Spring 2025 - ACMA 401 D100
Long-Term Actuarial Mathematics II (3)
Class Number: 4791
Delivery Method: In Person
Overview
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Course Times + Location:
Jan 6 – Apr 9, 2025: Mon, 2:30–4:20 p.m.
BurnabyJan 6 – Apr 9, 2025: Wed, 2:30–3:20 p.m.
Burnaby
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Instructor:
Chi-Liang Tsai
cltsai@sfu.ca
1 778 782-7044
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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 ALTAM 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.
Grading
- Assignments 15%
- Midterm 35%
- 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
RELIGIOUS ACCOMMODATION
Students with a faith background who may need accommodations during the term are encouraged to assess their needs as soon as possible and review the Multifaith religious accommodations website. The page outlines ways they begin working toward an accommodation and ensure solutions can be reached in a timely fashion.