Aug 20, 2019  
2018-2019 Academic Catalog 
    
2018-2019 Academic Catalog [Archived Catalog]

ACSC 607 - Loss Models


Credits: Three (3)
Prerequisite: MATH-406 or MATH-506
MATH 506 and ACSC 607 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.
Note: This course is for graduate students only
Cross-listed: ACSC-407