## ACSC/STAT 4720 - Fall 2018

#### ## Life Contingencies II This is the page where I post material related to the ACSC/STAT 4720 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: Wednesday 31st October, in class. Here is the formula sheet for the midterm.
• Here are some practice questions for the midterm. Here are the model solutions.
• 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: Tuesday 11th December 9:00-12:00, Chase 227.
• Here are some practice questions for the final. Here are the model solutions. The formula sheet is the same as for the midterm.
• #### 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
3rd 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
• 10th September
• 8.5 Numerical Evaluation of Probabilities
• 8.5 Numerical Evaluation of Probabilities (cont.)
• 8.7 Policy Values and Thiele's Differential Equation
• 17th 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
• 24th 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
• 9.5 A Multiple-state Model for Independent Future Lifetimes (cont.)
• 9.6 A Model with Dependent Future Lifetimes
• 1st 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
• 8th 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
• 15th 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
• 22nd October
• LM 12.7 Approximations for Large Data Sets
• LM 12.9 Estimation of Transition Intensities
• Revision Chapters 8-10 Revision Chapters 8-10
29th October Revision Chapters 8-10

MIDTERM

EXAMINATION

10 Pension Mathematics
• 10.3 The Salary Scale Function
• 10.4 Setting the DC Contribution
• 5th November
• 10.4 Setting the DC Contribution (cont.)
• 10.5 The Service Table
• 10.6 Valuation of Benefits
• 10.7 Funding the Benefits
• SN 6 Retiree health benefits
• 12th November STUDY BREAK
19th November 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
• 12.7 Using the Profit Test to Calculate Reserves
• 12.8 Profit Testing for Multiple State Models
• 26th November Revision Revision Revision
3rd December Revision (Also on Tuesday 4th 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 19th October. Model Solutions Assignment 5 Due Friday 26th October. Model Solutions Assignment 6 Due Friday 23rd November. Model Solutions Assignment 7 Due Friday 30th November. Model Solutions