Fall 2020 - STAT 490 D200

Selected Topics in Probability and Statistics (3)

Advanced Actuarial Models

Class Number: 7604

Delivery Method: In Person

Overview

  • Course Times + Location:

    Sep 9 – Dec 8, 2020: Mon, 2:30–4:20 p.m.
    Burnaby

  • Exam Times + Location:

    Dec 9, 2020
    Wed, 8:30–11:30 a.m.
    Burnaby

  • Prerequisites:

    Dependent on the topic covered.

Description

CALENDAR DESCRIPTION:

Topics in areas of probability and statistics not covered in the regular undergraduate curriculum of the department.

COURSE DETAILS:


Course Title: Advanced Actuarial Models
    
Pre-requisties: ACMA 320 and 355, or instructor's permission   
 
Course Outline:

The main objective of this course is to study advanced actuarial models for general insurance and for mortality rates, and to introduce some methods which are relevant to actuarial practice in property and casualty (P&C) insurance and in mortality projections. The topics covered by this course are the following:

  1. Aggregate claims models.
  2. Models for incurred but not reported (IBNR) claims and Bonus-malus systems in automobile insurance.
  3. Mortality models.

Mode of teaching:

  • Remote delivery: synchronous for lectures;
  • Synchronous components are NOT recorded and available online;
  • Exam: synchronous (date: TBA).

Expectations of students for lectures:

  • Attendance is mandatory

Grading

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

NOTES:

Above grading is subject to change.

Materials

MATERIALS + SUPPLIES:

(1)  the required resources for the course: reliable high-speed internet access, a computer with a webcam, and a headset with a microphone;

(2) software: Excel, R, or Matlab;

RECOMMENDED READING:

Loss Models, 5th Edition, 2019, 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 Bü hlmann 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. Wü thrich 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:

ACADEMIC INTEGRITY: YOUR WORK, YOUR SUCCESS

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

TEACHING AT SFU IN FALL 2020

Teaching at SFU in fall 2020 will be conducted primarily through remote methods. There will be in-person course components in a few exceptional cases where this is fundamental to the educational goals of the course. Such course components will be clearly identified at registration, as will course components that will be “live” (synchronous) vs. at your own pace (asynchronous). Enrollment acknowledges that remote study may entail different modes of learning, interaction with your instructor, and ways of getting feedback on your work than may be the case for in-person classes. To ensure you can access all course materials, we recommend you have access to a computer with a microphone and camera, and the internet. In some cases your instructor may use Zoom or other means requiring a camera and microphone to invigilate exams. If proctoring software will be used, this will be confirmed in the first week of class.

Students with hidden or visible disabilities who believe they may need class or exam accommodations, including in the current context of remote learning, are encouraged to register with the SFU Centre for Accessible Learning (caladmin@sfu.ca or 778-782-3112).