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Apr 25, 2024
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2016-2017 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. 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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