UNIVERSITY OF CONNECTICUT

Math 395 – Risk Theory

# Fall 2005

Classes:  1:00 – 1:50 MWF                            Instructor: James Bridgeman, FSA

MSB 307                                                    MSB 408   phone (860) 486-8382

Office hours: 10:00 – 12:00 M                                   bridgeman@math.uconn.edu

10:00 – 12:00 Th                         http://www.math.uconn.edu/~bridgeman

2:00 –  3:00 Th/F

Or by appointment

Course Homepage:             www.math.uconn.edu/~bridgeman/math395f05/index.html

# Context for the Course

Partial Preparation for CAS Exam 3/ SOA Exam M (Actuarial Models)

(Tuesday November 8)

# Specific Course Content

Claim Risk Models and Ruin Models

# Required Texts

Klugman, et al.: Loss Models: From Data To Decisions (second edition),

Solutions Manual To Accompany Loss Models second edition

Students also will be responsible for material not in the text, presented in class

Batten & London: A Guide for the Actuarial Student

Bowers, et al.: Actuarial Mathematics (Second Edition)

Gauger: ACTEX Study Manual for Exam 3 (Vols. I and II)

Jones: Actuarial Models and Modeling: An Interactive Approach

Panjer & Willmot: Insurance Risk Models

Ross: Introduction to Probability Models (Eighth Edition)

Ross: Simulation (Third Edition)

Society of Actuaries: Study Note Package for Exam M

Casualty Actuarial Society: Study Note Package for Exam 3

# For Future In–Depth Study

(well beyond society exam or course requirements)

Daykin, et al.: Practical Risk Theory for Actuaries

de Vylder: Advanced Risk Theory -- a self-contained introduction

# 4 Take-Home Tests                 40%

`                       Final Exam                               35%

Paper and Project(s)                 25%

the syllabus and grading plan are subject to change with appropriate notice to the class

Intended Pace for Math 395

 Week of … Aug. 29 Moments, Surface Interpretation, Modified Distributions Ch. 2, Sec. 3.1-3.2, Class Notes Sept. 5 Generating Functions, Faa’s Formula, Severity Distributions Sec. 3.3, 4.1-4.2, Class Notes Sept. 12 Tail Weight, Creation of  Severity Distributions and Relations Among Them, Maximum Entropy Sec. 4.3-4.4, Class Notes Sept. 19 Creation of Severity Distributions and Relations Among Them, Coverage Modifications Class Notes, Sec. 4.5, 5.1-5.5 Sept. 26 Test #1, Frequency Distributions, (a,b,0) Sec. 4.6.1-4.6.5, Class Notes Oct. 3 (a,b,1), Compound Frequency Distributions Sec. 4.6.6-4.6.8, Class Notes Oct. 10 Mixed Frequency Distributions, Exposure, Deductibles Sec. 4.6.9-4.6.11, 5.6 Oct. 17 Test #2, Aggregate Claim Distributions, Model Choices, Compound Models Sec. 6.1-6.4 Oct. 24 Computing Aggregate Claims, Recursion Method, Coverage Modifications Sec. 6.5-6.7, Class Notes Oct. 31 Other Computing Methods, Ruin Models Sec. 6.8-6.10, 7.1-7.2 Nov. 7 Test #3, Discrete Time Ruin Model Sec. 7.3, Class Notes Nov. 14 Continuous Time Ruin Model: Properties and Probabilities Sec. 8.1-8.2, Class Notes Nov. 28 Continuous Time Ruin Model: Distributions Sec. 8.3-8.5, Class Notes Dec. 5 Test #4, Project Reviews Final Exam TBD week of Dec. 12 - 16

the syllabus and grading plan are subject to change with appropriate notice to the class.