Simon Fraser University
Engaging the World

Course Outlines

Spring 2020 - ACMA 320 D100

Actuarial Mathematics I (5)

Class Number: 3899

Delivery Method: In Person

Overview

  • Course Times + Location:

    Jan 6 – Apr 9, 2020: Tue, Thu, 2:30–4:20 p.m.
    Burnaby

  • Exam Times + Location:

    Feb 13, 2020
    Thu, 5:30–7:20 p.m.
    Burnaby

    Apr 21, 2020
    Tue, 12:00–3:00 p.m.
    Burnaby

  • Instructor:

    Barbara Sanders
    bsanders@sfu.ca
    778.782.9074
    Office: SC-K 10554

  • Prerequisites:

    STAT 285 and ACMA 210.

Description

CALENDAR DESCRIPTION:

Survival models. Life insurance and annuities for single life: present value random variables, premium calculations, reserves. Covers part of the syllabus for Exam LTAM of the Society of Actuaries, and practical applications such as computational aspects of pricing and reserving and risk measurement of insurance portfolios. This course is accredited under the University Accreditation Program of the Canadian Institute of Actuaries. Quantitative.

COURSE DETAILS:

Course Outline:


This course covers the fundamentals of Actuarial Mathematics in life insurance. The topics covered correspond to about the first half of the syllabus of Exam LTAM of the Society of Actuaries and they include the following:

  1. Survival Models: Future lifetime; actuarial functions; fundamental theorems for calculating moments of actuarial functions; analytical laws of mortality. 
  2. Life Tables and Selection: Life tables; stochastic and deterministic approaches to life table functions; assumptions for fractional ages; select and ultimate survival models; mortality projection 
  3. Net Single Premiums for Life Insurance Contracts: Definition using a stochastic approach; distribution of the actuarial present value function for different insurance contracts. 
  4. Life Annuities: Actuarial accumulation function; aggregate payment and current payment techniques; life annuities with monthly payments - UDD; recursive equations. 
  5. Net Annual Premiums: Actuarial equivalence principle; basic contracts; monthly premiums; life insurance with accumulation type benefits.
  6. Reserves: Definition of prospective loss; basic contracts; monthly premium reserves: recursive equations for discrete reserves, reserves at fractional durations, allocation of the loss to policy years. 

This course is accredited under the Canadian Institute of Actuaries (CIA) University Accreditation Program (UAP). Achievement of the minimum required grades in accredited courses may provide credit for preliminary exams. Please note that a combination of courses may be required to achieve exam credit. Details of required courses and grades at Simon Fraser University are available here (https://www.cia-ica.ca/membership/university-accreditation-program---home/accredited/simon).

In addition to the specific university’s internal policies on conduct, including academic misconduct, candidates pursuing credits for writing professional examinations shall also be subject to the Code of Conduct and Ethics for Candidates in the CIA Education System and the associated Policy on Conduct and Ethics for Candidates in the CIA Education System. For more information, please visit Obtaining UAP Credits (https://www.cia-ica.ca/membership/university-accreditation-program---home/information-for-candidates/obtaining-uap-credits) and the CIA FAQ (www.cia-ica.ca/docs/default-source/miscellaneous/uap/2018-uap-faq-and-career-brochure.pdf).

Grading

  • Computing Assignments 20%
  • Tests 40%
  • Final Exam 40%

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:

-Actuarial Mathematics by N. Bowers Jr, et al; plublisher: SOA
-Models for Quantifying Risk by R. Cunningham, T. Herzog, R. London; Publisher: ACTEX. 
-ACTEX Study Manual for Exam M of the SOA by Matt Hassett, Donald G. Stewart, Amy Steeby; publisher: ACTEX.
-Life Contingencies by C.W. Jordan; publisher: SOA.
-Life Insurance Mathematics by H.U. Gerber; publisher: Springer-Verlag.
-The Mathematics of Life Insurance by Menge and Fisher; publisher: Ulrich's.

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