ACSC/STAT 4720 - Fall 2017


Life Contingencies II

This is the page where I post material related to the ACSC/STAT 4720 course I am teaching in FALL 2017.

 

  • 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: Wednesday 1st November, in class.
  • 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
  • Additional reading Society of Actuaries, LONG-TERM ACTUARIAL MATHEMATICS STUDY NOTE Available here.
  • Additional reading Society of Actuaries, LONG-TERM ACTUARIAL MATHEMATICS STUDY NOTE Available here.
  • Final Exam: TBA
  • Handouts

    Course Handout

    Class Questions

    Useful Integrals

    Answers to Class Questions

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

    R code for some of the class questions

    Practice Midterm Questions

    Practice Midterm Solutions

    Midterm Formula Sheet

    Practice Final Questions

    Practice Final Solutions

    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 Monday Wednesday Friday
    4th September LABOUR DAY
  • Introduction and Preliminaries
  • Supplementary Note 1: Long Term Coverages in Health Insurance
    8. Multiple State Models
  • 8.2 Examples
  • 8.4 Assumptions and Notation
  • 11th September
  • 8.5 Numerical Evaluation of Probabilities
  • 8.5 Numerical Evaluation of Probabilities (cont.)
  • 8.6 Premiums
  • 8.6 Premiums (cont.)
  • 8.7 Policy Values and Thiele's Differential Equation
  • 18th September
  • 8.8 Multiple Decrement Models
  • 8.9 Multiple Decrement Tables
  • 8.9 Multiple Decrement Tables (cont.)
  • 8.10 Constructing a Multiple Decrement Table
  • 8.10 Constructing a Multiple Decrement Table (cont.)
  • 8.11 Comments on Multiple Decrement Notation
  • 8.12 Transitions at Exact Ages
  • 8.13 Markov Multiple-state Models in Discrete Time
  • 25th September 9 Joint Life and Last Survivor Benefits
  • 9.2 Joint Life and Last Survivor Benefits
  • 9.3 Joint Life Notation
  • 9.4 Independent Future Lifetimes
  • 9.4 Independent Future Lifetimes (cont.)
  • 9.5 A Multiple-state Model for Independent Future Lifetimes
  • 9.5 A Multiple-state Model for Independent Future Lifetimes (cont.)
  • 9.6 A Model with Dependent Future Lifetimes
  • 2nd October
  • 9.6 A Model with Dependent Future Lifetimes (cont.)
  • 9.7 The Common Shock Model
  • 9.7 The Common Shock Model (cont.)
  • Study Note 4: Mortality Improvement Modelling
  • SN 4.1 Introduction
  • SM 4.2 Deterministic mortality improvement modelling
  • SN 4.2 Deterministic mortality improvement modelling (cont.)
  • SN 4.4 Lee Carter model
  • 9th October THANKSGIVING
  • SN 4.4 Lee-Carter model (cont.)
  • SN 4.5 Cairns-Blake-Dowd model
  • SN 4.5 Cairns-Blake-Dowd model (cont.)
  • SN 4.6 Comments on mortality improvement modelling
  • Loss Models 12: Estimation from Empirical Data
  • LM 12.1 The Empirical Distribution
  • 16th October
  • LM 12.2 The Empirical Distribution for Grouped Data
  • LM 12.3 Empirical Estimation with Right Censored Data
  • LM 12.3 Empirical Estimation with Right Censored Data (cont.)
  • LM 12.5 Empirical Estimation with Left Truncated Data
  • 23rd October
  • LM 12.7 Approximations for Large Data Sets
  • LM 12.9 Estimation of Transition Intensities
  • Revision Chapters 8-10 Revision Chapters 8-10
    30th October Revision Chapters 8-10

    MIDTERM

    EXAMINATION

    10 Pension Mathematics
  • 10.3 The Salary Scale Function
  • 10.4 Setting the DC Contribution
  • 6th November STUDY BREAK
    13th November REMEMBRANCE DAY
  • 10.4 Setting the DC Contribution (cont.)
  • 10.5 The Service Table
  • 10.6 Valuation of Benefits
  • 20th November
  • 10.7 Funding the Benefits
  • SN 6 Retiree health benefits
  • 12 Emerging Costs for Traditional Life Insurance
  • 12.3 Profit Testing a Term Insurance Policy
  • 12.4 Profit Testing Principles
  • 12.5 Profit Measures
  • 12.6 Using a Profit Test to Calculate Premiums
  • 27th November
  • 12.7 Using the Profit Test to Calculate Reserves
  • 12.8 Profit Testing for Multiple State Models
  • Revision Revision
    4th December Revision (Also on Tuesday 5th December) END OF LECTURES

    Homework

    Assignment 1 Due Friday 29th September. Model Solutions
    Assignment 2 Due Friday 6th October. Model Solutions
    Assignment 3 Due Friday 13th October. Model Solutions
    Assignment 4 Due Friday 20th October. Model Solutions
    Assignment 5 Due Friday 27th October. Model Solutions
    Assignment 6 Due Friday 24th November.
    Assignment 7 Due Friday 1st December.