Simon Fraser University
Engaging the World

Course Outlines

Spring 2020 - ACMA 455 D100

Loss Models II (3)

Class Number: 3903

Delivery Method: In Person

Overview

  • Course Times + Location:

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

    Jan 6 – Apr 9, 2020: Wed, 2:30–3:20 p.m.
    Burnaby

  • Exam Times + Location:

    Apr 14, 2020
    Tue, 12:00–3:00 p.m.
    Burnaby

  • Prerequisites:

    ACMA 320 and ACMA 355.

Description

CALENDAR DESCRIPTION:

Aggregate loss models. Credibility: models and estimation. Insurance and reinsurance coverages. Pricing and reserving for short-term insurance coverages. Covers part of the syllabus for Exam STAM of the Society of Actuaries. This course is accredited under the University Accreditation Program of the Canadian Institute of Actuaries. Quantitative.

COURSE DETAILS:

This course covers the fundamentals of actuarial loss models. The topics covered correspond to Chapters 8, 9, Section 13.3 and Chapters 16-18 of the ‘Loss Models’ textbook and the study notes. They include the following:

  1. Frequency and severity with coverage modifications: deductibles, policy limit, coinsurance; the loss elimination ratio, the effect of inflation.
  2. Aggregate loss models: compound model for aggregate claims, the recursive method, the impact of individual policy modifications on aggregate payments, individual risk model.
  3. Bayes' theorem, prior distribution, posterior distribution, predictive distribution, conjugate prior distributions and the linear exponential family.
  4. Limited fluctuation credibility: limited fluctuation credibility theory, full credibility, partial credibility.
  5. Greatest accuracy credibility: conditional distributions and expectation, credibility premium, Buhlmann model, Buhlmann-Straub model, exact credibility.
  6. Empirical Bayes parameter estimation: nonparametric estimation, semiparametric estimation.
  7. Basic insurance and reinsurance coverages for short-term insurances.
  8. Pricing and reserving for short-term insurance coverages: rating factors, exposure, experience rating, run-off triangle, techniques for estimating unpaid losses, methods for calculating premiums.

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

  • Assignments 10%
  • Midterm 40%
  • Final 50%

NOTES:

Above grading is subject to change

Materials

REQUIRED READING:

Loss Models: From Data to Decisions, 5th Edition, 2019, S.A.Klugman, H.H. Panjer and G.E. Willmot; publisher: Wiley.

RECOMMENDED READING:


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