Simon Fraser University
Engaging the World

Course Outlines

Spring 2024 - ACMA 832 G100

Actuarial Risk Management (4)

Class Number: 2931

Delivery Method: In Person

Overview

  • Course Times + Location:

    Jan 8 – Apr 12, 2024: Tue, 3:30–5:20 p.m.
    Burnaby

    Jan 8 – Apr 12, 2024: Thu, 3:30–4:20 p.m.
    Burnaby

  • Exam Times + Location:

    Apr 24, 2024
    Wed, 7:00–10:00 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

Hardy, M.R., Saunders, D. (2022). Quantitative Enterprise Risk Management. Cambridge.

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