Simon Fraser University
Engaging the World

Course Outlines

Fall 2021 - ACMA 355 D100

Loss Models I (3)

Class Number: 5402

Delivery Method: In Person

Overview

  • Course Times + Location:

    Sep 8 – Dec 7, 2021: Mon, 2:30–4:20 p.m.
    Burnaby

    Sep 8 – Dec 7, 2021: Wed, 2:30–3:20 p.m.
    Burnaby

  • Exam Times + Location:

    Dec 13, 2021
    Mon, 8:30–11:30 a.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.

Mode of Teaching

  • Lecture: Synchronous
  • Tutorial: Synchronous
  • Quizzes and Midterm: Synchronous; Date: TBA
  • Final exam: Synchronous; date: TBA
  • Remote invigilation (Zoom, or other approved software) will be used if needed.

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 19%
  • Exam 1 27%
  • Exam 2 27%
  • Exam 3 27%

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

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

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 csdo@sfu.ca


Tutor Requests:
Students looking for a tutor should visit hhttps://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 FALL 2021

Teaching at SFU in fall 2021 will involve primarily in-person instruction, with approximately 70 to 80 per cent of classes in person/on campus, with safety plans in place.  Whether your course will be in-person or through remote methods 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 fall 2021 term.