Spring 2025 - ACMA 421 D100
Advanced Models for Short-Term Insurance (3)
Class Number: 4793
Delivery Method: In Person
Overview
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Course Times + Location:
Jan 6 – Apr 9, 2025: Mon, Wed, Fri, 9:30–10:20 a.m.
Burnaby
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Instructor:
Himchan Jeong
himchanj@sfu.ca
1 778 782-6591
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Prerequisites:
ACMA 321 with a minimum grade of C. Corequisite: STAT 350.
Description
CALENDAR DESCRIPTION:
Risk measures. Extreme value theory: models and applications. Aggregate models for claims. Regression-based approaches to claims modeling: generalized linear models, linear mixed models.
COURSE DETAILS:
This course covers advanced loss models for the short-term insurance, which are also part of the syllabus for the exams FAM-S, ASTAM and SRM of the SOA / exams MAS-I and MAS-II of the CAS described as follows:
- Risk measures (LM: Sections 3.4-5)
- Extreme value distributions (LM: Section 5.3.4)
- Introduction to credibility (LM: Section 16)
- Aggregate loss models: compound model for aggregate claims, the recursive method, the impact of individual policy modifications on aggregate payments, individual risk model. (LM: Chapter 9)
- Review of simple linear models (ISL: Chapter 3)
- Linear mixed models (PMAS1: Chapter 8)
- Generalized linear models (ISL: Sections 4.1-3 and 4.6)
- Generalized linear mixed models and bonus-malus system for auto insurance (AMCC: Sections 2.5, Sections 4.1-2)
Grading
- Exam 1 18%
- Exam 2 18%
- Exam 3 18%
- Quizzes 22%
- Assignments 24%
Materials
RECOMMENDED READING:
An Introduction to Statistical Learning, with Application in R, 2nd ed (ISL). Authors: G.M. James, D. Witten, T. Hastie, and R. Tibshirani Publisher: Springer.
Loss Models: From Data to Decisions, 5th ed. (LM), Authors: S.A. Klugman, H.H. Panjer, and G.E. Willmot. Publisher: Wiley.
Predictive Modeling Applications in Actuarial Science, Volume 1. (PMAS1), Authors: Edward W. Frees et al. Publisher: Cambridge University Press
Actuarial Modelling of Claim Counts (AMCC), Authors: S. Pitrebois, J-F., Walhin, X. Marechal, M. Denuit. Publisher: Wiley.
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
RELIGIOUS ACCOMMODATION
Students with a faith background who may need accommodations during the term are encouraged to assess their needs as soon as possible and review the Multifaith religious accommodations website. The page outlines ways they begin working toward an accommodation and ensure solutions can be reached in a timely fashion.