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Nov 21, 2024
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2015-2016 Academic Catalog [Archived Catalog]
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ACSC 607 - Credibility and Simulation
Credits: Three (3)
Prerequisite: ACSC-506 or MATH-506 (previous or concurrent enrollment allowed)
The student is expected to identify steps in the modeling process. Specifically, the candidate is expected to be able to perform the tasks such as; apply limited fluctuation (classical)credibility including criteria for both full and partial credibility, perform Bayesian analysis using both discrete and continuous models, apply B, hlmann and B, hlmann-Straub models and understand the relationship of these to the Bayesian model, apply conjugate priors in Bayesian analysis and in particular the Poisson-gamma Model, apply empirical Bayesian methods in the nonparametric and semiparametric Cases, simulate both discrete and continuous random variables using the inversion Method, estimate the number of simulations needed to obtain an estimate with a given error and a given degree of confidence, use simulation to determine the p-value for a hypothesis test, use the bootstrap method to estimate the mean squared error of an estimator, and apply simulation methods within the context of actuarial models. A presentation of one project is required for the course.
Note: This course combined with ACSC 506 will cover the materials for Actuarial Professional exam C. One presentation will be needed for this course.
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