MA (ST) 413 Short-Term Actuarial Models
Fall, 2010          T, Th 3:00pm-4:15pm               SAS 2225
http://www4.ncsu.edu/~tpang/MA413/MA413.html

1. Instructor:             Tao Pang                     Office:             SAS Hall 4116
    Telephone:             513-2110                      Email:              tpang@ncsu.edu
   Office hours:          Tuesday, 9:30am-11:30am or by appointment.

2. Prerequisites:

MA 421 or equivalent is preferred but not required. However, the student should be familiar with basic probability concepts and distributions. Knowledge of long-term models as developed in MA 412—Long-Term Actuarial Models is not assumed.

3. Textbooks:

-   Loss Models: From Data to Models (3rd Edition) by Klugman, Panjer and Willmot, required.

-   Actuarial Mathematics by Bowers, Gerber, Hickman, Jones and Nesbitt, 2nd Ed. /1997, optional.

4. Course Objectives:

This course introduces students to risk management systems by developing some short-term probability models for potential losses. Short-term probability models are appropriate for most traditional property, liability, health and group insurance systems. 

5. Outline of Course:
            Characterizing frequency distributions and loss distributions: Characterize distributions in terms of their parameters and moments; techniques for creating new families of distributions; applications for which these distributions are used.
            Frequency and severity with coverage modifications: Deductible, policy limits and coinsurances and their impacts on loss and frequency distributions.

            Aggregate loss models: Probability distribution of an aggregate loss modeled as the sum of a random number of individual losses; compound distributions and their properties; tabulating a distribution by exact and approximate methods; applications; individual risk models.
            Discrete time ruin models: Discrete-time Poisson surplus processes; analyzing the probability of ruin; characteristics of the distribution of the amount of surplus.

7. Grade Policy

-   Homework: 15%

·         Late homeworks should be avoided. It may only get a half credit at most.

-   Midterm Exams: 45%

·         Two in-class 75-minute midterm exams will be given on September 23rd, Thursday and November 4th, Thursday. Dates are tentative.

·         Each exam will cover the topics studied in classes before the exam and after the last exam, if any.

·         No make-up exams for midterm exams.

-   Final Exam: 40%

·         Exam time: December 14th, Tuesday, 1:00pm-4:00pm.

·         It will cover the work of the entire semester.

·         No make-up exam for final exam. 

8. Attendance Policy
The attendance policy is consistent with the Academic Regulations which can be found at http://www.ncsu.edu/policies/academic_affairs/courses_undergrad/REG02.20.3.php

9. Academic Integrity
Plagiarism and cheating are attacks on the very foundation of academic life, and cannot be tolerated within universities. Section eight (8) of the Code defines academic dishonesty and provides information on potential sanctions for violators of academic integrity. The NCSU Academic Integrity statement can be found at http://www.ncsu.edu/policies/student_services/student_discipline/POL11.35.1.php

10. Disability Services for Students
Students with a disability must contact the NCSU Disability Services.
Additional information: http://www.ncsu.edu/equal_op/dss/.