UNIVERSITY OF CONNECTICUT

Math 395 – Risk Theory

# Fall 2006

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

MSB 315                                                    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/math395f06/index.html

# Context for the Course

Partial Preparation for CAS Exam 4/ SOA Exam M (Actuarial Models)

(Tuesday November 7)

or SOA Exam C (as revised for Spring 2007)

# 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)

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 4

# For Future In–Depth Study

(well beyond society exam or course requirements)

Kleiber & Kotz: Statistical Size Distributions in Economics and Actuarial Sciences

Daykin, et al.: Practical Risk Theory for Actuaries

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

Asmussen: Ruin Probabilities

Willmot & Lin: Lundberg Approximations for Compound Distributions with Insurance Applications

Grading: 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. 28 Moments, Surface Interpretation, Modified Distributions Ch. 2, Sec. 3.1-3.2, Class Notes Sept. 4 Generating Functions, Faa’s Formula, Severity Distributions Sec. 3.3, 4.1-4.2, Class Notes Sept. 11 Tail Weight, Creation of  Severity Distributions and Relations Among Them, Maximum Entropy Sec. 4.3-4.4, Class Notes Sept. 18 Creation of Severity Distributions and Relations Among Them, Coverage Modifications Class Notes, Sec. 4.5, 5.1-5.5 Sept. 25 Test #1, Frequency Distributions, (a,b,0) Sec. 4.6.1-4.6.5, Class Notes Oct. 2 (a,b,1), Compound Frequency Distributions Sec. 4.6.6-4.6.8, Class Notes Oct. 9 Mixed Frequency Distributions, Exposure, Deductibles Sec. 4.6.9-4.6.11, 5.6 Oct. 16 Test #2, Aggregate Claim Distributions, Model Choices, Compound Models Sec. 6.1-6.4 Oct. 23 Computing Aggregate Claims, Recursion Method, Coverage Modifications Sec. 6.5-6.7, Class Notes Oct. 30 Other Computing Methods, Ruin Models Sec. 6.8-6.10, 7.1-7.2 Nov. 6 Test #3, Discrete Time Ruin Model Sec. 7.3, Class Notes Nov. 13 Continuous Time Ruin Model: Properties and Probabilities Sec. 8.1-8.2, Class Notes Nov. 27 Continuous Time Ruin Model: Distributions Sec. 8.3-8.5, Class Notes Dec. 4 Test #4, Project Reviews Final Exam TBD week of Dec. 10 - 15

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