Actuarial Science (ACTSC)

ACTSC 690 Literature & Research Studies0.50 units

RDG · Course ID 009455Archived pageACTSC 690 today

ACTSC 831 Loss Models 10.50 units

Models for loss severity: parametric models, effect of policy modifications; tail behabiour. Models for loss frequency: (a,b,0), (a,b,1), mixed Poisson models; compound Poisson models. Aggregate claims models: moments and moment generating function: recursion. Classical ruin theory.

LEC, TUT · Course ID 000071Archived pageACTSC 831 today

ACTSC 832 Loss Models 20.50 units

Credibility theory: limited fluctuation; Bayesian; Buhlmann; Buhlmann-Straub; empirical Bayes parameter estimation statistical inference for loss models; maximum likelihood estimation; effect of policy modifications; model selection.

LEC · Course ID 000072Archived pageACTSC 832 today

ACTSC 833 Analysis of Mortality Data0.50 units

The Mathematics of Survival Models, some examples of parametric survival models. Tabular survival models, estimates from complete and incomplete data samples. Parametric survival models, determining the optimal parameters. Maximum likelihood estimators, derivation and properties. Product limit estimators, Kaplan-Meier and Nelson Aalen. Practical aspects.

LEC · Course ID 000073Archived pageACTSC 833 today

ACTSC 835 Introduction to Demographic Statistics0.50 units

Topics in demography with emphasis on population projections, mortality theories and construction of life tables.

LEC · Course ID 000074Archived pageACTSC 835 today

ACTSC 845 Asset-Liability Management0.50 units

Duration analysis and immunization. Portfolio selection. Interest rate derivative securities and their applications in asset-liability management. Stochastic investment modelling for actuarial applications.

LEC, TUT · Course ID 010064Archived pageACTSC 845 today

ACTSC 846 Mathematical Models in Finance0.50 units

Mathematical techniques used to price and hedge derivative securities in modern finance. Modelling, analysis and computations for financial derivative products, including exotic options and swaps in all asset classes. Applications of erivatives in practice.

LEC, TUT · Course ID 011270Archived pageACTSC 846 today

ACTSC 851 Selection of Risks0.50 units

The effects of medical and non-medical risk factors on bodily systems are explored to determine the amount and incidence of additional morbidity and mortality. Techniques for expressing the increased risk in premiums are investigated.

LEC · Course ID 000075Archived pageACTSC 851 today

ACTSC 853 Basic Pension Mathematics0.50 units

Theory and practice of pension plan funding. Assumptions, basic actuarial functions and population theory applied to private pensions. Concepts of normal costs, supplemental liability, unfunded liability arising from individual accrued benefit and projected benefit cost methods.

LEC · Course ID 000076Archived pageACTSC 853 today

ACTSC 854 Funding of Pension Plans0.50 units

Group and other generalized cost methods for pension plans. Effects of early retirement, plan design and actuarial assumptions on pension costs. Cost forecasts applied to private and public pension plans.

LEC · Course ID 000077Archived pageACTSC 854 today

ACTSC 855 Analysis of Financial Statements0.50 units

Topics in insurance financial reporting including amortization of gains, the Canadian method of actuarial reserves, investment and currency reserves, and the analysis of gains and losses.

LEC · Course ID 000078Archived pageACTSC 855 today

ACTSC 856 Taxation of Life Insurance0.50 units

Taxation of life insurance, insurance companies and employee benefits.

LEC · Course ID 010149Archived pageACTSC 856 today

ACTSC 858 Insurance Law0.50 units

Topics in Canadian and American insurance law.

LEC · Course ID 000079Archived pageACTSC 858 today

ACTSC 859 Group Life and Health Insurance0.50 units

A survey of coverages, Crown Programmes, legal requirements and rationale. Gross premium calculations. Reserving methods. Introduction to managed care.

LEC · Course ID 010548Archived pageACTSC 859 today

ACTSC 862 Casualty Insurance0.50 units

Individual risk rating. Risk classification in property/casualty insurance. Reinsurance. Expense issues. Reserving for insurance and loss adjustment expenses. Investment income.

LEC · Course ID 011273Archived pageACTSC 862 today

ACTSC 936 Longitudinal Data Analysis0.50 units

This course is designed to teach students the appropriate techniques for analyzing data that is collected over time. This data could arise from biomedical, population public health studies as well as finance and actuarial science applications. The course will teach how to recognize the added complexity of longitudinal data versus the univariate response data which is typically seen in introductory and generalized linear model courses. The course emphasizes the importance of the covariance structure for longitudinal responses. The students will study the difference between subject-specific and population-averaged models and how to recognize problems where one or the other approach might be more appropriate. They will be expected to use statistical software in applications in order to analyze longitudinal data.

