STAT 470, Section 0101 (Harland Glaz)

STAT 470, Section 0101, Spring 2015 (Harland Glaz)

(01-25) Please login to the Course CANVAS Site

BASIC INFORMATION:

STAT 470-0101
Course Title: Actuarial Mathematics
Instructor: Prof. Harland Glaz
Instructor Info: MTH 4405 ; 301.405.5470
Instructor Email: hmg AT math DOT umd DOT edu
Classroom/Time: TuTh 2:00-3:15 ; MTH B0421

GENERAL DESCRIPTION:The official Math Dept. course description is here - STAT 470 SYLLABUS

PREREQUISITES: Calculus through MATH 240 and MATH 241 (or MATH 340 and MATH 341). (Strongly) Recommended: STAT400 or equivalent background in Preobability and Statistics.

TEXTBOOK (required): ACTUARIAL MATHEMATICS AND LIFE--TABLE STATISTICS, Eric V. Slud
Download from our ELMS/Canvas Course page: UMD CANVAS SITE

TEXTBOOK (required): ACTUARIAL MATHEMATICS FOR LIFE CONTINGENT RISKS
David C. M. Dickson, Mary R. Hardy, and Howard R. Waters, 2013, 2nd edition
Cambridge University Press web site description

REFERENCES:

THEORY OF INTEREST and LIFE CONTINGENCIES with PENSION APPLICATIONS:
A PROBLEM-SOLVING APPROACH, 3rd edition, Michael M. Parmenter,
ACTEX Publications, 1999, ISBN 978-156698-333-9.
ACTEX Publications Description

THEORY OF INTEREST AND LIFE CONTINGENCIES WITH PENSION APPLICATIONS:
A PROBLEM-SOLVING APPROACH SOLUTIONS MANUAL,
3rd Edition, Richard L. London, ACTEX Publications, xxx, ISBN 978-156698-348-8.

LIFE INSURANCE MATHEMATICS, 3rd edition, Hans U. Gerber
Springer-Verlag web site description

FUNDAMENTALS OF ACTUARIAL MATHEMATICS, 2nd edition, S. David Promislow
Wiley web site description

ONLINE REFERENCES:
Be An Actuary -- www.bean.org
where, for example, you can find sample questions/answers to prepare for the sequence of preliminary examinations.
The exams closest to STAT 470 in content are EXAM FM and EXAM MLC (or EXAM LC for the CAS exams);
click on 'Actuarial Exams' for detailed information. The content of Exam C (SOA) overlaps with the textbook Appendix.
See also Society of Actuaries home page.
In particular, SOA Home Page for Exam MLC (Mathematics of Life Contingencies).

SYLLABUS: We will cover most of Chapters 1 -- 4 of the textbook (by E. Slud), roughly in order;
           a few topics will be omitted and announced in due course.
          Chapters 1 -- 5 of Dickson et al correspond (roughly).
                               Below, (*) - Dickson et al is the primary reference.

DETAILED LIST OF TOPICS:

Theory of Interest. Discount. Internal Rate of Return (IRR).
Life Table Statistics. Brief Intro./Review of Probability, esp.
Conditional Probability, Expectation, and Conditional Expectation
Annuities/Actuarial Notation. Mortgages, Bonds.
Force of Mortality. Model Survival Functions. Gompertz-Makeham
Binomial RV's and Law of Large Numbers. Relation between life-
tables and survival functions. More on E(g(T)) and E(g([T]);
Expectation (and Curtate Expectation) of Life
Interpolation between integer ages.
Chapter 4: Life Annuity, Insurance Contracts. Detailed Analysis
Net Level Premiums. Reserves. (*) Policy Value Calculations.

MORE TOPICS, TIME PERMITTING

(*) Multiple Decrement and Multiple Life Policies
(*) Applications to Pensions ; Pension Mathematics
Textbook, Appendix A: Duration Data Structures and Cohort Life Tables

RESOURCES:

The ELMS/CANVAS site will contain this syllabus, the textbook, HW assignments (and solutions),
Midterm Exams (and solutions); also, any other reading or similar material will be posted there.
The class EMAIL REFLECTOR will be used frequently; it is an IMPORTANT responsibility
for each student to insure that the e-mail address listed on Testudo
(from which the reflector is constructed) is updated to one that you read daily.

SOFTWARE:

MATLAB will be used; code templates will be provided
EXCEL output will not be accepted or graded
R, MATHEMATICA can be used in lieu of MATLAB, provided source code is included

COURSE GRADE:

Homework and Quizzes - 20%
Three (in-class) MIDTERM EXAMS - 40%
Take-home MIDTERM EXAM (near the end of the semester) - 15%
FINAL EXAM - 25%

EXAM SCHEDULE:

Midterm #1 - Thursday, February 26
Midterm #2 - Thursday, April 02
-------------------------------
Takehome Midterm Exam - TBA
-------------------------------
Midterm #3 - Tuesday, TBA
------------------------------
LAST CLASS - Tuesday, May 12
FINAL EXAM - Monday, May 18 ; 10:30 -- 12:30

TESTBANK (the Math Department's online archive of past exams)

ACADEMIC INTEGRITY: Please see
Student Honor Code and Code of Academic Integrity In particular,

HW papers are to be written by you, in your in own words and using your own calculations.
However, you MAY discuss the problems in small groups.
No discussion/collaboration, of any kind, with anyone (except me) is allowed on the Take-Home Midterm Exam.

Home page of Harland Glaz