Fall 2018 - ACMA 490 D100
Selected Topics in Actuarial Science (3)
Class Number: 3003
Delivery Method: In Person
The topics included in this course will vary from term to term depending on faculty availability and student interest.
Course Title: Advanced Actuarial Models
ACMA 335 and ACMA 395 from 1167 titled "Loss Models I". STAT 380 is recommended
Advanced non-life insurance mathematics. Individual risk models, collective risk models, ruin models. Actuarial reserve models: Bonus-malus system, IBNR techniques. Generalized linear models in Actuarial Science.
The main objective of this course is to review advanced actuarial models in non-life insurance and to introduce some methods which are relevant for actuarial practice. The topics covered by this course are the following:
1. Some topics on individual risk models and collective risk models.
2. Classical risk process and ruin theory.
3. Some practical methods: Bonus-malus system, IBNR techniques.
4. Topics on generalized linear models (GLM) with applications in actuarial statistics.
- Assignments, Presentation, and Project 50%
- Exam 50%
Above grading is subject to change.
Loss Models, 4th Edition, 2012, by S.A. Klugman, H.H. Panjer and G.E. Willmot; Publisher: Wiley.
An Introduction to Mathematical Risk Theory, 1979, by H.U. Gerber; Publisher: S.S. Huebner Foundation for Insurance, U. of Pennsylvania
Modern Actuarial Risk Theory, 2001, by R. Kaas, M. Goovaerts, J. Dhaene and M. Denuit; Publisher: Kluwer Academic Publishers.
A Course in Credibility Theory and its Application, 2005, by Hans Bühlmann and Alois Gisler; Publisher: Springer.
Stochastic Processes for Insurance and Finance, 2000, by T. Rolski, H. Schmidli, V. Schmidt and J. Teugels, Wiley.
Stochastic Claims Reserving Methods in Insurance, 2008, by M.V. Wüthrich and M. Merz, John Wiley & Sons, Ltd.
Bonus-Malus Systems in Automobile Insurance, 1995, by J. Lemaire, Kluwer Academic Publishers.
Insurance Risk and Ruin, 2005, by D.C.M. Dickson, Cambridge University Press.
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