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© , Amazon.com, Inc. or its affiliates Prerequisite and degree relevance: Actuarial Foundations 329 or Mathematics 329F, and Mathematics 339U with a grade of at least C- in each. Please note that thorough knowledge of calculus, probability, interest theory, and Actuarial Contingent Payments I will be assumed. Text: David C. Dickson, Mary R. Hardy, and Howard R. Waters, Actuarial Mathematics for Life Contingent Risks, 2nd Edition (2013) Cambridge University Press, ISBN 9781107044074 Responsible party: Mark Maxwell August 2014 Description of the Course: M 339V = M 389V Actuarial Contingent Payments II. Topics covered include Policy Values, Multiple State Models, Pensions, Interest Rate Risk, and Emerging Costs for Traditional Life Insurance. This is an actuarial capstone course and students are expected to do some independent learning and improve verbal and written acumen. Three graded components of the course are 1) communication, 2) content, and 3) contribution to the class. This class carries the Independent Inquiry Flag. This class carries the Quantitative Reasoning flag. Meets with M389V, the corresponding graduate-course number. Offered every spring semester only. This is a 3-credit course. Topics: Chapter 7 Policy values 7.4 Policy values for policies with cash flows at 1mthly intervals 7.4.1 Recursions 7.4.2 Valuation between premium dates 7.5 Policy values with continuous cash flows 7.5.1 Thieles differential equation 7.5.2 Numerical solution of Thieles differential equation 7.6 Policy alterations 7.7 Retrospective policy values 7.7.1 Prospective and retrospective valuation 7.7.2 Defining the retrospective net premium policy value 7.8 Negative policy values 7.9 Deferred acquisition expenses and modified premium reserves 7.10 Notes and further reading 7.11 Exercises Chapter 8 Multiple state models 8.1 Summary 8.2 Examples of multiple state models 8.2.1 The alive–dead model 8.2.2 Term insurance with increased benefit on accidental death 8.2.3 The permanent disability model 8.2.4 The disability income insurance model 8.3 Assumptions and notation 8.4 Formulae for probabilities 8.4.1 Kolmogorovs forward equations 8.5 Numerical evaluation of probabilities 8.6 Premiums 8.7 Policy values and Thieles differential equation 8.7.1 The disability income insurance model 8.7.2 Thieles differential equation – the general case 8.8 Multiple decrement models 8.9 Multiple decrement tables 8.9.1 Fractional age assumptions for decrements 8.10 Constructing a multiple decrement table 8.10.1 Deriving independent rates from dependent rates 8.10.2 Deriving dependent rates from independent rates 8.11 Comments on multiple decrement notation 8.12 Transitions at exact ages 8.13 Markov multiple state models in discrete time 8.13.1 The Chapman–Kolmogorov equations 8.13.2 Transition matrices 8.14 Notes and further reading 8.15 Exercises Chapter 9 Joint life and last survivor benefits 9.1 Summary 9.2 Joint life and last survivor benefits 9.3 Joint life notation 9.4 Independent future lifetimes 9.5 A multiple state model for independent future lifetimes 9.6 A model with dependent future lifetimes 9.7 The common shock model 9.8 Notes and further reading 9.9 Exercises Chapter 10 Pension mathematics 10.1 Summary 10.2 Introduction 10.3 The salary scale function 10.4 Setting the DC contribution 10.5 The service table 10.6 Valuation of benefits 10.6.1 Final salary plans 10.6.2 Career average earnings plans 10.7 Funding the benefits Not covered on SOA exam MLC 10.8 Notes and further reading 10.9 Exercises Chapter 11 Yield curves and non-diversifiable risk 11.1 Summary 11.2 The yield curve 11.3 Valuation of insurances and life annuities 11.3.1 Replicating the cash flows of a traditional non-participating product 11.4 Diversifiable and non-diversifiable risk 11.4.1 Diversifiable mortality risk 11.4.2 Non-diversifiable risk 11.5 Monte Carlo simulation Not covered on SOA exam MLC 11.6 Notes and further reading 11.7 Exercises Chapter 12 Emerging costs for traditional life insurance 12.1 Summary 12.2 Introduction 12.3 Profit testing a term insurance policy 12.3.1 Time step 12.3.2 Profit test basis 12.3.3 Incorporating reserves 12.3.4 Profit signature 12.4 Profit testing principles 12.4.1 Assumptions 12.4.2 The profit vector 12.4.3 The profit signature 12.4.4 The net present value 12.4.5 Notes on the profit testing method 12.5 Profit measures 12.6 Using the profit test to calculate the premium 12.7 Using the profit test to calculate reserves 12.8 Profit testing for multiple state models 12.9 Notes 12.10 Exercises Chapter 13 Participating and Universal Life insurance 13.1 Summary 13.2 Introduction 13.3 Participating insurance 13.3.1 Introduction 13.3.2 Examples 13.3.3 Notes on profit distribution methods 13.4 Universal Life insurance 13.4.1 Introduction 13.4.2 Key design features 13.4.3 Projecting account values 13.4.4 Profit testing Universal Life policies 13.4.5 Universal Life Type B 13.4.6 Universal Life Type A 13.4.7 No-lapse guarantees 13.4.8 Comments on UL profit testing 13.5 Comparison of UL and whole life insurance policies 13.6 Notes and further reading 13.7 Exercises Calculators Any approved calculator can be used for this class (approved list: http:). You may use more than one calculator on this list. Actuarial Examinations In conjunction with M 339V, M 339U covers the content of SOA Exam MLC and CAS Exam LC. Topics covered: life insurance, survival models, life tables, insurance benefits, annuities, and premium calculation. See https: and http: for further details regarding these exams.
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