Spring 2005

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

2:00 – 3:00 Th/F

Or by appointment

Course Homepage: www.math.uconn.edu/~bridgeman/math395/index.html

Context for the Course

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 …

Jan. 17	Moments, Surface Interpretation, Modified Distributions Ch. 2, Sec. 3.1-3.2, Class Notes
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
	Final Exam TBD week of May 2- 7

The syllabus and grading plan are subject to change with appropriate notice to the class.