ACTSC 600s


ACTSC 690 Literature & Research Studies (0.50) RDGCourse ID: 009455
Instructor Consent Required

ACTSC 800s


ACTSC 831 Loss Models 1 (0.50) LEC,TUTCourse ID: 000071
Models for loss severity: parametric models, effect of policy modifications; tail behabiour. Models for loss frequency: (a,b,0), (a,b,1), mixed Poisson models; compound Poisson models. Aggregate claims models: moments and moment generating function: recursion. Classical ruin theory.
Antirequisite: ACTSC 431

ACTSC 832 Loss Models 2 (0.50) LECCourse ID: 000072
Credibility theory: limited fluctuation; Bayesian; Buhlmann; Buhlmann-Straub; empirical Bayes parameter estimation statistical inference for loss models; maximum likelihood estimation; effect of policy modifications; model selection.
Antirequisite: ACTSC 432

ACTSC 833 Analysis of Mortality Data (0.50) LECCourse ID: 000073
The Mathematics of Survival Models, some examples of parametric survival models. Tabular survival models, estimates from complete and incomplete data samples. Parametric survival models, determining the optimal parameters. Maximum likelihood estimators, derivation and properties. Product limit estimators, Kaplan-Meier and Nelson Aalen. Practical aspects.
Antirequisite: ACTSC 433

ACTSC 835 Introduction to Demographic Statistics (0.50) LECCourse ID: 000074
Topics in demography with emphasis on population projections, mortality theories and construction of life tables.
Antirequisite: ACTSC 435

ACTSC 845 Asset-Liability Management (0.50) LEC,TUTCourse ID: 010064
Duration analysis and immunization. Portfolio selection. Interest rate derivative securities and their applications in asset-liability management. Stochastic investment modelling for actuarial applications.
Antirequisite: ACSTC 445

ACTSC 846 Mathematical Models in Finance (0.50) LEC,TUTCourse ID: 011270
(Cross-listed with STAT 846)
Mathematical techniques used to price and hedge derivative securities in modern finance. Modelling, analysis and computations for financial derivative products, including exotic options and swaps in all asset classes. Applications of erivatives in practice.
Antirequisite: STAT 446; ACTSC 446

ACTSC 851 Selection of Risks (0.50) LECCourse ID: 000075
The effects of medical and non-medical risk factors on bodily systems are explored to determine the amount and incidence of additional morbidity and mortality. Techniques for expressing the increased risk in premiums are investigated.
Antirequisite: ACTSC 451

ACTSC 853 Basic Pension Mathematics (0.50) LECCourse ID: 000076
Theory and practice of pension plan funding. Assumptions, basic actuarial functions and population theory applied to private pensions. Concepts of normal costs, supplemental liability, unfunded liability arising from individual accrued benefit and projected benefit cost methods.
Antirequisite: ACTSC 453

ACTSC 854 Funding of Pension Plans (0.50) LECCourse ID: 000077
Group and other generalized cost methods for pension plans. Effects of early retirement, plan design and actuarial assumptions on pension costs. Cost forecasts applied to private and public pension plans.

ACTSC 855 Analysis of Financial Statements (0.50) LECCourse ID: 000078
Topics in insurance financial reporting including amortization of gains, the Canadian method of actuarial reserves, investment and currency reserves, and the analysis of gains and losses.

ACTSC 856 Taxation of Life Insurance (0.50) LECCourse ID: 010149
Taxation of life insurance, insurance companies and employee benefits.

ACTSC 858 Insurance Law (0.50) LECCourse ID: 000079
Topics in Canadian and American insurance law.
Antirequisite: ACTSC 458

ACTSC 859 Group Life and Health Insurance (0.50) LECCourse ID: 010548
A survey of coverages, Crown Programmes, legal requirements and rationale. Gross premium calculations. Reserving methods. Introduction to managed care.
Antirequisite: ACTSC 459

ACTSC 862 Casualty Insurance (0.50) LECCourse ID: 011273
Individual risk rating. Risk classification in property/casualty insurance. Reinsurance. Expense issues. Reserving for insurance and loss adjustment expenses. Investment income.
Antirequisite: ACTSC 462

ACTSC 900s


ACTSC 936 Longitudinal Data Analysis (0.50) LECCourse ID: 013085
This course is designed to teach students the appropriate techniques for analyzing data that is collected over time. This data could arise from biomedical, population public health studies as well as finance and actuarial science applications. The course will teach how to recognize the added complexity of longitudinal data versus the univariate response data which is typically seen in introductory and generalized linear model courses. The course emphasizes the importance of the covariance structure for longitudinal responses. The students will study the difference between subject-specific and population-averaged models and how to recognize problems where one or the other approach might be more appropriate. They will be expected to use statistical software in applications in order to analyze longitudinal data.
Prerequisite: STAT 431/831 and STAT 330

ACTSC 961 Mathematical Methods of Loss Reserving (0.50) LECCourse ID: 000082
Macro methods of runoff analysis: chain-ladder, least squares, separation, payment per claim incurred. Stochastic methods: Reid's method, see-saw, payment per unit of risk, autoregressive models, Kalman filter.

