Math 395 – Risk
Theory
Classes: 1:00 – 1:50 MWF Instructor: James Bridgeman, FSA
MSB 307 MSB 408 phone (860) 486-8382
Office hours: 10:00 – 12:00 M bridgeman@math.uconn.edu
10:00 – 12:00 Th http://www.math.uconn.edu/~bridgeman
2:00 – 3:00 Th/F
Or by appointment
Course Homepage: www.math.uconn.edu/~bridgeman/math395f05/index.html
Partial Preparation for CAS Exam 3/ SOA Exam M (Actuarial Models)
(Tuesday November 8)
Claim Risk Models and Ruin Models
Klugman, et al.:
Loss Models: From Data To Decisions (second edition),
Solutions Manual
To Accompany Loss Models second edition
Students also will be responsible for material not in the text, presented in class
Batten & London: A
Guide for the Actuarial Student
Bowers, et al.:
Actuarial Mathematics (Second
Edition)
Gauger: ACTEX
Study Manual for Exam 3 (Vols. I and
II)
Jones: Actuarial Models and Modeling: An Interactive Approach
Panjer & Willmot:
Insurance Risk Models
Ross: Introduction to Probability Models (Eighth Edition)
Ross: Simulation
(Third Edition)
Society of Actuaries:
Study Note Package for Exam M
Casualty Actuarial
Society: Study Note Package for Exam 3
(well beyond society
exam or course requirements)
Daykin, et al.: Practical Risk Theory for Actuaries
de Vylder: Advanced
Risk Theory -- a self-contained introduction
` Final Exam 35%
Paper and Project(s) 25%
the syllabus and
grading plan are subject to change with appropriate notice to the class
Intended Pace for Math 395
Week of
… |
|
|
|
Aug. 29 |
Moments, Surface Interpretation, Modified Distributions |
Sept. 5 |
Generating Functions, Faa’s Formula, Severity Distributions Sec. 3.3, 4.1-4.2, Class Notes |
Sept. 12 |
Tail Weight, Creation of Severity Distributions and Relations Among Them, Maximum Entropy Sec. 4.3-4.4, Class Notes |
Sept. 19 |
Creation of Severity Distributions and Relations Among Them, Coverage Modifications Class Notes, Sec. 4.5, 5.1-5.5 |
Sept. 26 |
Test #1, Frequency Distributions, (a,b,0) Sec. 4.6.1-4.6.5, Class Notes |
Oct. 3 |
(a,b,1), Compound Frequency Distributions Sec. 4.6.6-4.6.8, Class Notes |
Oct. 10 |
Mixed Frequency Distributions, Exposure, Deductibles Sec. 4.6.9-4.6.11, 5.6 |
Oct. 17 |
Test #2, Aggregate Claim Distributions, Model Choices, Compound Models Sec. 6.1-6.4 |
Oct. 24 |
Computing Aggregate Claims, Recursion Method, Coverage Modifications Sec. 6.5-6.7, Class Notes |
Oct. 31 |
Other Computing Methods, Ruin Models Sec. 6.8-6.10, 7.1-7.2 |
Nov. 7 |
Test #3, Discrete Time Ruin Model Sec. 7.3, Class Notes |
Nov. 14 |
Continuous Time Ruin Model: Properties and Probabilities Sec. 8.1-8.2, Class Notes |
Nov. 28 |
Continuous Time Ruin Model: Distributions Sec. 8.3-8.5, Class Notes |
Dec. 5 |
Test #4, Project Reviews |
|
Final Exam TBD week of Dec. 12 - 16 |
the syllabus and grading plan are subject to change
with appropriate notice to the class.