Overview

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, Section 13.3 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. Bayes' theorem, prior distribution, posterior distribution, predictive distribution, conjugate prior distributions and the linear exponential family.
4. Limited fluctuation credibility: limited fluctuation credibility theory, full credibility, partial credibility.
5. Greatest accuracy credibility: conditional distributions and expectation, credibility premium, Buhlmann model, Buhlmann-Straub model, exact credibility.
6. Empirical Bayes parameter estimation: nonparametric estimation, semiparametric estimation.
7. Basic insurance and reinsurance coverages for short-term insurances.
8. 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). Achievement of the minimum required grades in accredited courses may provide credit for preliminary exams. Please note that a combination of courses may be required to achieve exam credit. Details on the required courses and grades for the Simon Fraser University can be found here.

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 information for candidates on obtaining UAP credits.

Grading

Materials

MATERIALS + SUPPLIES:

Access to high-speed internet, webcam.

REQUIRED READING:

RECOMMENDED READING:

REQUIRED READING NOTES: