Mathematics 380, Actuarial Models I, Fall 2006

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 212.

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

Main textbook: Financial Risk Management for Pension Plans by Leslaw Gajek and Krzysztof Ostaszewski, Elsevier Science, 2004. This book is on reserve at the Milner Library at Illinois State University, and in the local library of the Mathematics Department. There will also be study notes provided online by Dr. Krzysztof Ostaszewski (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). Those study notes will cover all of the material of this class.
Supplementary textbook: Actuarial Mathematics, 2nd Edition, by Bowers et al., published in 1997 by the Society of Actuaries. This book is on reserve at the Milner Library at Illinois State University, and in the local library of the Mathematics Department.
Only the portions of the textbooks covered on the Society of Actuaries Course M examinations, life contingencies part, will be covered in class (note that the Casualty Actuarial Society Course 3 examination life contingencies material is a subset of the material on the Society of Actuaries Course M examination life contingencies part). Supplementary textbook: Actuarial Mathematics, 2nd Edition, by Bowers et al., published in 1997 by the Society of Actuaries. This book is on reserve at the Milner Library at Illinois State University.
Only the portions of the textbooks covered on the Society of Actuaries Course M examinations, life contingencies part, will be covered in class (note that the Casualty Actuarial Society Course 3 examination life contingencies material is a subset of the material on the Society of Actuaries Course M examination life contingencies part). 

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. Any make-up test must be scheduled at least two weeks in advance. 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.

Important dates

September 1, 2006: 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 13, 2006: Last day to withdraw with a writhdrawal (WX) grade assigned. Also last day to drop the Credit/No Credit (Pass/Fail) option.

Disability concerns

Illinois State University provides a welcoming atmosphere for individuals with disabilities by assisting each in functioning independently within the University community and providing equal access and opportunity in accomplishing educational, professional and personal goals. Disability Concerns, a unit of the Student Affairs Division,  is the designated office to provide approved accommodation services for students, faculty, staff, and guests with disabilities. Disability Concerns obtains and maintains documentation of disability, certifies eligibility for services, determines reasonable accommodations, and develops plans for providing such accommodations. This is accomplished in a confidential manner to ensure equal opportunity for participation in all courses, programs, activities and employment offered by Illinois State. Please contact the Disability Concerns in Fell Hall room 350, tel.  309-438-5853 (Voice), 309-438-8620 (TTY) if you have needs that can be accommodate by that office.

Schedule of classes

• Tuesday, August 22, 2006. Survival distributions and life tables. Sections 3.7, 3.8 in textbook.
• Thursday, August 24, 2006. Survival distributions and life tables. Sections 3.7, 3.8 in textbook.
• Tuesday, August 29, 2006. Survival distributions and life tables. Sections 3.7, 3.8 in textbook. Class taught by Mr. Ken Williams.
• Thursday, August 31, 2006. Survival distributions and life tables. Sections 3.7, 3.8 in textbook. Class taught by Mr. Ken Williams.
• Tuesday, September 5, 2006. Life insurance. Section 3.9 in textbook. Class taught by Mr. Ken Williams.
• Thursday, September 7, 2006. Life insurance. Section 3.9 in textbook. Class taught by Mr. Ken Williams.
• Tuesday, September 12, 2006. Life insurance. Section 3.9 in textbook. Class taught by Mr. Ken Williams.
• Thursday, September 14, 2006. Life insurance. Section 3.9 in textbook.
• Tuesday, September 19, 2006. Life annuities. Section 3.10 in textbook.
• Thursday, September 21, 2006. Test No. 1, on the material covered through September 14, 2006. 
• Tuesday, September 26, 2006. Life annuities. Section 3.10 in textbook.
• Thursday, September 28, 2006. Life annuities. Section 3.10 in textbook.
• Tuesday, October 3, 2006. Premiums. Section 3.11 in textbook. Class taught by Mr. Ken Williams.
• Thursday, October 5, 2006. Premiums. Section 3.11 in textbook. Class taught by Mr. Ken Williams.
• Tuesday, October 10, 2006. Premiums. Section 3.11 in textbook.
• Thursday, October 12, 2006. Test No. 2, on the material covered through October 10, 2006.
• Tuesday, October 17, 2006. Reserves. Section 3.12 in textbook.
• Thursday, October 19, 2006. Reserves. Section 3.12 in textbook.
• Tuesday, October 24, 2006. Reserves. Section 3.12 in textbook. Class taught by Mr. Ken Williams.
• Thursday, October 26, 2006. Reserves. Section 3.12 in textbook.
• Tuesday, October 31, 2006. Multiple lives models. Section 3.13 in textbook. Class taught by Mr. Ken Williams.
• Thursday, November 2, 2006. Multiple lives models. Section 3.13 in textbook. Class taught by Mr. Ken Williams.
• Tuesday, November 7, 2006. Multiple lives models. Section 3.13 in textbook. Class taught by Mr. Ken Williams.
• Thursday, November 9, 2006. Multiple decrement models. Section 3.14 in textbook.
• Tuesday, November 14, 2006. Multiple decrement models. Section 3.14 in textbook.
• Thursday, November 16, 2006. Multiple decrement models. Section 3.14 in textbook.
• Tuesday, November 28, 2006. Insurance models including expenses.
• Thursday, November 30, 2006. Insurance models including expenses.
• Tuesday, December 5, 2006. Test No. 3, comprehensive.
• Thursday, December 7, 2006. Test No. 4, comprehensive.
• Friday, December 15, 2006. 10:00 a.m. — 12:00 noon. 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.