Spring 2021 - ACMA 490 D100
Selected Topics in Actuarial Science (3)
Class Number: 8026
Delivery Method: In Person
Overview
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Course Times + Location:
Jan 11 – Apr 16, 2021: Wed, Thu, 4:30–5:50 p.m.
Location: TBA
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Instructor:
Gary Parker
gparker@sfu.ca
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Prerequisites:
Dependent on the topic covered.
Description
CALENDAR DESCRIPTION:
The topics included in this course will vary from term to term depending on faculty availability and student interest.
COURSE DETAILS:
Selected Topic: Stochastic Analysis of Insurance Portfolios
Pre-requisite:
ACMA 320 & permission of the instructor
Course Description:
Life insurance models. Interest rate models for life insurance: time series, stochastic differential equations, estimation. Portfolios of identical policies. Diversified portfolios.
Outline:
- Basic model for studying life insurance contracts
- Models for the Rate of return:
- >Time Series; ARMA models
- >Stochastic Differential Equations; Ito’s formula, log-normal model, Ornstein-Uhlenbeck process, Cox-Ingersoll-Ross model, Principle of covariance equivalence
- >Other models: Regime-switching model, Wilkie model
- Insurance risk: One contract, A portfolio of identical contracts
- Life Insurance with Random Interest and Mortality: Present value, net single premium
- Portfolio of Policies with Random Interest and Mortality: moments
- Distribution of the Present Value of Benefits for a Portfolio
- >Approximating the Distribution; Limiting Portfolio
- Diversified portfolios
Mode of Teaching:
- Lecture: Synchronous
- Midterms: Synchronous
- Remote invigilation will be used
Grading
- Assignments & Term Project 30%
- Midterm 1 30%
- Midterm 2 40%
NOTES:
All grading is subject to change.
Materials
MATERIALS + SUPPLIES:
high speed internet, webcam
RECOMMENDED READING:
Stochastic Analysis of Insurance Portfolios, G. Parker, 2020
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).