Simon Fraser University
Engaging the World

Course Outlines

Spring 2022 - ACMA 455 D100

Loss Models II (3)

Class Number: 6941

Delivery Method: In Person

Overview

  • Course Times + Location:

    Jan 10 – Apr 11, 2022: Mon, 2:30–4:20 p.m.
    Burnaby

    Jan 10 – Apr 11, 2022: Wed, 2:30–3:20 p.m.
    Burnaby

  • Prerequisites:

    ACMA 355 with a minimum grade of C.

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. Quantitative.

COURSE DETAILS:

This course covers the fundamentals of actuarial loss models. The topics covered correspond to Chapters 8, 9, 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. Limited fluctuation credibility: limited fluctuation credibility theory, full credibility, partial credibility.
  4. Greatest accuracy credibility: conditional distributions and expectation, credibility premium, Buhlmann model, Buhlmann-Straub model, exact credibility.
  5. Empirical Bayes parameter estimation: nonparametric estimation, semiparametric estimation.
  6. Basic insurance and reinsurance coverages for short-term insurances.
  7. 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.

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 Edition, 2019, S.A.Klugman, H.H. Panjer and G.E. Willmot; publisher: Wiley.

Book is available through the SFU Bookstore

RECOMMENDED READING:


Department Undergraduate Notes:

Tutor Requests:
Students looking for a tutor should visit https://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 SPRING 2022

Teaching at SFU in spring 2022 will involve primarily in-person instruction, with safety plans in place.  Some courses will still be offered through remote methods, and if so, this 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 spring 2022 term.