Math 395 – Risk
Theory
Classes: 1:00 – 1:50 MWF Instructor: James Bridgeman, FSA
MSB 411 MSB 408 phone (860) 486-8382
Office hours: 11:00 – 12:00 W bridgeman@math.uconn.edu
10:00 – 11:00 M/Th http://www.math.uconn.edu/~bridgeman
2:00 – 3:00 Th/F
Or by appointment
Course Homepage: www.math.uconn.edu/~bridgeman/math395f07/index.html
Partial Preparation for CAS Exam 4/ SOA Exam C (Model Construction)
(Monday November 5)
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)
Panjer & Willmot: Insurance Risk
Models
Ross: Introduction to Probability Models (Eighth Edition)
Ross: Simulation
(Third Edition)
Society of Actuaries:
Study Note Package for Exam C
Casualty Actuarial
Society: Study Note Package for Exam 4
(well beyond society exam or course requirements)
Kleiber & Kotz: Statistical Size Distributions in Economics
and Actuarial Sciences
Daykin, et al.: Practical Risk Theory for Actuaries
de Vylder: Advanced
Risk Theory -- a self-contained introduction
Asmussen: Ruin Probabilities
Willmot & Lin: Lundberg
Approximations for Compound Distributions with Insurance Applications
Grading: 3 Take-Home Tests 30%; Final Exam 35%; Paper and Project(s) 35%
the syllabus and
grading plan are subject to change with appropriate notice to the class
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Intended Pace for Math 395
Week of
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Aug. 27 |
Moments, Surface Interpretation, Modified Distributions |
Sept. 3 |
Generating Functions, Faa’s Formula, Severity Distributions Sec. 3.3, 4.1-4.2, Class Notes |
Sept. 10 |
Tail Weight, Creation of Severity Distributions and Relations Among Them, Maximum Entropy Sec. 4.3-4.4, Class Notes |
Sept. 17 |
Creation of Severity Distributions and Relations Among Them, Coverage Modifications Class Notes, Sec. 4.5, 5.1-5.5 |
Sept. 24 |
Test #1, Frequency Distributions, (a,b,0) Sec. 4.6.1-4.6.5, Class Notes |
Oct. 1 |
(a,b,1), Compound Frequency Distributions Sec. 4.6.6-4.6.8, Class Notes |
Oct. 8 |
Mixed Frequency Distributions, Exposure, Deductibles Sec. 4.6.9-4.6.11, 5.6 |
Oct. 15 |
Test #2, Aggregate Claim Distributions, Model Choices, Compound Models Sec. 6.1-6.4 |
Oct. 22 |
Computing Aggregate Claims, Recursion Method, Coverage Modifications Sec. 6.5-6.7, Class Notes |
Oct. 29 |
Other Computing Methods, Ruin Models Sec. 6.8-6.10, 7.1-7.2 |
Nov. 5 |
Discrete Time Ruin Model Sec. 7.3, Class Notes |
Nov. 12 |
Test #3, Continuous Time Ruin Model: Properties and Probabilities Sec. 8.1-8.2, Class Notes |
Nov. 26 |
Continuous Time Ruin Model: Distributions Sec. 8.3-8.5, Class Notes |
Dec. 3 |
Review |
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Final Exam TBD week of Dec. 10 - 15 |
the syllabus and grading plan are subject to change
with appropriate notice to the class.