Simon Fraser University
Engaging the World

Course Outlines

Fall 2018 - ACMA 490 D100

Selected Topics in Actuarial Science (3)

Actuarial Models

Class Number: 3003

Delivery Method: In Person

Overview

  • Course Times + Location:

    Sep 4 – Dec 3, 2018: Mon, 2:30–4:20 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:


Course Title: Advanced Actuarial Models

Pre-requisites:
ACMA 335 and ACMA 395 from 1167 titled "Loss Models I". STAT 380 is recommended

Course Description:

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.


Course Outline:

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.

Grading

  • Assignments, Presentation, and Project 50%
  • Exam 50%

NOTES:

Above grading is subject to change.

Materials

RECOMMENDED READING:

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.

Department Undergraduate Notes:

Students with Disabilites:
Students requiring accommodations as a result of disability must contact the Centre for Accessible Learning 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