# Simon Fraser UniversityEngaging the World

## Fall Calendar

To view the Summer 2018 Academic Calendar go to www.sfu.ca/students/calendar/2018/summer.html

# Actuarial Mathematics Courses

### ACMA 101 - Introduction to Insurance (3)

General overview of universally useful concepts in insurance, pensions and financial management. Typical life, health and property & casualty insurance products; underwriting; pricing; reserving; regulation; social insurance; retirement plans and annuities; financial planning: mortgages, loans, wealth management. Corequisite: MATH 150, 151, 154 or 157. Quantitative/Breadth-Science.

### ACMA 210 - Mathematics of Compound Interest (3)

Measurement of interest, present value. Equations of value. Basic annuities: immediate, due, perpetuity. General annuities. Yield rates: cash flow analysis, reinvestment rate, portfolio and investment year methods. Amortization schedules and sinking funds. Bonds and other securities. Inflation, yield curves, immunization. Applications: real estate mortgages, depreciation methods. Interest rate disclosure and regulation in Canada. Covers the interest theory portion of Exam FM of the Society of Actuaries. Prerequisite: MATH 152; or MATH 155 or MATH 158 with a grade of at least B. Quantitative.

### ACMA 320 - Actuarial Mathematics I (5)

Survival distributions: age at death, life tables, fractional ages, mortality laws, select and ultimate life tables. Life insurance: actuarial present value function (apv), moments of apv, basic life insurance contracts, portfolio. Life annuities: actuarial accumulation function, moments of apv, basic life annuities. Net annual premiums: actuarial equivalence principle, loss function, accumulation type benefits. Actuarial reserves: prospective loss function, basic contracts, recursive equations, fractional durations. Covers part of the syllabus for Exam M of the Society of Actuaries and Exam 3 of the Casualty Actuarial Society, and covers practical applications such as computational aspects of pricing and reserving, and risk measurement of insurance portfolios. Prerequisite: STAT 285 and ACMA 210 (with a grade of C+ or higher). Quantitative.

### ACMA 336 - Job Practicum I (3)

First term of work experience in a co-operative education program for actuarial students. Students should contact an advisor as early in their career as possible for counseling. Units from this course do not count towards the units required for an SFU degree. Grading is on a pass/withdraw basis. A course fee is required. Prerequisite: Students must apply and receive permission from the co-op coordinator at least one but preferably two terms in advance. They will normally be required to have completed 45 units with a GPA of 2.50 before they may take this practicum course.

### ACMA 337 - Job Practicum II (3)

Second term of work experience in a co-operative education program available to actuarial students. Units from this course do not count towards the units required for an SFU degree. Grading is on a pass/withdraw basis. A course fee is required. Prerequisite: ACMA 336 or Job Practicum I from another department. Students must apply and receive permission from the co-op coordinator at least one term in advance.

### ACMA 340 - Financial Economics for Actuaries (3)

Actuarial models and their application to insurance and financial risks. Introductory derivatives: stocks, forwards, futures, swaps. Options: types, styles, parity and other relationships. Option strategies and risk management. Discrete-time models: binomial models, multi-period models. Continuous-time models: Black-Scholes-Merton model. Monte Carlo methods. Exotic options: Asian, barrier, gap options. Prerequisite: ACMA 210 and STAT 285. Quantitative.

### ACMA 355 - Loss Models I (3)

Severity models. Risk measures. Frequency models. Estimation: complete data, modified data, empirical distribution, Nelson-Aalen, ogive, Kaplan-Meier, kernel density, interval. Parametric estimation: method of moments, MLE. Bayesian estimation. Model selection. Covers part of the syllabus for Exam C of the Society of Actuaries and Exam 4 of the Casualty Actuarial Society. Corequisite: STAT 330. Quantitative.

### ACMA 360W - Actuarial Communication (3)

Guided experiences in written and oral communication of actuarial ideas and results to both expert and lay audiences. Prerequisite: ACMA 320. Students who have taken STAT 300W first may not then take this course for further credit. Writing/Quantitative.

### ACMA 395 - Special Topics in Actuarial Science (3)

Topics in areas of actuarial science not covered in the regular curriculum of the department. Prerequisite: Dependent on the topics covered.

### ACMA 425 - Actuarial Mathematics II (3)

Actuarial reserves: allocation of the loss to the policy years. Multiple life functions: joint-life, last-survivor. Multiple decrement models: stochastic and deterministic approaches, associated single decrement, fractional durations. Valuation theory for pension plans. Insurance models including expenses: gross premiums and reserves, type of expenses, modified reserves. Nonforfeiture benefits and dividends: equity concept, cash values insurance options, asset shares, dividends. Covers part of the syllabus for Exam M of the Society of Actuaries and Exam 3 of the Casualty Actuarial Society. Prerequisite: ACMA 320. Quantitative.

### ACMA 436 - Job Practicum III (3)

Third term of work experience in a co-operative education program available to actuarial students. Units from this course do not count towards the units required for an SFU degree. Grading is on a pass/withdraw basis. A course fee is required. Prerequisite: ACMA 337 or Job Practicum II from another department. Students must apply and receive permission from the co-op coordinator at least one term in advance.

