STAT 470, Section 0101 (Harland Glaz)

STAT 470, Section 0101, Spring 2011 (Harland Glaz)

EXAM DATES are posted below

(03/17) See the ELMS / Blackboard Course site!

HW, Quizzes, and Solutions are posted there

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!!!! List with dates is below !!!!

BASIC INFORMATION:

STAT 470-0101
Course Title: Actuarial Mathematics
Instructor: Prof. Harland Glaz
Instructor Info: MTH 4405 ; 301.405.5470
Instructor Email: hmg AT math DOT umd DOT edu
Classroom/Time: TuTh 2:00-3:15 ;MTH B0421

GENERAL DESCRIPTION:The official Math Dept. course description is here - STAT 470 SYLLABUS

Prerequisites: Calculus through MATH240 and MATH241. Recommended: STAT400.

TEXTBOOK (required): Actuarial Mathematics and Life--Table Statistics, Eric V. Slud
Download from our ELMS/Blackboard Course page:

www.elms.umd.edu .

TEXTBOOK (very strongly recommendeded): THEORY OF INTEREST and LIFE CONTINGENCIES with Pension Applications:
A Problem-Solving Approach, 3rd edition, Michael M. Parmenter, ACTEX Publications, 1999, ISBN 978-156698-333-9.
Theory of Interest and Life Contingencies with Pension Applications: A Problem-Solving Approach Solutions Manual,
3rd Edition, Michael M. Parmenter, ACTEX Publications, xxx, ISBN 978-156698-348-8.

REFERENCES:

ACTUARIAL MATHEMATICS FOR LIFE CONTINGENT RISKS, David C. M. Dickson, Mary R. Hardy, and Howard R. Waters, 2009
Cambridge University Press web site description

LIFE INSURANCE MATHEMATICS, 3rd edition, Hans U. Gerber
Springer-Verlag web site description

FUNDAMENTALS OF ACTUARIAL MATHEMATICS, S. David Promislow
Wiley web site description
OR the NEW 2nd Edition, 2011:
Wiley web site description

ONLINE REFERENCES:
Be An Actuary -- www.bean.org
where, for example, you can find sample questions/answers to prepare for the sequence of preliminary examinations.
The exams closest to STAT 470 in content are EXAM FM and EXAM MLC (or EXAM 3L); click on 'Actuarial Exams' for detailed information.
See also Society of Actuaries home page.

SYLLABUS: We will cover the entire textbook (by E. Slud), roughly in order. A few topics will be omitted and announced in due course.
Below, (*) - topics will require, in part, extra notes.

DETAILED LIST OF TOPICS:

Theory of Interest. Discount. Internal Rate of Return (IRR).
Life Table Statistics. Brief Intro./Review of Probability, esp.
Conditional Probability, Expectation, and Conditional Expectation
Annuities/Actuarial Notation. Mortgages, Bonds.
Force of Mortality. Model Survival Functions. Gompertz-Makeham
Binomial RV's and Law of Large Numbers. Relation between life-
tables and survival functions. More on E(g(T)) and E(g([T]);
Expectation (and Curtate Expectation) of Life
Interpolation between integer ages.
Chapter 4: Life Annuity, Insurance Contracts. Detailed Analysis
(*) Net Level Premiums. Reserves.

MORE TOPICS, TIME PERMITTING

(*) Multiple Decrement and Multiple Life Policies
(*) Applications to Pensions ; Pension Mathematics
Textbook, Appendix A: Duration Data Structures and Cohort Life Tables

COURSE GRADE:

Homework - 15%
Quizzes - 5%
Three (in-class) MIDTERM EXAMS - 40%
Take-home MIDTERM EXAM (near the end of the semester) - 15%
FINAL EXAM - 25%

EXAM SCHEDULE:

Midterm #1 - Thursday, March 01
Midterm #2 - Thursday, April 05
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Takehome Midterm Exam - Handed out on or before Thursday, April 26
Takehome Midterm Exam - DUE Thursday, May 03
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Midterm #3 - Tuesday, May 08
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LAST CLASS - Thursday, May 10
FINAL EXAM - Wednesday May 16 ; 10:30 -- 12:30

TESTBANK (the Math Department's online archive of past exams)

ACADEMIC INTEGRITY: Please see
Student Honor Code In particular,

HW papers are to be written by you, in your in own words and using your own calculations. However, you MAY discuss the problems in small groups.
No discussion/collaboration, of any kind, with anyone (except me) is allowed on the Take-Home Midterm Exam.

HOMEWORK:

HW1 - Due Thursday, February 09
HW2 - Due Thursday, February 23
HW3 - Due Thursday, February 28
HW4 - Due Thursday, March 15
HW5 - Due Thursday, March 29

QUIZZES:

Quiz 1 (in-class) Thursday, February 09
Quiz 2 (in-class) Tuesday , February 21
Quiz 3 (in-class) Thursday, March 08
Quiz 4 (in-class) Thursday, March 29

Home page of Harland Glaz