2017-2018 Academic Catalog 
    Jul 22, 2024  
2017-2018 Academic Catalog [Archived Catalog]

ACSC 607 - Credibility and Simulation

Credits: Three (3)
Prerequisite: ACSC/MATH 372/572
This course, combined with ACSC 506, will cover all of the learning objectives contained in Examination C (Construction of Actuarial Models) of the Society of Actuaries. Topics include limited fluctuation (classical) credibility; Bayesian analysis using both discrete and continuous models; Bühlmann and Bühlmann-Straub models; conjugate priors in Bayesian analysis and in particular the Poisson-gamma model; empirical Bayesian methods in the nonparametric and semiparametric cases; simulation of both discrete and continuous random variables using the inversion method; simulation of discrete mixtures, decrement tables, the (a,b,0) class, normal and lognormal distributions;  estimation of the number of simulations needed to obtain an estimate with a given error and a given degree of confidence; using simulation to determine the p-value for a hypothesis test; using the bootstrap method to estimate the mean squared error of an estimator.  A presentation of one project is required for the course.
Note: This course is for graduate students only
Cross-listed: MATH 607