Simon Fraser University
Engaging the World

Course Outlines

Spring 2023 - ACMA 401 D100

Long-Term Actuarial Mathematics II (3)

Class Number: 5840

Delivery Method: In Person

Overview

  • Course Times + Location:

    Jan 4 – Apr 11, 2023: Mon, 12:30–1:20 p.m.
    Burnaby

    Jan 4 – Apr 11, 2023: Thu, 12:30–2:20 p.m.
    Burnaby

  • Exam Times + Location:

    Apr 17, 2023
    Mon, 12:00–3:00 p.m.
    Burnaby

  • Prerequisites:

    ACMA 301 (or 320), with a minimum grade of C.

Description

CALENDAR DESCRIPTION:

Advanced survival models. Multiple state models. Advanced premium calculations and reserves. Profit testing. Pension plans and retirement benefits. Computer applications for pricing, reserving and risk measurement of life insurance portfolios. Covers part of the syllabus for Exam LTAM of the Society of Actuaries. Students with credit for ACMA 425 cannot take ACMA 401 for further credit. Quantitative.

COURSE DETAILS:


This course, a continuation of ACMA 301, covers the fundamentals of Actuarial Mathematics.

Course Outline:

The topics covered correspond to part of Exam LTAM of the Society of Actuaries and they include:

  • Life insurance for fractional age and (1/m)-thly interval: mortality assumptions at fractional ages, premiums, reserves.
  • Multiple state models: Continuous time stochastic process, transition probabilities, premiums, reserves, multiple decrement models, joint-life and last-survivor benefits.
  • Pension mathematics: Salary scale function, pension plan service table, defined benefit and defined contribution pension plans, valuation.
  • Emerging costs for traditional life insurance: Profit measures, profit testing.

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 10%
  • Midterm 40%
  • Final Exam 50%

NOTES:

Above grading is subject to change.

Materials

REQUIRED READING:

Required Text:

Actuarial Mathematics for Life Contingent Risks, 3rd ed, by Dickson, Hardy & Waters. Publisher: Cambridge University Press

Book is available through the SFU Bookstore

RECOMMENDED READING:

  • Actuarial Mathematics (2nd ed 1997) by Bowers, Gerber, et al.; Society of Actuaries
  • Life Insurance Mathematics by Gerber, Springer-Verlag
  • The Mathematics of Life Insurance by Menge and Fisher; Ulrich's
  • Life Contingencies by C.W. Jordan; Society of Actuaries

REQUIRED READING NOTES:

Your personalized Course Material list, including digital and physical textbooks, are available through the SFU Bookstore website by simply entering your Computing ID at: shop.sfu.ca/course-materials/my-personalized-course-materials.

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 caladmin@sfu.ca.


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 website 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