Simon Fraser University
Engaging the World

Course Outlines

Spring 2022 - ACMA 832 G100

Actuarial Risk Management (4)

Class Number: 6948

Delivery Method: In Person

Overview

  • Course Times + Location:

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

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

Description

CALENDAR DESCRIPTION:

Economic perspectives on risk and insurance. Risk measures. Extreme value theory. Multivariate risk models, copulas and dependence. Risk management in practice.

COURSE DETAILS:

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

  • Economic perspectives on risk and insurance: utility theory, stochastic dominance and preference ordering, diversification and risk sharing.
  • Risk measures: premium principles, coherence, convexity, distortion risk measures and risk transforms.
  • Extreme value theory.
  • Multivariate risk models: MVN distribution, elliptical distributions, copulas and dependence.
  • Risk management in practice: static and dynamic hedging of economic risks, insurance products with embedded options, risk-based capital in insurance (Solvency II, LICAT), Monte Carlo simulation.

Grading

  • Assignments 30%
  • Paper Summaries and Presentations 15%
  • Term Project 30%
  • Final Exam 25%

NOTES:

All above grading is subject to change.

Materials

REQUIRED READING:

Readings and references will be provided throughout the semester.

RECOMMENDED READING:

Eeckhoudt, L., Gollier, C., Schlesinger, H. (2005). Economic and Financial Decisions under Risk. Princeton.

McNeil, A.J., Frey, R., Embrechts, P. (2015). Quantitative Risk Management. Princeton.

Denuit, M., Dhaene, J., Goovaerts, M. and Kaas, R. (2005). Actuarial Theory for Dependent Risks: Measures, Orders and Models. Wiley.
Available online for free through the SFU Library

Hardy, M. (2003). Investment Guarantees: Modeling and Risk Management for Equity- Linked Life Insurance. Wiley.
Available online for free through the SFU Library

Graduate Studies Notes:

Important dates and deadlines for graduate students are found here: http://www.sfu.ca/dean-gradstudies/current/important_dates/guidelines.html. The deadline to drop a course with a 100% refund is the end of week 2. The deadline to drop with no notation on your transcript is the end of week 3.

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.