## STAT 470, Section 0101, Spring 2015 (Harland Glaz)

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 MATH 240 and MATH 241 (or MATH 340 and MATH 341). (Strongly) Recommended: STAT400 or equivalent background in Preobability and Statistics.
TEXTBOOK (required): ACTUARIAL MATHEMATICS AND LIFE--TABLE STATISTICS, Eric V. Slud

TEXTBOOK (required): ACTUARIAL MATHEMATICS FOR LIFE CONTINGENT RISKS
David C. M. Dickson, Mary R. Hardy, and Howard R. Waters, 2013, 2nd edition
Cambridge University Press web site description

REFERENCES:

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.
ACTEX Publications Description

THEORY OF INTEREST AND LIFE CONTINGENCIES WITH PENSION APPLICATIONS:
A PROBLEM-SOLVING APPROACH SOLUTIONS MANUAL,
3rd Edition, Richard L. London, ACTEX Publications, xxx, ISBN 978-156698-348-8.
LIFE INSURANCE MATHEMATICS, 3rd edition, Hans U. Gerber
Springer-Verlag web site description

FUNDAMENTALS OF ACTUARIAL MATHEMATICS, 2nd edition, S. David Promislow
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 LC for the CAS exams);
click on 'Actuarial Exams' for detailed information. The content of Exam C (SOA) overlaps with the textbook Appendix.
In particular, SOA Home Page for Exam MLC (Mathematics of Life Contingencies).
SYLLABUS: We will cover most of Chapters 1 -- 4 of the textbook (by E. Slud), roughly in order;
a few topics will be omitted and announced in due course.
Chapters 1 -- 5 of Dickson et al correspond (roughly).
Below, (*) - Dickson et al is the primary reference.

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. (*) Policy Value Calculations.
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

RESOURCES:
• The ELMS/CANVAS site will contain this syllabus, the textbook, HW assignments (and solutions),
Midterm Exams (and solutions); also, any other reading or similar material will be posted there.
• The class EMAIL REFLECTOR will be used frequently; it is an IMPORTANT responsibility
for each student to insure that the e-mail address listed on Testudo
(from which the reflector is constructed) is updated to one that you read daily.

SOFTWARE:
• MATLAB will be used; code templates will be provided
• EXCEL output will not be accepted or graded
• R, MATHEMATICA can be used in lieu of MATLAB, provided source code is included

• Homework and Quizzes - 20%
• 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, February 26
• Midterm #2 - Thursday, April 02
• -------------------------------
• Takehome Midterm Exam - TBA
• -------------------------------
• Midterm #3 - Tuesday, TBA
• ------------------------------
• LAST CLASS - Tuesday, May 12
• FINAL EXAM - Monday, May 18 ; 10:30 -- 12:30

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