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.

 

  • Lectures: Tuesday,Thursday 1305-1425 CHEMISTRY 226
  • Office hours: Wednesday 10:00-11:00, Thursday 14:30-15:30, Friday 10:00-11:00. If you cannot make these times, email me to request a different time. If you want to attend office hours virtually, please email me in advance

  • Office:
    In person: 102 Chase Building.
    Online: Collaborate Ultra on Brightspace

  • If you want to come to my office at a different time please email me:tkenney@mathstat.dal.ca. Please email me: tkenney@mathstat.dal.ca in advance to let me know if you will be attending online office hours.
  • Midterm Exam: Tuesday 2nd 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

    Answers to Class Questions

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

    Practice Midterm Questions

    Practice Midterm Solutions

    Practice Final Questions

    Practice Final Solutions

    Formula Sheet for the Midterm

    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
    6th September
  • Introduction and Preliminaries
    • Supplementary Note 1: Long Term Coverages in Health Insurance 8. Multiple State Models
  • 8.2 Examples
    •
  • 8.4 Assumptions and Notation
  • 8.5 Numerical Evaluation of Probabilities
    •
    13th September
  • 8.5 Numerical Evaluation of Probabilities (cont.)
  • 8.6 Premiums
    •
  • 8.6 Premiums (cont.)
  • 8.7 Policy Values and Thiele's Differential Equation
    •
    20th September
  • 8.8 Multiple Decrement Models
  • 8.9 Multiple Decrement Tables
    		•
  • 8.10 Constructing a Multiple Decrement Table
    • 27th September
  • 8.11 Comments on Multiple Decrement Notation
  • 8.12 Transitions at Exact Ages
  • 8.13 Markov Multiple-state Models in Discrete Time
    • 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
    		• NATIONAL DAY FOR TRUTH AND RECONCILIATION
    4th October
  • 9.5 A Multiple-state Model for Independent Future Lifetimes
  • 9.6 A Model with Dependent Future Lifetimes
  • 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
    •
    11th October
  • SN 4.4 Lee Carter model
  • 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
  • LM 12.2 The Empirical Distribution for Grouped Data
    •
    18th October
  • LM 12.3 Empirical Estimation with Right Censored Data
  • LM 12.5 Empirical Estimation with Left Truncated Data
  • LM 12.7 Approximations for Large Data Sets
    • 25th October
  • LM 12.7 Approximations for Large Data Sets (cont.)
  • LM 12.9 Estimation of Transition Intensities
    • Revision Chapters 8-10     		Revision Chapters 8-10
    1st November

    MIDTERM

    EXAMINATION

    		 10 Pension Mathematics
  • 10.3 The Salary Scale Function
  • 10.4 Setting the DC Contribution
    •
    8th November STUDY BREAK
    15th November
  • 10.5 The Service Table
  • 10.6 Valuation of Benefits
  • 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
    •
    22nd November
  • 12.3 Profit Testing a Term Insurance Policy (cont.)
  • 12.4 Profit Testing Principles
  • 12.5 Profit Measures
    •
  • 12.6 Using a Profit Test to Calculate Premiums
  • 12.7 Using the Profit Test to Calculate Reserves
  • 12.8 Profit Testing for Multiple State Models
    •
    29th November Revision Revision
    6th December END OF LECTURES

    Homework

    Assignment 1 Due Tuesday 28th September. Model Solutions
    Assignment 2 Due Thursday 7th October. Model Solutions
    Assignment 3 Due Thursday 14th October. Model Solutions
    Assignment 4 Due Thursday 21st October. Model Solutions
    Assignment 5 Due Thursday 28th October. Model Solutions
    Assignment 6 Due Thursday 25th November. Model Solutions
    Assignment 7 Due Tuesday 30th November. Model Solutions