Mathematics 381 – Actuarial Models II, Fall 2023

Illinois State University Mathematics Department
Class materials are available in Canvas

Instructors

Classes Meet

Note that this is a hybrid class. In person meetings will be Tuesdays and Thursdays 4:00 p.m. – 5:50 p.m. (with a ten minute break), in Stevenson Hall room 311. Online meetings will be held via Zoom (students will be informed about access to session), or may also be held in an asynchronous manner in Canvas, if necessary. If you experience any trouble accessing Zoom sessions, call Dr. Ostaszewski immediately at his mobile phone: 309-287-1711 (do not e-mail or text in such a situation – please note it is not possible for instructors to read your e-mails or texts, while teaching).

Office Hours

Office hours will be held by Dr. Krzysztof Ostaszewski by appointment in person or through Zoom at: https://illinoisstate.zoom.us/my/krzysio. Appointments with Dr. Krzysztof Ostaszewski should be scheduled at: http://smartURL.it/appointment. E-mail or call Dr. Krzysztof Ostaszewski if you need help quickly.

Textbooks

• Study notes and other study resources for this class are provided in Canvas.
• The following textbook is suggested, but not required:
• David C. M. Dickson, Mary R. Hardy, and Howard R. Waters, Actuarial Mathematics for Life Contingent Risks, Third Edition, Cambridge University Press, 2020, ISBN: 9781107044074. This book will be referred to as: DHW-AM later in the syllabus.
• The following study note is provided by the Society of Actuaries: Variable Annuity Guarantees, by Mary Hardy. This study note will be referred to as H-VAG later in the syllabus.
• The following study note is provided by the Casualty Actuarial Society: Poisson processes (and mixture distributions, by James W. Daniel. Its material is only part of the curriculum of the Casualty Actuarial Society examination MAS-I, not Society of Actuaries ALTAM Examination. This study note will be referred to as D-PP later in the syllabus.

Objective

The objective of this class is to help you learn about actuarial models, as studied in the Society of Actuaries ALTAM Examination, and the Casualty Actuarial Society MAS-I Examination.
ALTAM Examination is covered completely in this class, and this class is an approved University Earned Credit class for ALTAM Examination.
MAS-I Examination material is covered in several classes: MAT 351, MAT 353, MAT 380, and this class.

University Earned Credit for Society of Actuaries ALTAM Examination

This class is approved for University Earned Credit (UEC) for Society of Actuaries ALTAM Examination. The UEC program allows university students to earn credit for SOA exams by attaining a required score in university coursework in approved classes at Centers of Actuarial Excellence. Students must inform the instructor (send e-mail to: actuary@ilstu.edu) within the first week of class that they want to receive UEC for exam ALTAM in this class. Grading for UEC must follow Society of Actuaries guidelines.

Grading

There will be two grading scales:

• One for the grade given in the class at Illinois State University (ISU), and
• Another one for the Society of Actuaries University Earned Credit (UEC).

ISU grading

There will be four tests, all in class, and in person. Any of the three comprehensive tests (as indicated in the schedule) can count as a final. Because there will be multiple opportunities for testing, 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 20% extra credit for the remaining fourth test. 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. Problems on the tests will require written answers and will have a structure similar to the real ALTAM examination problems. 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 accomplished by multiplying the class score by a factor of 0.9 for graduate students, and the grading scale will only apply after application of that grading scheme. All tests are closed book. On the tests, you will be allowed to use a calculator, any calculator is allowed, and writing instrument(s), and nothing else (no books, no notes). Absolutely no communication among any students taking the test is allowed during the test. The tests will include the tables and formula sheet provided in the real ALTAM examination.

UEC grading

For UEC grading, you must take the final examination offered during the finals’ week, and that final examination will count as 50% of the UEC grade. Test No. 1 will count as 20% of the UEC grade, and test No. 3 will count as 30% of the UEC grade. Test No. 2 will not count for UEC grade, but can be taken for practice. It is expected that a total score of 85% or better in UEC grading will result in granting ALTAM exam UEC for a student in this class, however, the final decision about the UEC is made by the Society of Actuaries. No make up examinations are allowed for UEC grading. Problems on the tests will require written answers and will have a structure similar to the real ALTAM examination problems. All tests are closed book. On the tests, you will be allowed to use a calculator and writing instrument(s), and nothing else (no books, no notes). Absolutely no communication among any students taking the test is allowed during the test. The tests will include the tables and formula sheet provided in the real ALTAM examination. Per Society of Actuaries’ policy class tests counted towards UEC must be taken in person, in regular classroom, at scheduled time, without any possible exceptions.

