Math 395
Classes: 1:00 – 1:50 MWF Instructor: James Bridgeman, FSA
MSB 411 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/math395/index.html
Partial Preparation for SOA Exam M/CAS Exam 3 (Actuarial Models)
(Thursday May 19)
Claim Risk Models and Ruin Models
Klugman, et al.: Loss Models: From Data To Decisions (Second Edition)
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
(well beyond exam or
course requirements)
Daykin, et al.: Practical Risk Theory for Actuaries
de Vylder: Advanced
Risk Theory -- a self-contained introduction
Maerchaert&Scheffler, Limit Distributions for Sums of Independent Random Vectors – heavy tails in theory and practice
4 Take-Home Tests 40%
` 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
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Jan. 17 |
Moments, Surface Interpretation, Modified Distributions |
Jan. 24 |
Generating Functions, Faa’s Formula, Severity Distributions, Tail Weight Sec. 3.3, 4.1-4.3, Class Notes |
Jan. 31 |
Creation of Severity Distributions and Relations Among Them Sec. 4.4-4.5, Class Notes |
Feb. 7 |
Creation of Severity Distributions and Relations Among Them, Coverage Modifications Class Notes, Sec. 5.1-5.5 |
Feb. 14 |
Test #1, Frequency Distributions, (a,b,0) Sec. 4.6.1-4.6.5, Class Notes |
Feb. 21 |
(a,b,1), Compound Frequency Distributions Sec. 4.6.6-4.6.8, Class Notes |
Feb. 28 |
Mixed Frequency Distributions, Exposure, Deductibles Sec. 4.6.9-4.6.11, 5.6 |
Mar. 14 |
Test #2, Aggregate Claim Distributions, Model Choices, Compound Models Sec. 6.1-6.4 |
Mar. 21 |
Computing Aggregate Claims, Recursion Method, Coverage Modifications Sec. 6.5-6.7, Class Notes |
Mar. 28 |
Other Computing Methods, Ruin Models Sec. 6.8-6.10, 7.1-7.2 |
Apr. 4 |
Test #3, Discrete Time Ruin Model Sec. 7.3, Class Notes |
Apr. 11 |
Continuous Time Ruin Model: Properties and Probabilities Sec. 8.1-8.2, Class Notes |
Apr. 18 |
Continuous Time Ruin Model: Distributions Sec. 8.3-8.5, Class Notes |
Apr. 25 |
Test #4, Project Reviews |
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Final Exam TBD week of May 2- 7 |
The syllabus and grading plan are subject to change
with appropriate notice to the class.