2019-2020 Academic Catalog 
    May 06, 2021  
2019-2020 Academic Catalog [Archived Catalog]

ACSC 407 - Loss Models

Credits: Three (3)
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; Blmann and Blmann-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
Prerequisite: MATH 406