2018-2019 Academic Catalog 
    Oct 03, 2022  
2018-2019 Academic Catalog [Archived Catalog]

ACSC 407 - Loss Models

Credits: Three (3)
Prerequisite: MATH 406
MATH 406 and ACSC 407 cover the learning objectives from Examination STAM (Short-Term 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.
Cross-listed: ACSC-607