Syllabus - ACMA 315-3
Credibility Theory and Loss Distributions
Department of Statistics and Actuarial Science, Faculty of Science, Simon Fraser University
Spring 2006
Instructor: Cary Tsai (cltsai@sfu.ca)
K 10548 Tel: 604-268-7044
Formula: 3-0-0
Prerequisite: STAT 285
Lecture Hours/Rooms: T : 14:30-15:20 @ AQ5016
R : 14:30-16:20 @ AQ5016
Office Hours: T: 11:30-12:20 and 15:30-16:20
R: 11:30-12:20 and 16:30-17:20
CONTENT
Credibility Theory:
• Limited Fluctuation Credibility
• Bayesian Credibility: Non-Parametric and Semi-Parametric
• Bühlmann and Bühlmann-Straub Models
• Conjugate Priors
Loss Distributions:
•Simulation
LEARNING ACTIVITIES
There will be 3 hours of lectures. The lectures are Tuesdays 14:30-15:20 (AQ 5016) and Thursdays
14:30-16:20 (AQ 5016). Some lectures might be rescheduled if necessary.
The student is expected to read the material and to attempt as many problems as possible before
attending the lectures. Selected references, assignments and handouts (once available) can be
downloaded from www.stat.sfu.ca/~cltsai/ACMA315/ACMA315_0601.htm.
Regular assignments will be given throughout the semester.
The exercises at the end of each covered chapter of the required textbook are strongly recommended,
even the "show that" type. The ACTEX Study Manuals also contain many relevant problems.
Recent Exam C of SOA (www.sao.org) or/and Exam 4 of CAS (www.casact.org) should also be used to
check your understanding of the material and to check your performance under time constraints.
Office hours may be used for further explanations and relevant discussions.
You are encouraged to discuss problems in small groups. However, you must work alone when writing
up the solutions to the problems. Copying is against the law.
EVALUATION
Regular assignments throughout the semester.
Midterm: 2:30-4:20PM, February 23, Thursday, 2006 (may be altered depending on teaching progress).
Final exam: 3:30-6:30PM, April 11, Tuesday, 2006 (check final exam schedule).
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Grading Scheme: (may be altered by the instructor for unusual circumstances)
Assignments: 10%
Midterm:
40%
Final exam: 50%
The pass mark is 50%.
For the midterms and the final exam:
- Use of the SOA calculator will be allowed.
- Notes, textbooks or other material will NOT be allowed.
- The duration of the exams will be 110 minutes.
- Questions may be of one or more of the following types:
multiple choice, true or false, written answer, etc...
Missing an exam will result in a mark of 0 unless the student was prevented from taking it due to
medical reasons with convincing evidence. A student present at the start of an exam will have his/her
exam marked even if he/she leaves early for any reason. Should you miss an exam, you must let the
instructor know as soon as possible. Under no circumstances will make up exams be given.
Under no circumstances will late assignments be accepted.
The final grade (A+, A, ..., F) will be allocated according to the student's achievement in the course.
BIBLIOGRAPHY
Required Textbook:
- Loss Models: From Data to Decisions (Chapters 16 and 17), 2nd Edition, 2004, by Klugman,
Panjer and Willmot.
References:
- Introduction to Credibility Theory, 3rd Edition, 1999, by T.N. Herzog.
- Foundations of Casualty Actuarial Science (Chapter 8: Credibility), 4th Edition, 2001,
(Study Note C-21-01) by H.C. Mahler and C.G. Dean.
- Topics in Credibility Theory (Study Note C-24-05) by C.G. Dean.
- An Examination of Credibility Concepts, PCAS LXVII, 1981, pp. 195-212, by S.W. Philbrick.
- ACTEX Study Manual for SOA Exam C and CAS Exam 4, see www.actexmadriver.com.
- ASM Study Manual Exam C/Exam 4, see www.actexmadriver.com
Professional Exam:
- Exam C of SOA / Exam 4 of CAS: Construction and Evaluation of Actuarial Models.
Exam Time: 8:30AM-12:30PM, May 17, Wednesday (registration deadline; April 1, 2006), and
8:30AM-12:30PM, November 6, Monday, 2006 (tentative).
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