ST306 Half Unit
Actuarial Mathematics (General)
This information is for the 2015/16 session.
Teacher responsible
Dr Angelos Dassios COL.6.14
Availability
This course is compulsory on the BSc in Actuarial Science. This course is available on the BSc in Business Mathematics and Statistics and BSc in Statistics with Finance. This course is available as an outside option to students on other programmes where regulations permit and to General Course students.
Pre-requisites
Students must have completed Probability, Distribution Theory and Inference (ST202) and Stochastic Processes (ST302).
Course content
An introduction to actuarial work in non-life insurance. Decision theory concepts: game theory, optimum strategies, decision functions, risk functions, the minimax criterion and the Bayes criterion. Loss distributions with and without limits and risk-sharing arrangements; suitable, moments and moment generating functions, the gamma, exponential, Pareto, generalised Pareto, normal, lognormal, Weibull, Burr and other distributions suitable for modelling individual and aggregate losses; statistical inference. Risk models involving frequency and severity distributions; the basic short-term contracts, moments, moment generating functions and other properties of compound distributions. Reinsurance treaties; proportional, excess of loss, stop-loss, deriving the distribution, moments, moment generating functions and other properties of the losses to the insurer and reinsurer under all the models above. Ruin theory for continuous and discrete models. Fundamental concepts of Bayesian statistics; Bayes theorem, prior distributions, posterior distributions, conjugate prior distributions, loss functions, Bayesian estimators. Credibility theory; Bayesian models. Experience rating models and applications. Claims reserving: run-off triangles. Monte-Carlo simulation and applications in insurance.
Teaching
20 hours of lectures and 10 hours of seminars in the MT.
There will be a reading week and a take home mock exam in week 6.
Formative coursework
Compulsory written answers to one set of problems. There will also be a mock exam during week 6.
Indicative reading
Notes are given out in the lectures. The Institute of Actuaries, Core reading Subject CT6.
For full details of the syllabus of CT6, see:
http://stats.lse.ac.uk/angelos/guides/2004_CT6.pdf.
Assessment
Exam (100%, duration: 3 hours) in the LT week 0.
Student performance results
(2012/13 - 2014/15 combined)
Classification | % of students |
---|---|
First | 51.8 |
2:1 | 20.9 |
2:2 | 14.1 |
Third | 9.4 |
Fail | 3.7 |
Key facts
Department: Statistics
Total students 2014/15: 55
Average class size 2014/15: 56
Capped 2014/15: No
Lecture capture used 2014/15: Yes (MT)
Value: Half Unit
PDAM skills
- Problem solving
- Application of numeracy skills
- Commercial awareness
- Specialist skills
Course survey results
(2012/13 - 2014/15 combined)
1 = "best" score, 5 = "worst" scoreThe scores below are average responses.
Response rate: 57%
Question |
Average | ||||||
---|---|---|---|---|---|---|---|
Reading list (Q2.1) |
2.8 | ||||||
Materials (Q2.3) |
2.5 | ||||||
Course satisfied (Q2.4) |
2.2 | ||||||
Lectures (Q2.5) |
2.2 | ||||||
Integration (Q2.6) |
2 | ||||||
Contact (Q2.7) |
2.2 | ||||||
Feedback (Q2.8) |
2.3 | ||||||
Recommend (Q2.9) |
|