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Nov 21, 2024
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2024-2025 Academic Catalog
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ACSC 518 - Advanced Loss Models
Credits: 3
This course has two major components. It is the second of two courses in analyzing loss models and applying concepts from previous probability courses to short-term insurance policies. It delves into standard reserving and ratemaking processes for these policies. Topics include mixed and spliced severity models, frailty models, tail-weight model comparison, tail-specific modeling procedures, computing the impact of policy modifications on claim frequency, the recursive method for calculating aggregate loss probabilities, discretization of continuous distributions, properties of maximum likelihood estimators, the Fisher’s Information matrix, variance estimation for MLEs, hypothesis tests using MLEs, score-based model selection, non-classical credibility methods, outstanding claims reserves, applying a Poisson model to short-term reserves, indicated average rate/rate change, changing risk classification relativities, and balancing back in ratemaking.
Related Courses: ACSC-418
Prerequisite: ACSC-607
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