Maths 458: Actuarial Models 2 (3)
1. Prerequisite: MATHS 321
2. Course Description: Basic functions related to actuarial models, common parametric models, maximum likelihood estimation for censored or truncated data, nonparametric estimation, hypothesis testing, models with co-variables, simulation, and other topics as time permits.
3. Course Objective: Students will apply the statistical concepts that they have previously encountered to the special problems of insurance products. They will become familiar with different types of models and learn which modeling methods are appropriate for various types of data. Students will also become familiar with one or more computer statistical languages and packages.
4. Course Rationale: Many problems encountered by actuaries in the insurance industry involve the analysis of incurred losses or the number of submitted claims for an insured event. In practice, it is often necessary to find a reasonable and usable model for the distribution of these random variables. This course acquaints students with the concepts underlying identification of parametric statistical models, with special emphasis given to models used for severity and frequency in the insurance industry.
The material covered in this course is directly tested on the fourth professional examination given by the Society of Actuaries and the Casualty Actuarial Society.
5. Course Content: Topics will include the survival function, hazard rate, estimation of parameters using maximum likelihood and other methods, non-parametric estimation, kernel smoothing methods, computing the variance of parameter estimates through Monte Carlo procedures (bootstrapping), methods for censored and truncated data, the proportional hazards model, and other topics of current interest.
6. Course Format: This course will be taught using lectures and discussion. A statistical program or package is required for projects, homework, and take-home exams. Many examples will be presented, including some problems from past actuarial exams.
7. Methods of Evaluating Student Performance: Student evaluation may be based on in-class exams, take-home exams, individual or group projects, homework, and presentations. The particular methods used and the weight of each component are at the discretion of the individual instructor.
8. Evaluation of the Course: The instruction of the course is evaluated by departmental student evaluations and peer evaluation. The course is reviewed and revised periodically by the Departmental Undergraduate Programs Committee.
J. Foley, 2/9/07