Sep 15, 2019
ACSC 607 - CREDIBILITY AND SIMULATION
Prerequisite: ACSC 506 or concurrent with ACSC 506
The student is expected to identify steps in the modeling process.
Specifically, the candidate is expected to be able to perform the
tasks such as; apply limited fluctuation (classical)credibility
including criteria for both full and partial credibility, perform
Bayesian analysis using both discrete and continuous models, apply
B, hlmann and B, hlmann-Straub models and understand the
relationship of these to the Bayesian model, apply conjugate priors
in Bayesian analysis and in particular the Poisson-gamma Model,
apply empirical Bayesian methods in the nonparametric and
semiparametric Cases, simulate both discrete and continuous random
variables using the inversion Method, estimate the number of
simulations needed to obtain an estimate with a given error and a
given degree of confidence, use simulation to determine the p-value
for a hypothesis test, use the bootstrap method to estimate the
mean squared error of an estimator, and apply simulation methods
within the context of actuarial models. A presentation of one
project is required for the course.
Note: This course combined with ACSC 506 will cover the materials for Actuarial Professional exam C.