Spring 2022 - ACMA 401 D100

Long-Term Actuarial Mathematics II (3)

Class Number: 6930

Delivery Method: In Person

Overview

  • Course Times + Location:

    Mo 12:30 PM – 1:20 PM
    AQ 5036, Burnaby

    Th 12:30 PM – 2:20 PM
    AQ 5036, Burnaby

  • Prerequisites:

    ACMA 301 (or 320), with a minimum grade of C.

Description

CALENDAR DESCRIPTION:

Advanced survival models. Multiple state models. Advanced premium calculations and reserves. Profit testing. Pension plans and retirement benefits. Computer applications for pricing, reserving and risk measurement of life insurance portfolios. Covers part of the syllabus for Exam LTAM of the Society of Actuaries. Students with credit for ACMA 425 cannot take ACMA 401 for further credit. Quantitative.

COURSE DETAILS:


This course, a continuation of ACMA 320, covers the fundamentals of Actuarial Mathematics.

Course Outline:

The topics covered correspond to part of Exam LTAM of the Society of Actuaries and they include:

  • Reserves (Policy values): Analysis of surplus, Thiele's differential equation, negative policy value, deferred acquisition expenses and modified net premium reserves.
  • Multiple state models: Continuous time stochastic process, transition probabilities, premiums, reserves, multiple decrement models, joint-life and last-survivor benefits.
  • Pension mathematics: Salary scale function, pension plan service table, defined benefit and defined contribution pension plans, valuation.
  • Emerging costs for traditional life insurance: Profit measures, profit testing.

This course is accredited under the Canadian Institute of Actuaries (CIA) University Accreditation Program (UAP). Details of required courses and grades at Simon Fraser University are available here (https://www.cia-ica.ca/membership/university-accreditation-program-home/accredited-universities/accredited-university-detail?pav_universityid=236ca8c4-60e5-e511-80b9-00155d111030).


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).

Grading

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

NOTES:

Above grading is subject to change.

Materials

REQUIRED READING:

Required Text:

Actuarial Mathematics for Life Contingent Risks, 3rd edby Dickson, Hardy & Waters. Publisher: Cambridge University Press

Book is available through the SFU Bookstore

RECOMMENDED READING:

  • Actuarial Mathematics (2nd ed 1997) by Bowers, Gerber, et al.; Society of Actuaries
  • Life Insurance Mathematics by Gerber, Springer-Verlag
  • The Mathematics of Life Insurance by Menge and Fisher; Ulrich's
  • Life Contingencies by C.W. Jordan; Society of Actuaries

Department Undergraduate Notes:

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 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 SPRING 2022

Teaching at SFU in spring 2022 will involve primarily in-person instruction, with safety plans in place.  Some courses will still be offered through remote methods, and if so, this will be clearly identified in the schedule of classes.  You will also know at enrollment whether remote course components will be “live” (synchronous) or at your own pace (asynchronous).

Enrolling in a course acknowledges that you are able to attend in whatever format is required.  You should not enroll in a course that is in-person if you are not able to return to campus, and should be aware 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.

Students with hidden or visible disabilities who may need class or exam accommodations, including in the context of remote learning, are advised to register with the SFU Centre for Accessible Learning (caladmin@sfu.ca or 778-782-3112) as early as possible in order to prepare for the spring 2022 term.