Simon Fraser University
Engaging the World

Course Outlines

Fall 2022 - ACMA 355 D100

Loss Models I (3)

Class Number: 4614

Delivery Method: In Person

Overview

  • Course Times + Location:

    Sep 7 – Dec 6, 2022: Mon, 2:30–3:20 p.m.
    Burnaby

    Sep 7 – Dec 6, 2022: Thu, 2:30–4:20 p.m.
    Burnaby

  • Exam Times + Location:

    Dec 19, 2022
    Mon, 7:00–10:00 p.m.
    Burnaby

  • Corequisites:

    STAT 330.

Description

CALENDAR DESCRIPTION:

Severity models. Risk measures. Frequency models. Frequency and severity with coverage modifications: deductibles, policy limits, coinsurance. Parametric estimation: method of moments, MLE. Bayesian estimation. Model selection. Covers part of the syllabus for Exam STAM of the Society of Actuaries. Quantitative.

COURSE DETAILS:

Outline:

This course covers part of the syllabus for the new exam STAM of the SOA. Please refer to the CAS website for the syllabi of their new exams.

This course covers the fundamentals of actuarial loss models. The topics covered correspond to Chapters 3-6, 11-13, and 15 of the required textbook. They include the following:

   1. Severity models: basic distributional quantities, tail behavior, risk measures, creating new distributions, extreme value distributions.
   2. Frequency models: Poisson, negative binomial, binomial distributions, (a,b,0) class, truncation and modification at zero.
   3. Review of mathematical statistics: point estimation, measures of quality, interval estimation, tests of hypotheses.
Estimation for complete and modified data: empirical distributions for individual and grouped data.
   4. Means, variances, interval estimation, kernel density models.
   5. Parameter estimation: method of moments, percentile matching, maximum likelihood estimation, variance and interval estimation, estimation for discrete distributions. Bayesian estimation.
   6. Model selection: graphical comparison, hypothesis tests.

This course is accredited under the Canadian Institute of Actuaries (CIA) University Accreditation Program (UAP) for the 2019-2020 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.

 

Grading

  • Assignments, quizzes and project 20%
  • Midterm 1 40%
  • Midterm 2 40%

NOTES:

Above grading is subject to change.

Materials

REQUIRED READING:

Loss Models: From Data to Decisions, 5th ed., Authors: S.A. Klugman, H.H. Panjer, and G.E. Willmot. Publisher: Wiley

The digital copy purchase is only available directly from the publisher's website.

RECOMMENDED READING:

ACTEX SOA Exam STAM Study Manual, Spring 2018 Edition, by S.A.Broverman, Publisher: ACTEX

Survival Models and Their Estimation, 3rd Edition, by D. London, Publisher: ACTEX

REQUIRED READING NOTES:

Your personalized Course Material list, including digital and physical textbooks, are available through the SFU Bookstore website by simply entering your Computing ID at: shop.sfu.ca/course-materials/my-personalized-course-materials.

Department Undergraduate Notes:

Students with Disabilities:
Students requiring accommodations as a result of disability must contact the Centre for Accessible Learning 778-782-3112 or caladmin@sfu.ca.


Tutor Requests:
Students looking for a tutor should visit https://www.sfu.ca/stat-actsci/all-students/other-resources/tutoring.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 website 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