Simon Fraser University
Engaging the World

Course Outlines

Spring 2023 - ACMA 831 G100

Advanced Actuarial Models (4)

Class Number: 5888

Delivery Method: In Person

Overview

  • Course Times + Location:

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

    Jan 4 – Apr 11, 2023: Fri, 9:30–10:20 a.m.
    Burnaby

  • Exam Times + Location:

    Apr 24, 2023
    Mon, 3:30–6:30 p.m.
    Burnaby

Description

CALENDAR DESCRIPTION:

Aggregate claims models. Models for incurred but not reported claims. Bonus-malus systems in automobile insurance. Mortality models. Students with credit for ACMA 821 may not take this course for further credit.

COURSE DETAILS:


Course Outline:

The main objective of this course is to study advanced actuarial models for general insurance and for mortality rates, and to introduce some methods which are relevant to actuarial practice in property and casualty (P&C) insurance and in mortality projections. The topics covered by this course are the following:

  1. Aggregate claims models.
  2. Models for incurred but not reported (IBNR) claims.
  3. Bonus-Malus systems in automobile insurance.
  4. Mortality models and their application.
  5. GLM for claim frequency and severity, and for aggregate claims; Classical risk process and ruin theory; Tweedie distributions; Extreme value theory for claim severities (if time allows).

Grading

  • Assignments 30%
  • Project 30%
  • Presentation 10%
  • Exam 30%

NOTES:

Above grading is subject to change.

Materials

RECOMMENDED READING:

Stochastic Claims Reserving Methods in Insurance, 2008, M.V. Wüthrich and M. Merz; John Wiley & Sons, Ltd.

Actuarial Modelling of Claim Counts, 2007, M. Denuit, X. Marechal, S. Pitrebois, and J.-F. Walhin; John Wiley & Sons, Ltd.

Loss Models, 5th Edition, 2019, S.A. Klugman, H.H. Panjer, and G.E. Willmot; John Wiley & Sons, Ltd.

Modern Actuarial Risk Theory, 2001, R. Kaas, M. Goovaerts, J. Dhaene and M. Denuit; Publisher: Kluwer Academic Publishers.

A Course in Credibility Theory and its Application, 2005, H. Bühlmann and A. Gisler; Springer.

Stochastic Processes for Insurance and Finance, 2000, T. Rolski, H. Schmidli, V. Schmidt, and J. Teugels; John Wiley & Sons, Ltd.

Bonus-Malus Systems in Automobile Insurance, 1995, J. Lemaire, Kluwer Academic Publishers.

Insurance Risk and Ruin, 2005, D.C.M. Dickson; Cambridge University Press.

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.

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 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