Simon Fraser University
Engaging the World

Course Outlines

Fall 2019 - ACMA 425 D100

Actuarial Mathematics II (3)

Class Number: 4360

Delivery Method: In Person

Overview

  • Course Times + Location:

    Sep 3 – Dec 2, 2019: Tue, 2:30–4:20 p.m.
    Burnaby

    Sep 3 – Dec 2, 2019: Thu, 2:30–3:20 p.m.
    Burnaby

  • Exam Times + Location:

    Dec 13, 2019
    Fri, 3:30–6:30 p.m.
    Burnaby

  • Prerequisites:

    ACMA 320.

Description

CALENDAR DESCRIPTION:

Long-term insurance coverages. Survival model estimation. Multiple state models. Premium calculations. Reserves. Profit testing. Pension plans and retirement benefits. Applications. Covers part of the syllabus for Exam LTAM of the Society of Actuaries. This course is accredited under the University Accreditation Program of the Canadian Institute of Actuaries. Quantitative.

COURSE DETAILS:


This course, a continuation of ACMA 320, covers the fundamentals of Actuarial Mathematics.

Course Outline:

The topics covered correspond to part of Exam LTAM 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.
  • Review of mathematical statistics: Point estimation, measures of quality, Interval estimation, tests of hypotheses.
  • Estimation for complete and modified data: Empirical distributions for individual and grouped data, Nelson-Åalen estimator, Kaplan-Meier estimator, means, variance, interval estimation, Cox proportional hazards models, kernel density models, approximations for large data sets, simple longevity models.
  • Pension mathematics: Salary scale function, pension plan service table, defined benefit and defined contribution pension plans, valuation.
  • Profit testing.
 
This course is accredited under the Canadian Institute of Actuaries (CIA) University Accreditation Program (UAP) for the 2019-2020 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.

Grading

  • Assignments 10%
  • Midterm 40%
  • Final Exam 50%

NOTES:

Above grading is subject to change.

Materials

REQUIRED READING:

Required Text:

Actuarial Mathematics for Life Contingent Risks, 2nd ed, by Dickson, Hardy & Waters. Publisher: Cambridge University Press

RECOMMENDED READING:

  • Supplementary Note on Long Term Actuarial Mathematics (Study Note LTAM-21-18).
  • Loss Models: From Data to Decisions, 5th Ed., Chapters 10-12 (Study Note LTAM-22-18)
  • 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:

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://www.sfu.ca/students/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