Math 395

Spring 2005


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

                 MSB 411                                                    MSB 408   phone (860) 486-8382

Office hours: 10:00 – 12:00 M                         

                       10:00 – 12:00 Th               

                         2:00 –  3:00 Th/F

                      Or by appointment

Course Homepage:   


Context for the Course

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

(Thursday May 19)


Specific Course Content

Claim Risk Models and Ruin Models


Required Texts

Klugman, et al.: Loss Models: From Data To Decisions (Second Edition)


Additional Study Material

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


For Future In–Depth Study

(well beyond exam or course requirements)

Daykin, et al.: Practical Risk Theory for Actuaries

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

Maerchaert&Scheffler, Limit Distributions for Sums of Independent Random Vectors – heavy tails in theory and practice




                                    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 …




Jan. 17

Moments, Surface Interpretation, Modified Distributions

Ch. 2, Sec. 3.1-3.2, Class Notes

Jan. 24

Generating Functions, Faa’s Formula,

Severity Distributions, Tail Weight

Sec. 3.3, 4.1-4.3, Class Notes

Jan. 31

Creation of  Severity Distributions and Relations Among Them

Sec. 4.4-4.5, Class Notes

Feb. 7

Creation of Severity Distributions and

Relations Among Them, Coverage Modifications

Class Notes, Sec. 5.1-5.5

Feb. 14

 Test #1, Frequency Distributions, (a,b,0)

Sec. 4.6.1-4.6.5, Class Notes

Feb. 21

(a,b,1), Compound Frequency Distributions

Sec. 4.6.6-4.6.8, Class Notes

Feb. 28

Mixed Frequency Distributions, Exposure, Deductibles

Sec. 4.6.9-4.6.11, 5.6

Mar. 14

Test #2, Aggregate Claim Distributions, Model Choices, Compound Models

Sec. 6.1-6.4

Mar. 21

Computing Aggregate Claims, Recursion Method, Coverage Modifications

Sec. 6.5-6.7, Class Notes

Mar. 28

Other Computing Methods, Ruin Models

Sec. 6.8-6.10, 7.1-7.2

Apr. 4

Test #3, Discrete Time Ruin Model

Sec. 7.3, Class Notes

Apr. 11

Continuous Time Ruin Model:

Properties and Probabilities

Sec. 8.1-8.2, Class Notes

Apr. 18

Continuous Time Ruin Model: Distributions

Sec. 8.3-8.5, Class Notes

Apr. 25

Test #4, Project Reviews


Final Exam TBD week of May 2- 7


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