Simon Fraser University
Engaging the World

Course Outlines

Spring 2024 - ACMA 455 D100

Loss Models II (3)

Class Number: 2927

Delivery Method: In Person

Overview

  • Course Times + Location:

    Jan 8 – Apr 12, 2024: Mon, Wed, Fri, 9:30–10:20 a.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, 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 part of the University Accreditation Program and meets specific requirements set by the Canadian Institute of Actuaries (CIA). Please consult the CIA website for full details on CIA accreditation.

Grading

  • Exam 1 18%
  • Exam 2 18%
  • Exam 3 18%
  • Quizzes 24%
  • Assignments 22%

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.

RECOMMENDED READING:


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