Spring 2019 - ACMA 455 D100
Loss Models II (3)
Class Number: 3365
Delivery Method: In Person
Frequency and severity with coverage modifications: deductibles, policy limit, coinsurance. Aggregate loss models. Conjugate priors, linear exponential family. Credibility models. Estimation: empirical Bayes, nonparametric, semiparametric. Simulations. Stochastic processes: Poisson and compound Poisson processes. Covers part of the syllabus for Exam C of the Society of Actuaries and Exam 4 of the Casualty Actuarial Society. Quantitative.
This course covers the fundamentals of actuarial loss models. The topics covered correspond to Chapters 8, 9, Section 15.3 and Chapters 17-20 of the ‘Loss Models’ textbook and the study notes. They include the following:
- Frequency and severity with coverage modifications: deductibles, policy limit, coinsurance; the loss elimination ratio, the effect of inflation.
- Aggregate loss models: compound model for aggregate claims, the recursive method, the impact of individual policy modifications on aggregate payments, individual risk model.
- Bayes' theorem, prior distribution, posterior distribution, predictive distribution, conjugate prior distributions and the linear exponential family.
- Limited fluctuation credibility: limited fluctuation credibility theory, full credibility, partial credibility.
- Greatest accuracy credibility: conditional distributions and expectation, credibility premium, Buhlmann model, Buhlmann-Straub model, exact credibility.
- Empirical Bayes parameter estimation: nonparametric estimation, semiparametric estimation.
- Simulation: the inversion method, determining the sample size, simulations in actuarial modeling.
- Stochastic processes: homogeneous and nonhomogeneous Poisson processes, compound Poisson process.
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 10%
- Midterm 40%
- Final 50%
Above grading is subject to change
Loss Models: From Data to Decisions, 4th Edition, 2012, S.A.Klugman, H.H. Panjer and G.E. Willmot; publisher: Wiley.
- Foundations of Casualty Actuarial Science (4th Edition), 2001, H.C.Mahler and C.G. Dean (Study Note C-21-01)
- Topics in Credibility, C.G. Dean (Study Note C-24-051)
- ACTEX study manual for SOA Exam C and CAS Exam 4, S.A.Broverman, Publisher: ACTEX
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