Fall 2019 - ACMA 425 D100
Actuarial Mathematics II (3)
Class Number: 4360
Delivery Method: In Person
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.
This course, a continuation of ACMA 320, covers the fundamentals of Actuarial Mathematics.
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.
- Assignments 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
- 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:
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