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Jan 15, 2025
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2017-2018 Academic Catalog [Archived Catalog]
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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
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