ACSC/STAT 4703 - Fall 2018

Actuarial Models II

This is the page where I post material related to the ACSC/STAT 4703 course I am teaching in FALL 2018.

 

  • Office hours: Monday 10:30-11:30, Tuesday 13:00-14:00, Thursday 13:00-14:00
  • 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: Thursday 18th October, in class.
  • Here are some practice questions for the Midterm exam. Here are the model solutions.
  • Here is the formula sheet for the midterm exam.
  • Textbook: Loss Models: From Data to Decisions (Fourth Edition) by S. A. Klugman, H. J. Panjer and G. E. Wilmot, published by Wiley, 2012
  • and Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance (Fourth Edition), 2015, by Brown and Lennox
  • Additional reading Society of Actuaries, SHORT-TERM ACTUARIAL MATHEMATICS STUDY NOTES
  • STAM-22-18.
  • STAM-23-18.
  • STAM-24-18.
  • STAM-25-18.
  • STAM-26-18.
  • Final Exam: Friday 7th December 12:00-15:00 Chase 319.
    • Here are some Practice questions and model solutions. 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

    Class Questions

    Answers to Class Questions

    (These are partly for my reference, so are not totally complete.)

    R code for some of the class questions

    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.

    Week beginning Tuesday Thursday Friday
    3rd September Introduction and Preliminaries
    9 Aggregate Loss Models:
  • 9.1 Introduction
    •
  • 9.2 Model choices
  • 9.3 The compound model for aggregate claims
    •
  • 9.4 Analytic results
  • 9.5 Computing the aggregate claims distribution
    •
    10th September
  • 9.6 the recursive method
    •
  • 9.6.1 Applications to compound frequency models
  • 9.6.2 Overflow/Underflow problems
    		•
  • 9.6.3 Numerical stability
  • 9.6.4 Continuous severity
  • 9.6.5 Constructing arithmetic distributions
    		•
    17th September
  • 9.7 The impact of individual policy modifications on aggregate payments
    •
  • 9.8 The individual risk model
    •
  • 9.8 The individual risk model (cont.)
    •
    24th September 16 Model selection
  • 16.3 Graphical comparison of density and distribution functions
    •
  • 16.4 Hypothesis tests
    •
  • 16.4 Hypothesis tests (cont.)
  • Score based approaches - AIC, BIC
  • 16.5 Model Selection
    •
    1st October IRLRPCI 2 Types of short-term insurance coverage IRLRPCI 4 Loss Reserving
  • 4.1 Introduction
  • 4.2 How outstanding claim payments arise
  • 4.3 Definition of terms
    •
  • 4.4 Professional considerations
  • 4.5 Checking the data
  • 4.6 Loss reserving methods
    •
    8th October
  • 4.6 Loss reserving methods (cont.)
  • 4.7 Discounting loss reserves
    •      		Revision chapters 9, 16, IRLRCPI 2, 4 Revision chapters 9, 16, IRLRCPI 2, 4
    15th October Revision chapters 9, 16, IRLRCPI 2, 4

    MIDTERM

    EXAMINATION

    		 17 Introduction and limited fluctuation credibility
  • 17.2 Limited fluctuation credibility theory
  • 17.3 Full credibility
    •
    22nd October
  • 17.4 Partial credibility
  • 17.5 Problems with this approach
    •      		18 Greatest accuracy credibility
  • 18.2 Conditional distributions and expectation
  • 18.3 Bayesian methodology
    •
  • 18.4 The credibility premium
  • 18.5 The Buhlmann model
    •
    29th October
  • 18.5 The Buhlmann model (cont.)
  • 18.6 The Buhlmann-Straub model
  • 18.7 exact credibility
    •      		19 Empirical Bayes parameter estimation
  • 19.2 Nonparametric estimation
    •
  • 19.2 Nonparametric estimation (cont.)
  • 19.3 Semiparametric estimation
    •
    5th November IRLRPCI 3 Ratemaking
  • 3.1 Introduction
  • 3.2 Objectives of ratemaking
  • 3.3 Frequency and severity
    •
  • 3.4 Data for ratemaking
  • 3.5 Premium data
  • 3.6 The exposure unit
  • 3.7 The expected effective period
  • 3.8 Ingredients of ratemaking
    • 12th November STUDY BREAK
    19th November
  • 3.9 Rate changes
    •      		IRLRPCI 5 Intermediate topics
  • 5.1 Individual risk rating plans
  • 5.2 Increased limits factors
    •
  • 5.2 Increased limits factors (cont.)
  • 5.3 Reinsurance
    • 26th November Revision Revision Revision
    3rd December END OF LECTURES

    Homework

    Assignment 1 Due Friday 28th September. Model Solutions
    Assignment 2 Due Friday 5th October. Model Solutions
    Assignment 3 Due Friday 12th October. Model Solutions
    Assignment 4 Due Friday 2nd November. Model Solutions
    Assignment 5 Due Friday 9th November. Model Solutions
    Assignment 6 Due Friday 23rd November. Model Solutions
    Assignment 7 Due Thursday 29th November. Model Solutions