Spring 2019 - ACMA 490 D100
Selected Topics in Actuarial Science (3)
Class Number: 3401
Delivery Method: In Person
The topics included in this course will vary from term to term depending on faculty availability and student interest.
Selected Topic: Stochastic Analysis of Insurance Portfolios
ACMA 320 & permission of the instructor
Life insurance models. Interest rate models for life insurance: time series, stochastic differential equations, estimation. Portfolios of identical policies. Diversified portfolios.
- Basic model for studying life insurance contracts
- Models for the Rate of return:
- >Time Series; ARMA models
- >Stochastic Differential Equations; Ito’s formula, log-normal model, Ornstein-Uhlenbeck process, Cox-Ingersoll-Ross model, Principle of covariance equivalence
- >Other models: Regime-switching model, Wilkie model
- Insurance risk: One contract, A portfolio of identical contracts
- Life Insurance with Random Interest and Mortality: Present value, net single premium
- Portfolio of Policies with Random Interest and Mortality: moments
- Distribution of the Present Value of Benefits for a Portfolio
- >Approximating the Distribution; Limiting Portfolio
- Diversified portfolios
- Assignments & Term Project 30%
- Midterm 30%
- Final 40%
All grading is subject to change.
Stochastic Analysis of Insurance Portfolios, G. Parker, 2019
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