ACTSC 963 Ruin and Queuing Theory (0.50) LECCourse ID: 011274
Probabilistic aspects of various ruin theoretic models (which may also be viewed as queuing models) to describe the surplus process of a portfolio of business will be considered. The common underlying theme of these models involves compound geometric distributions and their many and varied properties. The results may often be applied with little modification ot equilibrium waiting time distributions in various single server queues.

ACTSC 964 Insurance Solvency (0.50) LECCourse ID: 011275
This course explores the ways that insurers and regulators in different countries try to monitor and control solvency. In particular we consider the efficacy of different regimes, as well as the effect on product design and pricing. Companies may use different methods to assess their own insolvency risk. We will consider how internal assessment of solvency may differ from the regulator's assessment, and we will look at how insurers try to manage the insolvency risk using asset-liability modelling and financial risk management. Solvency assessment may take a whole company perspective, or may be considered by individual product portfolios and both approaches will be discussed. A substantial element of the course will be a review of some of the recent research in this area. Although the emphasis will be on life insurance, we will also look at the methods and problems associated with non life business.

ACTSC 965 Extreme Value Theory (0.50) LECCourse ID: 011276
Ruin Theory for heavy-tailed distributions. Fluctuation of maxima and upper order statistics. Extreme value distributions: Weibull, Frechet, Gumbel and generalized Pareto. Mean excess function. Statistical methods for external events. Estimation of parameters of extreme value and excess distributions. Applications in finance and insurance.

ACTSC 966 Aggregate Claims Models (0.50) LECCourse ID: 011686
Mixed Poisson and nonhomogeneous birth processes for claim counts; analytic, recursive, asymptotic and approximate evaluation of compound distributions for aggregate claims; reliability concepts and analysis of stop-loss moments; applications for inflation, incurred but not reported claims, and infinite server queues.
Prerequisite: ACTS431/ACTS831

ACTSC 970 Finance 1 (0.50) LECCourse ID: 000044
(Cross-listed with ACC 770)
Current paradigms in the theory of finance and the supporting empirical evidence.

ACTSC 971 Finance 2 (0.50) LECCourse ID: 000045
(Cross-listed with ACC 771)
This course deals with stochastic interest rate models in both discrete time and continuous time. It also covers the theory and practice of instruments such as options, futures, derivative securities and other complex financial instruments.

ACTSC 972 Finance 3 (0.50) LECCourse ID: 000046
(Cross-listed with ACC 772)
This course covers topics in the pricing and valuation of derivative securities. It focuses on the underlying theoretical models and examines applications to contemporary finance problems.

ACTSC 973 Portfolio Optimization (0.50) LECCourse ID: 011622
(Cross-listed with CO 778)
Basic optimization: quadratic minimization subject to leanear equality constraints. Effecient portfolios: the efficient frontier, the capital market line, Sharpe ratios and threshold returns. Practical portfolio optimization: short sales restrictions target portfolios, transactions costs. Quadratic programming theory. Special purpose quadratic programming algorithms for portfolio optimization: today's large investment firms expect to solve problems with at least 1000 assets, transactions costs and various side constraints in just a few minutes of computation time. This requires very specialized QP algorithms. An overview of such algorithms will be presented with computational results from commercial problems. The efficient frontier, the capital market line, Sharpe ratios and threshold returns in practice.

ACTSC 980 Social Insurance (0.50) LECCourse ID: 000083
Review of the history and present status of the major Canadian Social Insurance systems such as CPP, Medicare, UIC and OAS. Possible future developments. Costing problems and trends. Financing, past, present and future.

ACTSC 991 Topics in Actuarial Science (0.50) LECCourse ID: 000085
Instructor Consent Required
1 Finance 1
2 Finance 3
3 Aggregate Claims Models
4 Enterprise Risk Management
5 Comptatnl Method in Ruin Thry
6 Surplus Processes Ruin Theory
7 Credit Derivative Securities
8 Stoch Modelling Insurance&Fin
9 Dependence in ruin theory
10 Stoch Modelling Insurance&Fin

ACTSC 992 Seminar in Actuarial Science (0.50) SEMCourse ID: 000093
Instructor Consent Required