### ACMA 437 - Job Practicum IV (3)

Fourth term of work experience in a co-operative education program available to actuarial students. Units from this course do not count towards the units required for an SFU degree. Grading is on a pass/withdraw basis. A course fee is required. Prerequisite: ACMA 436 or Job Practicum III from another department. Students must apply and receive permission from the co-op coordinator at least one term in advance.

### ACMA 438 - Job Practicum V (3)

Optional fifth term of work experience in a co-operative education program available to actuarial students. Units from this course do not count towards the units required for an SFU degree. Grading is on a pass/withdraw basis. A course fee is required. Prerequisite: ACMA 437 or Job Practicum IV from another department. Students must apply and receive permission from the co-op coordinator at least one term in advance.

### ACMA 440 - Models for Financial Economics (3)

Advanced actuarial models and their application to insurance and financial risks. Exotic options. Market-making, hedging and option greeks. Introduction to stochastic calculus: Ito's lemma, risk neutrality, fundamental theorems of asset pricing. Interest rate modelling and derivatives. Advanced option pricing models. Implied volatility and empirical issues. Actuarial applications: variable annuities. Prerequisite: ACMA 320 and ACMA 340. Quantitative.

### ACMA 455 - Loss Models II (3)

Frequency and severity with coverage modifications: deductibles, policy limit, coinsurance. Aggregate loss models. Conjugate priors, linear exponential family. Credibility models. Estimation: empirical Bayes, nonparametric, semiparametric. Simulations. Stochastic processes: Poisson and compound Poisson processes. Covers part of the syllabus for Exam C of the Society of Actuaries and Exam 4 of the Casualty Actuarial Society. Prerequisite: ACMA 320 and ACMA 355. Quantitative.

### ACMA 465 - Demography and Mortality Models (3)

Measures of mortality and fertility: Crude rates, age-specific mortality rates, adjusted measures of mortality. Construction of life tables from census data. Stationary population theory: survivorship group, Lexis diagram. Stable population theory: Sharpe-Lotka theorem, growth rate, quasi-stable populations. Mortality models. Longevity risk. Prerequisite: ACMA 320. Quantitative.

### ACMA 470 - Property and Casualty Insurance (3)

Ratemaking: terminology, process, trend, ultimate losses, expense provisions, profit and contingencies, overall rate indications, classification rates, increased limits. Individual risk rating: prospective systems, retrospective rating, design. Loss Reserving: accounting concepts, definitions, principles, loss reserving process. Risk classification: relationship to other mechanisms, criteria for selecting rating variables, examples, efficiency, estimating class relativities. Covers part of the syllabus for Exam 5 of Casualty Actuarial Society. Prerequisite: ACMA 320. Students with credit for ACMA 490 or STAT 490 may not take this course for further credit. Quantitative.

### ACMA 475 - Theory of Pension (3)

Overview of pension plans: design, funding, regulation, accounting standards. Pension funding methods: actuarial cost methods, terminal funding method. Individual actuarial cost methods: accrual benefit cost method, entry-age actuarial cost method, unit-credit method, individual-level-premium method, attainted-age-normal method. Group actuarial cost methods. Prerequisite: ACMA 320. Corequisite: ACMA 425. Students with credit for STAT 490 or ACMA 490 may not take this course for further credit. Quantitative.

### ACMA 490 - Selected Topics in Actuarial Science (3)

The topics included in this course will vary from term to term depending on faculty availability and student interest. Prerequisite: Dependent on the topic covered.

### ACMA 494 - Directed Studies in Actuarial Science (2)

Independent study and/or research in topics chosen in consultation with the supervising instructor. Prerequisite: Written permission from the Department of Statistics and Actuarial Science undergraduate curriculum committee.

### ACMA 495 - Directed Studies in Actuarial Science (3)

Independent study and/or research in topics chosen in consultation with the supervising instructor. Prerequisite: written permission from the Department of Statistics and Actuarial Science undergraduate curriculum committee.

### ACMA 815 - Rate of Return Models (2)

An introduction to stochastic models for the rate of return. Time series. Stochastic differential equations. Covariance equivalence principle. Applications. Prerequisite: Permission of the Department. Students with credit for ACMA 820 may not take this course for further credit.

### ACMA 816 - Stochastic Claims Processes (2)

Study the distribution of aggregate claims and introduce stochastic claims reserving methods in insurance. Individual versus collective models. Standard distribution-free methods. Other models. Prerequisite: Permission of the Department. Students with credit for ACMA 821 may not take this course for further credit.

### ACMA 820 - Stochastic Analysis of Insurance Portfolios (4)

Life insurance models. Interest rate models for life insurance: time series, stochastic differential equations, estimation. Portfolios of identical policies. Diversified portfolios. Prerequisite: ACMA 320.

### ACMA 821 - Advanced Actuarial Models (4)

Advanced non-life insurance mathematics. Individual risk models, collective risk models, ruin models. Actuarial reserve models: Bonus-malus system, IBNR techniques. Generalized linear models in Actuarial Science. Prerequisite: ACMA 335.

### ACMA 822 - Risk Measures and Ordering (4)

Actuarial risks. Insurance premium calculation principles and properties. Risk measures and ordering. Applications. Prerequisite: ACMA 335.