Life Contingencies II – AS 4350
Spring 2015
(CRN 12850)
Instructor Information
• Instructor: Dr. Daniel Bauer
• Office: Room 1126, Robinson College of Business (35 Broad Street)
• Office Hours: By appointment (just send me an email, I am in most days and can make time)
• Phone: 404-413-7490
• Email: dbauer@gsu.edu
Class Information
• Location: Classroom South 407
• Time: Monday and Wednesday, 12:00 pm - 1:15 pm (Class starts on 01/12/2015).
• Prerequisites: AS 4340 (Life Contingencies I) or equivalent; CSP: 2.
• Website: D2L Brightspace – https://gsu.view.usg.edu/
Catalog Description:
This course is a continuation of the study of life contingencies. Topics include insurance and annuity reserves, characterization of discrete and continuous multiple decrement models in insurance and employee benefits, and multiple
life models.
Course objectives:
This class further develops the students’ knowledge of the theoretical basics of actuarial models in life insurance and
the application of these models. In particular, an important objective is to prepare students for the life contingencies
segments of actuarial professional examinations (e.g. Exam MLC).
By the end of the course, the student will be able to:
1. Calculate gross premiums that should be charged for various life insurance policies accounting for expenses of
the insurance company.
2. Calculate the policy values (benefit reserves) for different types of insurance contracts and explain the appearing
quantities.
3. Calculate the expected value of, and variation in, payments contingent on multiple lives or payments that are
subject to multiple contingencies.
GSU RMI
AS 4350 – Spring 2015
2
Examinations and Grading
There will be tentatively 7 quizzes (18 minutes on Wednesdays – see the tentative outline below), two mid-term
examination, and one final examination. The final exam covers the entire course with emphasis on the more recent
material. Students who miss examinations should contact me immediately. Make-up examinations are only offered
under extraordinary circumstances (e.g. sickness attested by a medical certificate or affirmation by the Dean of Students
office). The lowest quiz score (missed quizzes receive a ’0’ score) will be dropped/disregarded. Please contact me if
you miss more than one quiz; under extraordinary circumstances, special arrangements can be made.
Weekly homework will be assigned and collected irregularly. You can act on the assumption that homework will be
collected approximately 2-3 times over the entire semester. Late work will not be accepted.
The grading of students’ performance in this course is based on the following breakdown:
Homework
Quizzes
Mid-Term Exam
Final Exam
5%
25%
35%
35%
Grades will be awarded on a +/- basis, and the following (guaranteed) scale applies. Grades may be moved upward
based on difficulty, but not downward.
A+
97
A
95
A90
B+
85
B
80
B75
C+
70
C
65
C60
D+
55
D
50
F
< 50
Attendance Policy
It is strongly suggested that students do not miss classes as, historically, students with multiple absences perform
poorly on quizzes/examinations and have extreme difficulty in completing the course successfully. However, grades
will not be subject to students’ attendance or participation.
Required Text:
Actuarial Mathematics for Life Contingent Risks (second edition), 2013, by Dickson, C.M.D., Hardy, M.R., and
Waters, H.R. Cambridge: Cambridge University Press. Mainly Chapters 6-9.
Additionally, lecture notes will be posted on D2L Brightspace. Note that the lecture notes do not replace the required
text and it is strongly advised that you take notes in class as there may be ideas presented in the class which are not
included in the posted notes.
Helpful Resources
• https://www.soa.org/education/exam-req/edu-exam-m-detail.aspx
• https://www.soa.org/Files/Edu/2015/edu-2015-spring-exam-mlc-syllabus.pdf
• https://www.soa.org/education/exam-req/syllabus-study-materials/edu-updates-exam-m.
aspx
• https://www.soa.org/education/exam-req/syllabus-study-materials/edu-multiple-choice-ex
aspx
• http://www.actexmadriver.com
Remarks
• Calculators should be approved ahead of time. Automatic approval is given to BA-35, BA-II Plus, BA-II Plus
Professional, TI-30X, TI-30Xa, TI-30XIIB, TI-30XIIS. The memory will need to be cleared by the students at
the beginning of each quiz or exam. The instructor reserves the right to verify that the memory has been cleared
– a deduction of points is possible in case of non-compliance.
GSU RMI
AS 4350 – Spring 2015
3
• Students must have e-mail and access to the internet. Homework and other course materials will be posted on
DESIRE2LEARN.
• Students exhibiting disruptive behavior, including talking, sleeping, talking on cell phones or disturbing other
students will be asked to leave. If a cell phone or pager rings during a quiz or an exam, it will cost 1 of 3 points
on that quiz and 5% of the total points on that exam.
• Please advise the instructor if you have a documented disability that needs to be accommodated.
• Be advised that the last day to withdraw from a course with the possibility of receiving a ’W’ is 03/04/2014. If
a student withdraws by this date but is failing the course, he/she will receive a ’WF’. All students who withdraw
after this date will receive a ’WF’.
• As members of the academic community, students are expected to recognize and uphold standards of intellectual
and academic integrity. See the University’s policy on Academic Honesty (Section 409, http://www2.gsu.
edu/˜wwwfhb/sec409.html) for details.
• Your constructive assessment of this course plays an indispensable role in shaping education at Georgia State.
Upon completing the course, please take the time to fill out the online course evaluation.
Schedule:
Date
Monday, January 12
Wednesday, January 14
Monday, January 19
Wednesday, January 21
Monday, January 26
Wednesday, January 28
Monday, February 2
Wednesday, February 4
Monday, February 9
Wednesday, February 11
Monday, February 16
Wednesday, February 18
Monday, February 23
Wednesday, February 25
Monday, March 2
Wednesday, March 4
Monday, March 9
Wednesday, March 11
Monday, March 16
Wednesday, March 18
Monday, March 23
Wednesday, March 25
Monday, March 30
Wednesday, April 1
Monday, April 6
Wednesday, April 8
Monday, April 13
Wednesday, April 15
Monday, April 20
Wednesday, April 22
Monday, April 27
Monday, May 4
Topic
Discussion of Syllabus, Review of Equivalence Principle
Portfolio Percentile Premium
MLK Holiday
Gross Premiums
Profits , Extra Risks
Introduction to Policy Values (Reserves) – quiz 1
Continuous Policy Values
Discrete Policy Values (I) – quiz 2
Discrete Policy Values (II)
Prospective and Retrospective Method – quiz 3
Recursion Relationships, Thieles DE
Policy Values at fractional durations, Review
MIDTERM I
Introduction to Multiple State Models (II)
Introduction to Multiple State Models (II)
Markov Chains, Kolmogorov Equations – quiz 4
Premiums
Policy Values in Multiple State Models
SPRING BREAK
SPRING BREAK
Multiple Decrement Models
Multiple Decrement Models and Tables
Multiple Decrement Tables
Transitions at exact ages, discrete time models – quiz 5
Joint and Last Survivor Benefits, Review
MIDTERM II
Joint Life Notation
Independent vs. Dependent Lives (I) – quiz 6
Independent vs. Dependent Lives (I)
Pensions Mathematics – take-home quiz 7
Review
FINAL EXAM (10:45-12:45)
Text Section
6.5
6.8
6.6
6.7, 6.9
7.1-7.2
7.3, 7.5
7.3
7.3
7.3, 7.7
7.3, 7.5
7.4
8.1, 8.2
8.1, 8.2
8.3, 8.5
8.6
8.7
8.8
8.8, 8.9
8.10
8.11, 8.12
9.1, 9.2
9.3
9.4-9.7
9.4-9.7
10
Note that this course syllabus provides a general plan for the course; deviations may be necessary.