LEC · Course ID 013085Archived pageACTSC 936 today

ACTSC 961 Mathematical Methods of Loss Reserving0.50 units

Macro methods of runoff analysis: chain-ladder, least squares, separation, payment per claim incurred. Stochastic methods: Reid's method, see-saw, payment per unit of risk, autoregressive models, Kalman filter.

LEC · Course ID 000082Archived pageACTSC 961 today

ACTSC 963 Ruin and Queuing Theory0.50 units

Probabilistic aspects of various ruin theoretic models (which may also be viewed as queuing models) to describe the surplus process of a portfolio of business will be considered. The common underlying theme of these models involves compound geometric distributions and their many and varied properties. The results may often be applied with little modification ot equilibrium waiting time distributions in various single server queues.

LEC · Course ID 011274Archived pageACTSC 963 today

ACTSC 964 Insurance Solvency0.50 units

This course explores the ways that insurers and regulators in different countries try to monitor and control solvency. In particular we consider the efficacy of different regimes, as well as the effect on product design and pricing. Companies may use different methods to assess their own insolvency risk. We will consider how internal assessment of solvency may differ from the regulator's assessment, and we will look at how insurers try to manage the insolvency risk using asset-liability modelling and financial risk management. Solvency assessment may take a whole company perspective, or may be considered by individual product portfolios and both approaches will be discussed. A substantial element of the course will be a review of some of the recent research in this area. Although the emphasis will be on life insurance, we will also look at the methods and problems associated with non life business.

LEC · Course ID 011275Archived pageACTSC 964 today

ACTSC 965 Extreme Value Theory0.50 units

Ruin Theory for heavy-tailed distributions. Fluctuation of maxima and upper order statistics. Extreme value distributions: Weibull, Frechet, Gumbel and generalized Pareto. Mean excess function. Statistical methods for external events. Estimation of parameters of extreme value and excess distributions. Applications in finance and insurance.

LEC · Course ID 011276Archived pageACTSC 965 today

ACTSC 966 Aggregate Claims Models0.50 units

Mixed Poisson and nonhomogeneous birth processes for claim counts; analytic, recursive, asymptotic and approximate evaluation of compound distributions for aggregate claims; reliability concepts and analysis of stop-loss moments; applications for inflation, incurred but not reported claims, and infinite server queues.

LEC · Course ID 011686Archived pageACTSC 966 today

ACTSC 970 Finance 10.50 units

Current paradigms in the theory of finance and the supporting empirical evidence.

LEC · Course ID 000044Archived pageACTSC 970 today

ACTSC 971 Finance 20.50 units

This course deals with stochastic interest rate models in both discrete time and continuous time. It also covers the theory and practice of instruments such as options, futures, derivative securities and other complex financial instruments.

LEC · Course ID 000045Archived pageACTSC 971 today

ACTSC 972 Finance 30.50 units

This course covers topics in the pricing and valuation of derivative securities. It focuses on the underlying theoretical models and examines applications to contemporary finance problems.

LEC · Course ID 000046Archived pageACTSC 972 today

ACTSC 973 Portfolio Optimization0.50 units

Basic optimization: quadratic minimization subject to leanear equality constraints. Effecient portfolios: the efficient frontier, the capital market line, Sharpe ratios and threshold returns. Practical portfolio optimization: short sales restrictions target portfolios, transactions costs. Quadratic programming theory. Special purpose quadratic programming algorithms for portfolio optimization: today's large investment firms expect to solve problems with at least 1000 assets, transactions costs and various side constraints in just a few minutes of computation time. This requires very specialized QP algorithms. An overview of such algorithms will be presented with computational results from commercial problems. The efficient frontier, the capital market line, Sharpe ratios and threshold returns in practice.

LEC · Course ID 011622Archived pageACTSC 973 today

ACTSC 980 Social Insurance0.50 units

Review of the history and present status of the major Canadian Social Insurance systems such as CPP, Medicare, UIC and OAS. Possible future developments. Costing problems and trends. Financing, past, present and future.

LEC · Course ID 000083Archived pageACTSC 980 today

ACTSC 991 Topics in Actuarial Science0.50 units

LEC · Course ID 000085Archived pageACTSC 991 today

ACTSC 992 Seminar in Actuarial Science0.50 units

SEM · Course ID 000093Archived pageACTSC 992 today