Mathematics 380, Actuarial Models I, Fall 2004

Illinois State University Mathematics Department

Instructors

Classes Meet

Tuesdays and Thursdays 4:00-5:50 p.m. (with a ten minute break), in Stevenson Hall, room 310.

Office Hours

Office hours will be held Tuesdays and Thursdays 3:00-3:50 p.m. by Dr. Krzysztof Ostaszewski. Please ask for an appointment at other times.

Textbooks

Actuarial Mathematics, 2nd Edition, by Bowers et al., published in 1997 by the Society of Actuaries. The book is available at the ISU Bookstore. Only the portions of the book covered on the Society of Actuaries Course 3 examinations will be covered in class (note that the Casualty Actuarial Society examination 3 material from the textbook is a subset of the material on the Society of Actuaries Course 3 examination material from the textbook). It is also recommended that you use Actex Manual for Course 3, published by Actex Publications, as a supplementary textbook. If you are planning to take Course 3 examination you are urged to obtain both textbooks. In addition to these textbooks, Dr. Ostaszewski has written study notes for the material covered in this class, which are provided in links below. Note that you must use the ISU ULID with your password to access them, and you are only granted access if you are registered in this class.

Objective

The objective of this class is to help you learn about actuarial models of life contingencies (i.e., financial random variables dependent on human life, such as life insurance payments, life annuity payments, pension payments, etc.). We will cover topics such as: survival distributions, life tables, mathematics of life insurance, life annuities, premiums, and reserves. These actuarial models form a key part of modern actuarial science.

Grading

There will be four tests and a final examination. You can have a make-up test, but a make-up will be made intentionally at least 20% more difficult. The final will count as 40% of your grade, and the best two of the four tests will count as 30% of your grade each. The grading scale will be as follows: 80% or better — A, 70% to 80% — B, 60% to 70% — C, 50% to 60% — D, below 50% — F. You will also receive up to 20% extra credit for the better of the your two worst tests. Because tests 3 and 4 will be comprehensive, you will be able to treat either of the tests 3, 4, or 5 as a final. Graduate students can only earn 90% of points by earning all credit for the work described above, and will be required to do additional work, which will be announced in class, in order to earn graduate credit. While the grading scale may appear liberal, it is justified by the level of difficulty of the material. Two of the tests are given before the final deadline to drop the class. If those two tests are overewhelming to you, you should reassess your situation in the class. Note also that the first test is given before the deadline to drop the class with full refund.

Important dates

September 3, 2004: Last day to withdraw with no withdrawal grade assigned. Also last day to put a course on Credit/No Credit (Pass/Fail) or Audit.
October 15, 2004: Last day to withdraw with a writhdrawal (WI) grade assigned. Also last day to drop the Credit/No Credit (Pass/Fail) option.

Schedule of classes

• Tuesday, August 24, 2004. Chapter 3 (Survival distributions and life tables).
• Thursday, August 26, 2004. Chapter 3 (Survival distributions and life tables).
• Tuesday, August 31, 2004. Chapter 3 (Survival distributions and life tables).
• Thursday, September 2, 2004. Chapter 3 (Survival distributions and life tables).
• Tuesday, September 7, 2004. Chapter 4 (Life insurance).
• Thursday, September 9, 2004. Chapter 4 (Life insurance).
• Tuesday, September 14, 2004. Chapter 4 (Life insurance).
• Thursday, September 16, 2004. Test No. 1, covering Chapters 3-4.
• Tuesday, September 21, 2004. Chapter 5 (Life annuities). Class taught by Mr. Ken Williams.
• Thursday, September 23, 2004. Chapter 5 (Life annuities). Class taught by Mr. Ken Williams.
• Tuesday, September 28, 2004. Chapter 5 (Life annuities). Class taught by Mr. Ken Williams.
• Thursday, September 30, 2004. Chapter 5 (Life annuities). Class taught by Mr. Ken Williams.
• Tuesday, October 5, 2004. Chapter 6 (Premiums).
• Thursday, October 7, 2004. Chapter 6 (Premiums).
• Tuesday, October 12, 2004. Chapter 6 (Premiums).
• Thursday, October 14, 2004. Test No. 2, covering Chapters 3-6.
• Tuesday, October 19, 2004. Chapters 7-8, (Reserves). Class taught by Mr. Ken Williams.
• Thursday, October 21, 2004. Chapters 7-8, (Reserves). Class taught by Mr. Ken Williams.
• Tuesday, October 26, 2004. Chapters 7-8, (Reserves). Class taught by Mr. Ken Williams.
• Thursday, October 28, 2004. Chapters 7-8, (Reserves). Class taught by Mr. Ken Williams.
• Tuesday, November 2, 2004. Chapters 7-8, (Reserves).
• Thursday, November 4, 2004. Chapter 9 (Multiple life functions).
• Tuesday, November 9, 2004. Chapter 9 (Multiple life functions).
• Thursday, November 11, 2004. Chapter 9 (Multiple life functions).
• Tuesday, November 16, 2004. Chapters 10-11 (Multiple decrement models). Class taught by Mr. Ken Williams.
• Thursday, November 18, 2004. Chapters 10-11 (Multiple decrement models). Class taught by Mr. Ken Williams.
• Tuesday, November 30, 2004. Chapters 10-11 (Multiple decrement models). Class taught by Mr. Ken Williams.
• Thursday, December 2, 2004. Extra Credit Test.
• Tuesday, December 7, 2004. Test No. 3, comprehensive.
• Thursday, December 9, 2004. Test No. 4, comprehensive.
• Tuesday, December 14, 3:10 p.m., Test No. 5, comprehensive.

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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.