Acsc/Stat 4703 - Actuarial Models II, Fall, 2025




  • Textbook: Loss Models: From Data to Decisions (Fifth Edition) by S. A. Klugman, H. J. Panjer and G. E. Wilmot, Wiley.

    Additional reading materials:

  • Outstanding Claims Reserves, 2022, Hardy, M.R.

  • Chapter 5 of Quantitative Enterprise Risk Management, 2022, by Hardy, M.R. and Saunders


    • The plan is to cover as much of the material as possible from the syllabus of the 2025 short term actuarial mathematics exam, located here. and some relevant material from the syllabus for the fundamentals of actuarial mathematics exam, located here.

    partial solutions

    Given coverage of Stat3460 and Acsc3703, this means that in Acsc/Stat4703, we will try to complete relevant material from(although not necessarily in the order indicated):
    i) Klugman et al. sections 7.1, 7.2, 9.3.1,9.3.2,9.4 (Theorem 9.7 & Example 9.9 only), 9.5,9.6,9.7, chapter 11 (large sample distribution of the maximum likelihood estimator), 12.4 (maximum likelihood estimation for the (a,b,1) class of discrete distributions), 13 (Bayesian statistics, relevant material not covered in Stat3460), Chapter 15 (Model selection), Chapter 17 (Greatest accuracy credibility), Chapter 18 (Empirical Bayes estimation).
    ii) Chapter 5 of Quantitative Enterprise Risk Management (this will be covered after material in Chapters 7 and 9 of Klugman et al.
    iii) Outstanding Claims Reserves (excluding appendix)
    iv) Introduction to Ratemaking and Loss Reserving (sections 4.8, 5.3, 5.4).


    Notes: notes on empirical Bayes.

    ASSIGNMENTS
    Assignment 1: (Due Thursday, October 9). From Klugman et al, problems 9.3, 9.9, 9.11, 9.13, 9.28, 9.44, 9.53, 9.57, 7.2, 7.4 Assignment 2: (Due Thursday, October 30). From Klugman et al, problem 9.63. From Chapter 5 of Quantitative Enterprise Risk Management - problems 5.3, 5.5 and 5.12.