Simon Fraser University
Engaging the World

Course Outlines

Spring 2026 - RISK 804 G100

Actuarial Risk Management (3)

Class Number: 4552

Delivery Method: In Person

Overview

  • Course Times + Location:

    Jan 5 – Apr 10, 2026: Mon, 2:30–3:20 p.m.
    Burnaby

    Jan 5 – Apr 10, 2026: Wed, 1:30–3:20 p.m.
    Burnaby

Description

CALENDAR DESCRIPTION:

Economic perspectives on risk and insurance. Multivariate risk models, copulas and dependence. Risk aggregation and capital allocation. Risk management in practice. Students with credit for ACMA 832 may not take this course for further credit.

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: basic concepts in risk, risk aversion and measure of risk, insurance decision, static portfolio choices, consumption and saving, risk and information, efficient allocations of risks and risk sharing
  • Risk aggregation and capital allocation: risk measures, comparing risk, aggregate risk
  • Multivariate risk models, copulas and dependence: multivariate models, copulas and dependence
  • Risk management in practice: regulatory framework like Solvency II, LICAT, and DCAT

Grading

  • Assignments 20%
  • Term project 20%
  • Midterm exam 30%
  • Final exam 30%

NOTES:

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.

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

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.