Simon Fraser University
Engaging the World

Course Outlines

Spring 2026 - RISK 803 G100

Advanced Models for Short-Term Insurance (3)

Class Number: 4551

Delivery Method: In Person

Overview

  • Course Times + Location:

    Jan 5 – Apr 10, 2026: Mon, 4:30–5:20 p.m.
    Burnaby

    Jan 5 – Apr 10, 2026: Wed, 4:30–6:20 p.m.
    Burnaby

Description

CALENDAR DESCRIPTION:

Risk measures. Extreme value theory: models and applications. Aggregate models for claims. Regression-based approaches to claims modeling: generalized linear models, linear mixed models. Students with credit for RISK (or ACMA) 421 may not take this course for further credit.

COURSE DETAILS:

This course covers advanced loss models for the short-term insurance, which are also part of the syllabus for the exams FAM-S, ASTAM and SRM of the SOA / exams MAS-I and MAS-II of the CAS described as follows:

  1. Risk measures (LM: Sections 3.4-5)
  2. Extreme value distributions (LM: Section 5.3.4)
  3. Introduction to credibility (LM: Section 16)
  4. Bayesian/Buhlmann-Straub credibility (LM: Section 17)
  5. Aggregate loss models: compound model for aggregate claims, the recursive method, the impact of individual policy modifications on aggregate payments, individual risk model. (LM: Chapter 9)
  6. Review of simple linear models (ISL: Chapter 3)
  7. Linear mixed models (PMAS1: Chapter 8)
  8. Generalized linear models (ISL: Sections 4.1-3 and 4.6)
  9. Generalized linear mixed models and bonus-malus system for auto insurance (AMCC: Sections 2.5, Sections 4.1-2)

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%
  • Group Project 34%
  • Assignments 30%

NOTES:

Above grading is subject to change.

Materials

RECOMMENDED READING:

An Introduction to Statistical Learning, with Application in R, 2nd ed (ISL). Authors: G.M. James, D. Witten, T. Hastie, and R. Tibshirani. Publisher: Springer.

Loss Models: From Data to Decisions, 5th ed. (LM), Authors: S.A. Klugman, H.H. Panjer, and G.E. Willmot. Publisher: Wiley.

Predictive Modeling Applications in Actuarial Science, Volume 1.  (PMAS1), Authors: Edward W. Frees et al. Publisher: Cambridge University Press.

Actuarial Modelling of Claim Counts (AMCC), Authors: S. Pitrebois, J-F., Walhin, X. Marechal, M. Denuit. Publisher: Wiley.


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

At SFU, you are expected to act honestly and responsibly in all your academic work. Cheating, plagiarism, or any other form of academic dishonesty harms your own learning, undermines the efforts of your classmates who pursue their studies honestly, and goes against the core values of the university.

To learn more about the academic disciplinary process and relevant academic supports, visit: 


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.