PREREQUISITES: MATH 573/673, MATH 574/674.
The class is offered on both undergraduate (576) and graduate level (676).

COURSE DESCRIPTION:

This is the first course in the two semester sequence: Math 676 - Math 677 (or Math 576 - Math 577).
This sequence covers the material for the Society of Actuaries Exam C, Actuarial Modeling.
The students on top of getting ready for SOA Examination C, will acquire a thorough and deep understanding of mathematical foundations of actuarial modeling.
The material covered in both classes Math 676 and Math 677 (or Math 576 and  Math 577) can be divided into two subsections:

1. 1. Understanding Actuarial Models
2. 2. Applications of Actuarial Models

• statistical analysis of simulated data,
• statistical validation techniques,
• actuarial credibility,
• empirical estimation ,
• loss distributions,
• introduction to estimation of survival functions,
• Estimation of the survival and hazard function,
• Regression analysis.,
• Multiple regression,
• Regression in actuarial modeling,
• Time series models,
• Properties of stochastic time series,
• Estimating and forecasting with time-series models,
• Actuarial modeling with time series.

The following business applications are developed within the Applications of Actuarial Modelspart:

Premium for life insurance and annuity contracts

Premium for accident and health insurance contracts

Premium for casualty or liability insurance contracts

Premium for property insurance contracts

Rates for coverages under group benefit plans

Loss reserves for insurance contracts

Benefit reserves for insurance contracts

Resident fees for Continuing Care Retirement Communities (CCRC’s)

Cost of a warranty for manufactured goods

Value of a financial instrument such as: a loan, a stock, an option, etc.

Risk classification.

TEXT:

1. 1. Survival Analysis, 1997, by Klein, J.P., and Moeschberger
2. 2. Loss Models:From Data to Decisions, 1998, by Klugman, S.A., Panjer, H.H.
3. 3. Simulation (Second Edition), 1997, by Ross, S.M.