Sep 24, 2022  
2020-2021 Undergraduate Academic Catalog 
2020-2021 Undergraduate Academic Catalog [ARCHIVED CATALOG]

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AC 4404 - Actuarial Probability Models

4 lecture hours 0 lab hours 4 credits
Course Description
This course will begin to prepare students for a fourth actuarial exam. It will provide a more in-depth study of certain topics in probability and mathematical statistics, with a focus on problems and models that are relevant to insurance products. (prereq: MA 2631  and MA 390 )
Course Learning Outcomes
Upon successful completion of this course, the student will be able to:
  • Analyze severity, frequency, and aggregate models
  • Understand what probability distributions are appropriate to model different problems
  • Use probability distributions to evaluate financial risk
  • Understand the relationship between various probability distributions, and the effects of mixing probability distributions         
  • Estimate parameters using maximum likelihood estimation and construct confidence intervals for those parameters
  • Understand various coverage modifications of insurance products, including deductibles, limits, and coinsurance
  • Apply Bayesian and Bühlmann techniques to study credibility
  • Apply knowledge of the course topics in the context of insurance, including calculating premiums and reserves for short-term insurance products

Prerequisites by Topic
  • Calculus
  • Probability
  • Interest theory

Course Topics
  • Probability distributions
  • Moments and other properties of probability distributions
  • Developing risk models
  • Hazard rate functions
  • Deductibles, limits, and coinsurance
  • Inflation effects
  • Value at risk and tail value at risk
  • Maximum likelihood estimation
  • Bayesian estimation
  • Hypothesis tests, Bayesian information criterion, and other model selection tests
  • Bayesian credibility
  • Bühlmann and Bühlmann-Straub models
  • Short-term insurance and reinsurance
  • Premiums
  • Reserves

Dr. Brandon Reid

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