## ACSC/STAT 4720 - Fall 2015

#### ## Life Contingencies II This is the page where I post material related to the ACSC/STAT 4720 course I am teaching in FALL 2015.

• Office hours: Monday 10:30-11:30, Wednesday 10:30-11:30, Thursday 13:00-14:00
• 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 19th October, 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
• Final Exam: Saturday 12th December 12:00-15:00, Dalplex.
• #### Handouts

Course Handout

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

#### 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
7th September NO LECTURES
• Introduction and Preliminaries
• 8. Multiple State Models
• 8.2 Examples
• 14th September
• 8.4 Assumptions and Notation
• 8.5 Numerical Evaluation of Probabilities
• 8.7 Policy Values and Thiele's Differential Equation
• 8.8 Multiple Decrement Models
• 21st September
• 8.9 Multiple Decrement Tables
• 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
• 28th 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 (cont.)
• 9.5 A Multiple-state Model for Independent Future Lifetimes
• 9.6 A Model with Dependent Future Lifetimes
• 5th October
• 9.6 A Model with Dependent Future Lifetimes (cont.)
• 9.7 The Common Shock Model
• 10 Pension Mathematics
• 10.3 The Salary Scale Function
• 10.4 Setting the DC Contribution
• 10.5 The Service Table
• 10.6 Valuation of Benefits
• 10.7 Funding the Benefits
• 12th October THANKSGIVING Revision Chapters 8-10 Revision Chapters 8-10
19th October

MIDTERM

EXAMINATION

11 Yield Rates and Non-diversifiable Risk
• 11.2 The Yield Curve (Revision)
• 11.3 Valuation of Insurances and Life Annuities
• 11.4 Diversifiable and Non-diversifiable Risk
• 11.4 Diversifiable and Non-diversifiable Risk (cont.)
• 11.5 Monte Carlo Simulation
• 26th October 12 Emerging Costs for Traditional Life Insurance
• 12.3 Profit Testing a Term Insurance Policy
• 12.3 Profit Testing a Term Insurance Policy (cont.)
• 12.4 Profit Testing Principles
• 12.5 Profit Measures
• 12.6 Using the Profit Test to Calculate the Premium
• 12.7 Using the Profit Test to Calculate Reserves
• 12.8 Profit Testing for Multiple State Models
• 2nd November 13 Participating and Universal Life Insurance
• 13.3 Participating Insurance
• 13.4 Universal Life Insurance
• 13.4 Universal Life Insurance (cont.)
• 13.5 Comparison of Universal and Whole Life Insurance Policies
• 14 Emerging Costs for Equity-Linked Insurance
• 9th November
• 14.3 Deterministic Profit Testing for Equity-Linked Insurance
• REMEMBRANCE DAY
• 14.4 Stochastic Profit Testing
• 16th November
• 14.5 Stochastic Pricing
• 14.6 Stochastic Reserving
• Revision
23rd November Revision Revision Revision
30th November Revision Revision Revision
7th December Revision END OF LECTURES

#### Homework

 Assignment 1 Due Friday 2nd October. Model Solutions Assignment 2 Due Friday 9th October. Model Solutions Assignment 3 Due Friday 16th October. Model Solutions Assignment 4 Due Friday 13th November. Model Solutions Assignment 5 Due Friday 20th November. Model Solutions Assignment 6 Due Friday 27th November. Model Solutions Assignment 7 Due Friday 4th December. Model Solutions