Spring 2021 - STAT 490 D100

Selected Topics in Probability and Statistics (3)

Risk Management

Class Number: 3409

Delivery Method: In Person


  • Course Times + Location:

    Tu 10:30 AM – 12:20 PM

  • Exam Times + Location:

    Apr 27, 2021
    12:00 PM – 3:00 PM

  • Prerequisites:

    Dependent on the topic covered.



Topics in areas of probability and statistics not covered in the regular undergraduate curriculum of the department.


Course Title: Actuarial Risk Management

Pre-requisties: STAT 330

Cross-listing: This course is cross-listed with ACMA 850.

Mode of teaching:

  • Lecture: Synchronous (recorded)
  • Final exam: Synchronous; date: TBA
  • Remote invigilation (Zoom, or other approved software) will be used. Students should have reliable high-speed internet access and a webcam.

Course Content:
This course focuses on concepts and tools related to risk management in the context of actuarial work. It covers the following topics:

1. Economic perspectives on risk and insurance: utility theory, stochastic dominance and preference ordering, diversification and risk sharing

2. Risk measures: coherence, convexity, distortion risk measures and risk transforms, conditional and dynamic risk measures, time consistency

3. Extreme value theory
4. Multivariate risk models: MVN distribution, elliptical distributions, copulas and dependence, aggregate risk measures and capital allocation

5. Risk management in practice: premium principles and economic capital, static and dynamic hedging of economic risks, insurance products with embedded options: pricing and hedging, risk-based capital in insurance (Solvency II, LICAT), Monte Carlo simulation

Course Format:

  • Students will learn “in-class” through: formal lectures, presentations and problem solving. Out-of-class learning will consist of: readings, internet research, and computer programming.
  • There will be four hours of virtual lecture per week. Some lectures might be rescheduled if necessary.
  • Course material, references, links and messages will be posted on the course website (Canvas).
  • Office hours may be used for further explanations and relevant discussions.
  • You are encouraged to discuss problems in small groups. However, you must work alone when writing up the solutions to the problems.


  • Assignments 30%
  • Projects and Presentations 40%
  • Final Exam 30%


The pass mark is 50%. The final grade will be allocated according to the student’s achievement in the

Missing an exam will result in a mark of 0 unless the student was prevented from taking it due to medical
reasons with convincing evidence. Students should use the “Health Care Provider Statement” form available
at http://www.sfu.ca/content/dam/sfu/students/pdf/healthcare-statement-general.pdf.
Should you miss an exam, you must let the instructor know as soon as possible. Under no circumstances
will make up exams be given. A student present at the start of an exam will have his/her exam marked even
if he/she leaves early for any reason.



Access to high-speed internet, webcam


Readings and references will be provided throughout the semester.

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:


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 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).