ACSC/STAT 3720 - Winter 2017

Life Contingencies I

This is the page where I post material related to the ACSC/STAT 3720 course I am teaching in WINTER 2017.

 

  • Office hours: Tuesday 9:00-10:00, Wednesday 10:30-11:30, Thursday 9:00-10:00
  • Office: 102 Chase building
  • If you want to come to my office at a different time please email me:tkenney@mathstat.dal.ca
  • Midterm Exam: Friday 3rd March, in class.
  • Here are some practice questions for the midterm exam. Here are the model solutions.
  • Here is the formula sheet for the midterm.
  • Here are some practice questions for the final exam. Here are the model solutions.
  • Textbook: Actuarial Mathematics for Life Contingent Risks (Second Edition) by David C. M. Dickson, Mary R. Hardy and Howard R. Walters, published by Cambridge University Press, 2013
  • Final Exam: Saturday 22nd April, 08:30 AM, DUNN 135. Here is the formula sheet for the final. You will also be provided with any necessary tables. No notes are permitted in the examination. Scientific calculators are permitted, but not graphical calculators.

    • Handouts

    Course Handout

    Planned material

    Lecture time is limited, so I plan to use it explaining concepts and giving examples, rather than reading the textbook. Therefore, to get the most out of each lecture, you should read the relevant material before the lecture. Here is the list of what I expect to cover in each lecture. This is subject to change - make sure to check regularly for changes.

    Here are some questions on these topics that we may go over in class.

    Week beginning Monday Wednesday Friday
    9th January Introduction and Preliminaries 1 Introduction to Life Insurance 2 Survival Models
  • 2.2 The Future Lifetime Random Variable
  • 2.3 Force of Mortality
    •
    16th January
  • 2.4 Actuarial Notation
  • 2.5 Mean and Standard Deviation of Tx
  • 2.6 Curtate Future Lifetime
    •
  • 2.6 Curtate Future Lifetime (cont.)
    • 3 Life Tables and Selection
  • 3.2 Life Tables
  • 3.3 Fractional Age Assumptions
  • 3.4 National Life Tables
  • 3.5 Survival Models for Life Insurance Policyholders
    •
  • 3.5 Survival Models for Life Insurance Policyholders (cont.)
  • 3.6 Life Insurance Underwriting
  • 3.7 Select and Ultimate Survival Models
  • 3.8 Notation and Formulae for Select Survival Models
    •
    23rd January
  • 3.9 Select Life Tables
  • 3.10 Heterogeneity in Mortality
  • 3.11 Mortality Trends
    •      		4 Insurance Benefits
  • 4.2 Introduction
  • 4.3 Assumptions
  • 4.4 Valuation of Insurance Benefits
  • 4.4.1-4.4.3 Whole Life Insurance
  • 4.4.4 Recursions
    •
  • 4.4.5 Term Insurance
  • 4.4.6 Pure Endowment
  • 4.4.7 Endowment Insurance
  • 4.4.8 Deferred Insurance Benefits
    •
    30th January
  • 4.5 Relating Different Cases of Whole Life Insurance
  • 4.6 Variable Insurance Benefits
  • 4.7 Functions for Select Lives
    •      		5 Annuities
  • 5.2 Introduction
  • 5.3 Review of Annuities Certain
  • 5.4 Annual Life Insurance
    •      		MUNROE DAY
    6th February
  • 5.4 Annual Life Insurance (cont.)
  • 5.5 Annuities Payable Continuously
  • 5.6 Annuities Payable 1/mthly
    •
  • 5.7 Comparison of Annuities by Payment Frequency
  • 5.8 Deferred Annuities
    •      		SNOW DAY
    13th February SNOW DAY
  • 5.9 Guaranteed Annuities
  • 5.10 Increasing Annuities
  • 5.11 Evaluating Annuity Functions
    •
  • 5.12 Numerical Illustrations
  • 5.13 Functions For Select Lives
    •
    20th February STUDY WEEK
    27th February Revision Chapters 1-5 Revision Chapters 1-5

    MIDTERM

    EXAMINATION
    6th March 6 Premium Calculation
  • 6.1 Summary
  • 6.2 Preliminaries
  • 6.3 Assumptions
  • 6.4 The Present Value of the Future Loss Random Variable
    •
  • 6.5 The Equivalence Principle
    •
  • 6.6 Gross Premiums
  • 6.7 Profit
    •
    13th March
  • 6.8 The Portfolio Percentile Premium Principle
    •
  • 6.9 Extra Risks
    •      		7 Policy Values
  • 7.1 Summary
  • 7.2 Assumptions
  • 7.3 Policies with Annual Cash Flows
  • 7.3.1 The Future Loss Random Variable
    •
    20th March
  • 7.3.2 Policy Values for Policies with Annual Cash Flows
  • 7.3.3 Recursive Formulae for Policy Values
    •
  • 7.3.4 Annual Profit by Source
  • 7.3.5 Asset Shares
    •
  • 7.4 Policy Values for Policies with Cash Flows at 1/mthly Intervals
    •
    27th March
  • 7.5 Policy Values with Continuous Cash Flows
  • 7.6 Policy Alterations
    •
  • 7.6 Policy Alterations (cont.)
  • 7.7 Retrospective Policy Values
  • 7.8 Negative Policy Values
    •
  • 7.9 Deferred Acquisition Expenses and Modified Premium Reserves Payments
    		•
    3rd April
  • 7.9 Deferred Acquisition Expenses and Modified Premium Reserves Payments (cont.)
    •      		Revision Revision
    10th April Revision END OF LECTURES

    Homework

    Here is a text version of the lifetable used for a lot of the homework questions.
    Assignment 1 Due Friday 27th January. Model Solutions
    Assignment 2 Due Monday 6th February. Model Solutions
    Assignment 3 Due Wednesday 15th February. Model Solutions
    Assignment 4 Due Monday 27th February. Model Solutions
    Assignment 5 Due Friday 17th March. Model Solutions
    Assignment 6 Due Friday 24th March. Model Solutions
    Assignment 7 Due Friday 31st March. Model Solutions
    Assignment 8 Due Friday 7th April. Model Solutions