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Mathematics 381, Actuarial Models II, Fall 2018

Illinois State University – Mathematics Department

Instructors

Dr. Krzysztof Ostaszewski, FSA, CERA, FSAS, CFA, MAAA, Actuarial Program Director
Office: Stevenson Hall room 313G. Office telephone: 309-438-7226, office fax: 309-438-5866. E-mail: krzysio@ilstu.edu

Mr. Ken Williams, FCAS, MAAA, Manager and Property/Casualty Actuary, Country Financial, e-mail: ken.williams@countryfinancial.com.

Classes Meet

Tuesdays and Thursdays 4:00 p.m. – 5:50 p.m. (with a ten minute break), in Stevenson Hall, room 325.

Office Hours

Office hours will be held Tuesdays 2:30 p.m.– 3:50 p.m., in Stevenson Hall room 313G, by Dr. Krzysztof Ostaszewski. Please ask for an appointment at other times. Appointments with Dr. Krzysztof Ostaszewski should be scheduled at: http://smartURL.it/appointment.

Textbooks

Study notes for this class will be provided on Reggienet.

The following textbooks are suggested, but not required:

• David C. M. Dickson, Mary R. Hardy, and Howard R. Waters, Actuarial Mathematics for Life Contingent Risks, Second Edition, Cambridge University Press, August 2013, ISBN: 9781107044074.

• Sheldon M. Ross, Introduction to Probability Models, 11th Edition, Academic Press, 2014, ISBN: 9780124079489.

Objective

The objective of this class is to help you learn about long-term actuarial models, as studied in the Society of Actuaries Course LTAM Examination, and the Casualty Actuarial Society Course MAS IExamination. Course LTAM Examination material is covered in MAT 380 and this class, completely. Course MAS I Examination material is covered in MAT 351, MAT 353, and this class, completely.

Grading

There will be a total of five tests. Any of the comprehensive tests (as indicated in the schedule) can count as a final. Because there will be so many opportunities for testing and only the best four test scores will affect the class grade, no make-up tests will be offered. The final will count as 40% of your grade, and the best two of the remaining tests will count as 30% of your grade each. You will also receive up to 10% extra credit for the best of the remaining tests. The grading scale for will be as follows: 90% or better — A, 80% to 90% — B, 70% to 80% — C, 60% to 70% — D, below 60% — F. Tests will be about 70% multiple choice, and the rest will be written answer. Students are strongly encouraged to explain their work thoroughly even in the multiple choice part of the test, as points for the work shown may be awarded. Also, this is an undergraduate class available for graduate credit, and this means that graduate students will be required to do additional work to earn the same grade as undergraduate students — this will be represented in the structure of the tests and the grading scheme.

Important dates

Illinois State University withdrawal information for the Fall 2018 semester is given at this web site: http://www.registrar.ilstu.edu/registration/withdrawal/fall.shtml.

Student Access and Accommodation Services

Any student needing to arrange a reasonable accommodation for a documented disability and/or medical/mental health condition should contact Student Access and Accommodation Services at 350 Fell Hall, (309) 438-5853, or visit the website at StudentAccess.IllinoisState.edu.

No recording of this class is allowed

Students may not photograph or use audio or video devices to record classroom lectures or discussions or visual materials that accompany them (e.g., lecture slides, whiteboard notes/equations). Students with disabilities who need to record classroom lectures or discussions must contact Student Access and Accommodation Services to register, request and be approved for an accommodation. Students who violate this policy may be subject to both legal sanctions for violations of copyright law and disciplinary action under the University’s Code of Student Conduct.

Schedule of classes

  • Tuesday, August 21, 2018. Poisson processes. Class taught by Ken Williams.
  • Thursday, August 23, 2018. Poisson processes. Class taught by Ken Williams.
  • Tuesday, August 28, 2018. Poisson processes. Class taught by Ken Williams.
  • Thursday, August 30, 2018. Poisson processes. Class taught by Ken Williams.
  • Tuesday, September 4, 2018. Markov processes and multi-state models.
  • Thursday, September 6, 2018. Markov processes and multi-state models.
  • Tuesday, September 11, 2018. Markov processes and multi-state models.
  • Thursday, September 13, 2018. Reliability theory.
  • Tuesday, September 18, 2018. Reliability theory.
  • Thursday, September 20, 2018. Reliability theory.
  • Tuesday, September 25, 2018. Multiple decrement models. This class will be shortened due to the Meet the Firms event.
  • Thursday, September 27, 2018. Test No. 1, on the material covered through September 20, 2018.
  • Tuesday, October 2, 2018. Multiple decrement models.
  • Thursday, October 4, 2018. Multiple decrement models.
  • Tuesday, October 9, 2018. Yield curves and non-diversifiable risk.
  • Thursday, October 11, 2018. Multiple lives models. Class taught by Ken Williams.
  • Tuesday, October 16, 2018. Multiple lives models. Class taught by Ken Williams.
  • Thursday, October 18, 2018. Multiple lives models. Class taught by Ken Williams.
  • Tuesday, October 23, 2018. Multiple lives models. Class taught by Ken Williams.
  • Thursday, October 25, 2018. Models including expenses and profit testing for traditional life insurance.
  • Tuesday, October 30, 2018. Models including expenses and profit testing for traditional life insurance.
  • Thursday, November 1, 2018. Models including expenses and profit testing for traditional life insurance.
  • Tuesday, November 6, 2018. Test No. 2, on the material covered through November 1, 2018.
  • Thursday, November 8, 2018, Pension mathematics.
  • Tuesday, November 13, 2018. Pension mathematics.
  • Thursday, November 15, 2018. Additional long-term insurance models.
  • Tuesday, November 27, 2018. Additional long-term insurance models.
  • Thursday, November 29, 2018. Additional long-term insurance models.
  • Tuesday, December 4, 2018. Test No. 3, comprehensive. Any of the last three tests can count as your final examination.
  • Thursday, December 6, 2018. Test No. 4, comprehensive. Any of the last three tests can count as your final examination.
  • Thursday, December 13, 2018, 8:30 a.m. — 10:30 a.m. Test No. 5, comprehensive. Any of the last three tests can count as your final examination.

All information contained here is, to our best knowledge, correct, but it is merely a representation, and should not be considered to be any form of professional advice. This electronic publication should not be misconstrued as the official position of Illinois State University, or its Department of Mathematics. We are glad to provide as much information as possible here, but we kindly ask that in any decision related to matters listed here you seek additional counsel and information. Comments on this Home Page are welcome and should be sent to Dr. Krzysztof Ostaszewski  at his e-mail address: krzysio@ilstu.edu.

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