Syllabus - ACMA 335-3
Risk Theory
Department of Statistics and Actuarial Science, Faculty of Science, SimonFraserUniversity
Instructor: / Cary Tsai () / Fall 2005K 10548 Tel: 604-268-7044 / Formula: 3-0-0
Lecture Hours/Room: / M: 15:30-17:20 / W: 15:30-16:20 @RCB 8100 / Prerequisite: ACMA320
Office Hours: / M: 17:30-18:20 / W: 16:30-17:20 / Corequisite: STAT280/285
Teaching Assistant: / Kyle Wu()
Tutorial Hour/Room: / F: 15:30-16:20 @ RCB 8100
Office Hours: / F: 16:30-17:20
CONTENT
- Classifying and Creating Distributions.
- Frequency and Severity with Coverage Modifications.
- Aggregate Loss Models.
- The Exponential Distribution and the Poisson Process.
- Multi-State Transition Models with Actuarial Applications.
LEARNING ACTIVITIES
There will be 3 hours of lectures. The lectures are Mondays, Wednesdays and Fridays 15:30-16:20 (RCB8100). Some lectures might be rescheduled if necessary.
The student is expected to read the material and to attempt as many problems as possible before attending the lectures.
Handoutsand assignments once available can be downloaded from
Regular assignments will be given throughout the semester.
The exercises at the end of each covered chapter of the required textbook are strongly recommended, even the "show that" type. The ACTEX Study Manuals also contain many relevant problems.
Recent Exam M of SOA( or/and Exam 3 of CAS( should also be used to check your understanding of the material and to check your performance under time constraints.
Office hours and tutorial may be used for further explanations and relevant discussions.
You are encouraged to discuss problems in small groups. However, you must work alone when writing up the solutions to the problems. Copying is against the law.
Every attempt will be made for the exam questions to verify some of the objectives given above. Therefore, it is recommended that the student regularly consult these objectives when working on problems during the semester and when studying for the exams.
EVALUATION
Regular assignments throughout the semester.
Midterm:15:30-17:20, October 24, Monday,2005 (may be altered depending on teaching progress).
Final exam: 8:30-11:30, December 14, Wednesday, 2005 (Check final exam schedule).
Grading Scheme: (may be altered by the instructor for unusual circumstances)
Assignments: 10%
Midterm: 40% (cover Klugman’s stuff)
Final exam: 50% (cover Study Note and Ross’s stuff)
The pass mark is 50%.
For the midterms and the final exam:
- Use of the SOA calculator will be allowed.
- Notes, textbooks or other material will NOT be allowed.
- Questions may be of one or more of the following types:
multiple choice, true or false, written answer, etc...
Missing an exam will result in a mark of 0 unless the student was prevented from taking it due to
medical reasons with convincing evidence. Should you miss an exam, you must let the instructor
knowas soon as possible. Under no circumstances will make up exams be given.
Students who attend the midterm or the final exam are treated as having taken the exam
(are NOT prevented from taking it due to any reason).
Under no circumstances will late assignments be accepted.
The final grade (A+,A,...,F) will be allocated according to the student's achievement in the course.
BIBLIOGRAPHY
Required Textbook/Study Note:
-Loss Models: From Data to Decisions, 2nd Edition, 2004, by Klugman, Panjer and Willmot.
-Introduction to Probability Models, 8th Edition,2003, by S.M. Ross
-Study Note M-24-05: Multi-State Transition Models with Actuarial Applications,by J.W. Daniel
References:
-ACTEX Study Manual for Exam M of SOA or Exam 3 of CAS, see
Professional Exam:
-Exam M of SOA: Actuarial Models
-Exam 3 of CAS: Statistics and Actuarial Models
Time:8:30AM-12:30PM, November8, Tuesday, 2005, and May 18, Thursday, 2006 (Exam M, SOA),
9:30AM-1:30PM, November 1, Tuesday, 2005 (Exam 3, CAS)
1