Class attendance

While this class does not have a strict formal attendance requirement, students who actively participate in class, and make a significant contribution may be granted extra credit for ISU grading. You are expected to attend classes and be involved in the learning process. If you must miss class due to an extended illness (3 or more consecutive class days) or bereavement, the Student Health Services and the Dean of Students Office can help. Please note this university policy: Excused Student Absences Due to Communicable Disease.

Important dates

Illinois State University withdrawal information for the Fall 2023 semester is given at the web site of University Registrar.

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 Service 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 22, 2023. Poisson processes. Class taught by Ken Williams. Textbook: D-PP.
• Thursday, August 24, 2023. Poisson processes. Class taught by Ken Williams. Textbook: D-PP.
• Tuesday, August 29, 2023. Markov processes. Class taught by Ken Williams. Textbook: DHW-AM, Sections 8.1-8.4, and 8.10.
• Thursday, August 31, 2023. Markov processes. Class taught by Ken Williams. Textbook: DHW-AM, Sections 8.1-8.4, and 8.10.
• Tuesday, September 5, 2023. Multi-state models. Textbook: DHW-AM, Sections 8.5-8.9.
• Thursday, September 7, 2023. Multi-state models.  Textbook: DHW-AM, Sections 8.5-8.9.
• Tuesday, September 12, 2023. Multi-state models. Textbook: DHW-AM, Sections 8.5-8.9.
• Thursday, September 14, 2023. Estimation of transition intensities in multiple states models. Textbook: DHW-AM, Section 18.6.
• Tuesday, September 19, 2023. Reserves (policy values): Discrete and continuous models, asset shares, profit. Textbook: DHW-AM, Sections 7.2, 7.4, 7.6, 7.8.
• Thursday, September 21, 2023. Reserves (policy values): Discrete and continuous models, asset shares, profit. Textbook: DHW-AM, Sections 7.2, 7.4, 7.6, 7.8.
• Tuesday, September 26, 2023. Multiple lives models. Class taught by Ken Williams. Textbook: DHW-AM, Chapter 10.
• Thursday, September 28, 2023. Multiple lives models. Class taught by Ken Williams. Textbook: DHW-AM, Chapter 10.
• Tuesday, October 3, 2023. Multiple lives models. Class taught by Ken Williams. Textbook: DHW-AM, Chapter 10.
• Thursday, October 5, 2023. Multiple lives models. Class taught by Ken Williams. Textbook: DHW-AM, Chapter 10.
• Tuesday, October 10, 2023. Multiple decrements models. Textbook: DHW-AM, Chapter 9.
• Thursday, October 12, 2023. Multiple decrements models. Textbook: DHW-AM, Chapter 9.
• Tuesday, October 17, 2023. Profit testing. Textbook: Textbook: DHW-AM, Chapter 13 (except section 8).
• Thursday, October 19, 2023. Profit testing. Textbook: Textbook: DHW-AM, Chapter 13 (except section 8).
• Tuesday, October 24, 2023. Universal life insurance. Textbook: DHW-AM, Chapter 14.
• Thursday, October 26, 2023. Universal life insurance. Textbook: DHW-AM, Chapter 14.
• Tuesday, October 31, 2023. Test No. 1, on the material covered through October 26, 2023.
• Thursday, November 2, 2023. Pension mathematics. Textbook: DHW-AM, Chapter 11.
• Tuesday, November 7, 2023. Pension mathematics. Textbook: DHW-AM, Chapter 11. 
• Thursday, November 9, 2023. Equity-linked insurance. Textbook: DHW-AM, Chapter 15 (sections 1-3).
• Tuesday, November 14, 2023. Equity-linked insurance. Textbook: DHW-AM, Chapter 15 (sections 1-3).
• Thursday, November 16. 2023. Options embedded in life insurance and annuity products. Textbook: DHW-AM, Chapter 17.
• Tuesday, November 28, 2023. Options embedded in life insurance and annuity products. Textbook: DHW-AM, Chapter 17 and H-VAG.
• Thursday, November 30, 2023. Options embedded in life insurance and annuity products. Textbook: H-VAG.
• Tuesday, December 5, 2023.  Test No. 2, comprehensive. Any of the last three tests can count as your final examination for ISU grading. This test does not count towards UEC grading.
• Thursday, December 7, 2023. Test No. 3, comprehensive. Any of the last three tests can count as your final examination or ISU grading.
• Monday, December 11, 2023, 10:00 a.m. – 12:00 noon. Test No. 4, comprehensive. This is the only final examination allowed for UEC grading and it will count as 50% for your UEC grade.

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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.