CFRM 500 Actuarial Models and Estimation

This course provides an introduction to the development and assessment of statistical models used in actuarial science. For each model, equal time will be given to theory, estimation, and the application to insurance and/or risk management problems. Subject areas to be covered include:

  • Survival, severity, frequency and aggregate models
  • Estimation theory/methods and goodness of fitness tests
  • Credibility methods including Bayes and empirical Bayes
  • Simulation

Upon successful completion of this course, students will be able to identify steps in actuarial modeling, comprehend the implicit assumptions in the chosen model(s), identify which assumptions are applicable in a given business context, and make necessary adjustments to the models, as required. 

Instructor: 
Kjell Konis
Textbooks: 
Klugman, S.A., Panjer, H.H., Willmot, G. (2012), Loss Models: From Data to Decisions, John Wiley & Sons, Hoboken, NJ
Software: 
R, and spreadsheet
Prerequisites: 
CFRM 461 Probability and Statistics for Computational Finance or equivalent, CFRM 462 Introduction to Computational Finance and Financial Econometrics or equivalent, CFRM 541 Investment Science or equivalent, and CFRM 544 Options and Derivatives or equivalent.
Credits: 
4