STAT 470, Section 0101, Spring 2015 (Harland Glaz)
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- 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
ACTUARIAL MATHEMATICS AND LIFE--TABLE STATISTICS, Eric V. Slud
Download from our ELMS/Canvas Course page:
UMD CANVAS SITE
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
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
Be An Actuary -- www.bean.org
where, for example, you can find
sample questions/answers to prepare for the sequence of preliminary
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.
Society of Actuaries home page.
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:
MORE TOPICS, TIME PERMITTING
- 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.
- (*) Multiple Decrement and Multiple Life Policies
- (*) Applications to Pensions ; Pension Mathematics
- Textbook, Appendix A: Duration Data Structures and Cohort Life
- 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
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.
- 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%
- 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)
Code of Academic Integrity
- 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.
Home page of Harland Glaz