## ACSC/STAT 3703 - Fall 2015

#### ## Actuarial Models I (Further Probability with Applications to Actuarial Science) This is the page where I post material related to the ACSC/STAT 3703 course I am teaching in WINTER 2015.

• Office hours: Monday 10:30-11:30, Wednesday 10:30-11:30, Friday 14:30-15:30
• Office: 202 Chase building
• If you want to come to my office at a different time please email me:tkenney@mathstat.dal.ca
• Midterm Exam: Monday 2nd 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 exam.
• Here is the midterm examination. Answers may be resubmitted for half credit (so overall midterm mark will be the average of performance in the exam and resubmitted mark).
• Textbook: Loss Models: From Data to Decisions (Fourth Edition) by S. A. Klugman, H. J. Panjer and G. E. Wilmot, published by Wiley, 2012
• Final Exam: Thursday, April 23, 15:30-18:30, Dalplex. 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

#### 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
5th January Introduction and Preliminaries 2 Random Variables 3 Basic Distributional Quantities
• 3.1 Moments
• 12th January
• 3.1 Moments (cont.)
• 3.2 Percentiles
• 3.3 Generating Functions and Sums of Random Variables
• 3.3 Generating Functions and Sums of Random Variables (cont.)
• 3.4 Tail Weight
• 19th January
• 3.4 Tail Weight (cont.)
• 3.5 Measures of Risk
• 3.5 Measures of Risk (cont.)
• 4 Characteristics of Actuarial Models
• 4.2 The Role of Parameters
• 26th January
• 4.2 The Role of Parameters (cont.)
• 5 Continuous Distributions
• 5.2 Creating New Distributions
• 5.2.1 Multiplication by a Constant
• 5.2.2 Raising to a Power
• 5.2.3 Exponentiation
• 5.2.4 Mixing
• 5.2.5 Frailty Models
• 5.2.6 Splicing
• 5.3 Selected Distributions and their Relationships
• 5.3.2 Two Parametric Families
• 5.3.3 Limiting Distributions
• 2nd February
• 5.3.3 Limiting Distributions (cont.)
• 5.4 The Linear Exponential Family
• 6 Discrete Distributions
• 6.2 The Poisson Distribution (revision)
• 6.4 The Binomial Distribution (revision)
• 6.3 The Negative Binomial Distribution
• MUNROE DAY
9th February
• 6.5 The (a,b,0) Class
• 6.6 Truncation and Modification at Zero
• 7.1 Compound Frequency Distributions
• 7.2 The Compound Poisson Distribution
• 7.3 Mixed Frequency Distributions
• 7.4 Effect of Exposure on Frequency
• 16th February STUDY WEEK
23rd February Revision Chapters 2-7 Revision Chapters 2-7 Revision Chapters 2-7
2nd March

MIDTERM

EXAMINATION

8 Frequency and Severity with Coverage Modifications
• 8.2 Deductibles
• 8.3 Loss Elimination Ratio and Inflation
• 8.4 Policy Limits
• 9th March
• 8.5 Coinsurance, Deductibles and Limits
• 8.6 The Impact of Deductibles on Claim Frequency
• 3.5 Measures of Risk
• 3.5 Measures of Risk (cont.)
• 16th March
• 4.3 Kernel Density Estimates
• SNOW DAY
• 4.3 Kernel Density Estimates(cont.)
• 5.2.4 Mixture Distributions
• 23rd March
• 5.2.4 Mixture Distributions (cont.)
• 5.2.4 Mixture Distributions (cont.)
• 7.1 Compound Distributions
• 7.1 Compound Distributions (cont.)
• 30th March
• 7.1 Compound Distributions (cont.)
• Revision GOOD FRIDAY
6th April Revision Revision Revision

#### Homework

 Assignment 1 Due Friday 23rd January. Model Solutions Assignment 2 Due Friday 30th January. Model Solutions Assignment 3 Due Monday 9th February. Model Solutions Assignment 4 Due Monday 23rd February. Model Solutions Assignment 5 Due Friday 20th March. Model Solutions Assignment 6 Due Friday 27th March. Model Solutions Assignment 7 Due Wednesday 8th April. Model Solutions