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Nov 23, 2024
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2016-2017 Academic Catalog [Archived Catalog]
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ACSC 407 - Credibility and Simulation
Credits: Three (3)
Prerequisite: Advisor Approval
The student is expected to identify steps in the modeling process. This course, combined with ACSC 406, will cover all of the learning objectives contained in Examination C (Construction of Actuarial Models) of the Society of Actuaries. At the conclusion of this course, students are expected to be able to: apply limited fluctuation (classical) credibility including criteria for both full and partial credibility; perform Bayesian analysis using both discrete and continuous models; apply Buhlmann and Buhlmann-Straub models and understand the relationship of these to the Bayesian model; apply conjugate prior distributions in Bayesian analysis (in particular the Poisson-gamma Model); apply empirical Bayesian methods in the nonparametric and semi-parametric 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.
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