Multiple state models Continuous time stochastic process, Transition probabilities, Premiums, Reserves, Multiple decrement models, Joint-life and last-survivor benefits
- Pension mathematics Salary scale function, Pension plan service table, Defined benefit and defined contribution pension plans
- Diversifiable and non-diversifiable risk
- Participating and Universal life insurance Participating insurance, Universal life insurance, Profit testing
This course is accredited under the Canadian Institute of Actuaries (CIA) University Accreditation Program (UAP) for the 2018-2019 academic year. Achievement of the established exemption grade in this course may qualify a student for exemptions from writing certain preliminary exams. Please note, a combination of courses may be required to achieve a single exemption. Please see http://www.cia-ica.ca/membership/uap for full details.
- Assignments, Quizzes 10%
- Midterm 40%
- Final Exam 50%
Above grading is subject to change.
Actuarial Mathematics for Life Contingent Risks, 2nd ed, by Dickson, Hardy & Waters. Publisher: Cambridge University Press
- Actuarial Mathematics (2nd ed 1997) by Bowers, Gerber, et al.; Society of Actuaries
- Life Insurance Mathematics by Gerber, Springer-Verlag
- The Mathematics of Life Insurance by Menge and Fisher; Ulrich's
- Life Contingencies by C.W. Jordan; Society of Actuaries
Department Undergraduate Notes:
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