Simon Fraser University
Engaging the World

Course Outlines

Spring 2021 - ACMA 455 D100

Loss Models II (3)

Class Number: 3247

Delivery Method: In Person

Overview

  • Course Times + Location:

    Jan 11 – Apr 16, 2021: Mon, 2:30–4:20 p.m.
    Burnaby

    Jan 11 – Apr 16, 2021: Wed, 2:30–3:20 p.m.
    Burnaby

  • Exam Times + Location:

    Apr 24, 2021
    Sat, 3:30–6:30 p.m.
    Burnaby

  • Prerequisites:

    ACMA 320 and ACMA 355.

Description

CALENDAR DESCRIPTION:

Aggregate loss models. Credibility: models and estimation. Insurance and reinsurance coverages. Pricing and reserving for short-term insurance coverages. Covers part of the syllabus for Exam STAM of the Society of Actuaries. This course is accredited under the University Accreditation Program of the Canadian Institute of Actuaries. Quantitative.

COURSE DETAILS:

This course covers the fundamentals of actuarial loss models. The topics covered correspond to Chapters 8, 9, Section 13.3 and Chapters 16-18 of the ‘Loss Models’ textbook and the study notes. They include the following:

  1. Frequency and severity with coverage modifications: deductibles, policy limit, coinsurance; the loss elimination ratio, the effect of inflation.
  2. Aggregate loss models: compound model for aggregate claims, the recursive method, the impact of individual policy modifications on aggregate payments, individual risk model.
  3. Bayes' theorem, prior distribution, posterior distribution, predictive distribution, conjugate prior distributions and the linear exponential family.
  4. Limited fluctuation credibility: limited fluctuation credibility theory, full credibility, partial credibility.
  5. Greatest accuracy credibility: conditional distributions and expectation, credibility premium, Buhlmann model, Buhlmann-Straub model, exact credibility.
  6. Empirical Bayes parameter estimation: nonparametric estimation, semiparametric estimation.
  7. Basic insurance and reinsurance coverages for short-term insurances.
  8. Pricing and reserving for short-term insurance coverages: rating factors, exposure, experience rating, run-off triangle, techniques for estimating unpaid losses, methods for calculating premiums.

Mode of Teaching:

  • Lecture: Synchronous
  • Tutorial: Synchronous
  • Quizzes and Midterm: Synchronous; Date: TBA
  • Final exam: Synchronous; date: TBA
  • Remote invigilation: Zoom will be used.

This course is accredited under the Canadian Institute of Actuaries (CIA) University Accreditation Program (UAP). Achievement of the minimum required grades in accredited courses may provide credit for preliminary exams. Please note that a combination of courses may be required to achieve exam credit. Details on the required courses and grades for the Simon Fraser University can be found here.

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 information for candidates on obtaining UAP credits.

Grading

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

NOTES:

Above grading is subject to change

Materials

MATERIALS + SUPPLIES:

Access to high-speed internet, webcam.

REQUIRED READING:

Loss Models: From Data to Decisions, 5th Edition, 2019, S.A.Klugman, H.H. Panjer and G.E. Willmot; publisher: Wiley.

RECOMMENDED READING:


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 http://www.stat.sfu.ca/teaching/need-a-tutor-.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 2021

Teaching at SFU in spring 2021 will be conducted primarily through remote methods. There will be in-person course components in a few exceptional cases where this is fundamental to the educational goals of the course. Such course components will be clearly identified at registration, as will course components that will be “live” (synchronous) vs. at your own pace (asynchronous). Enrollment acknowledges 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. To ensure you can access all course materials, we recommend you have access to a computer with a microphone and camera, and the internet. In some cases your instructor may use Zoom or other means requiring a camera and microphone to invigilate exams. If proctoring software will be used, this will be confirmed in the first week of class.

Students with hidden or visible disabilities who believe they may need class or exam accommodations, including in the current context of remote learning, are encouraged to register with the SFU Centre for Accessible Learning (caladmin@sfu.ca or 778-782-3112).