To students who want to take ACT452 and/or ACT466 in Winter 2010

The classes during the week of January 4 and the week of February 1 will be cancelled. As a result, the first class of ACT452 will start on Jan 11 and the first class of ACT466 will start on Jan 12. In order to make up the lost classes, the classes of ACT452 on January 11, 18, 25 and Feb 8, 22 will be 2 hours from 2-4pm. Similarly, the classes of ACT466 on January 12, 19, 26 and Feb 9, 23 will be 2 hours from 10am-12pm. If you have a time conflict, please let me know.

ACT451/STA2500 Loss Models, Fall 2009

Course Information (updated on Sept 30)
Companies' Information Sessions

Lecture Notes
Sections 1-4 Sections 5 and 6 Sections 7, 8 and 9 Sections 10 and 11 Sections 12 and 13
Risk Measures

Practice Problems:
Sept 17, 2009
Problem Set 1: 3, 4, 14
Problem Set 2: 1-4, 6-8, 10, 11,12
Problem Set 3: 1-4, 6, 8, 10-13, 16, 17, 22, 23, 24, 26, 27
Problem Set 4: 1, 2, 4, 6-10
Problem Set 5: 1-12
Problem Set 6: 2, 3
Oct 8, 2009
Problem Set 7: 1-10
Problem Set 8: 3-6, 8-12, 14
Oct 15, 2009
Problem Set 9: 1-14
Oct 22, 2009
Problem Set 10: 1, 3-5
Problem Set 11: 1-6, 8-12, 15-17, 19, 21
Nov 5, 2009
Problem Set 12: 1-7, 9-11, 14-18
Problem Set 13: 1-6

Midterm Test: 10:10-11:40am, Thursday, October 29, 2009 (New Date!).
Location: EX300, Examination Facility, 255 McCaul Street. The building is at the southeast corner of College and McCaul, right behind the Health Sciences Building.
The test will cover Sections 5-11 (material in Sections 12 and 13 will not be tested), and VaR, CTE and mixtures of Erlang distributions. This is a close book test and only a non-programable calculator (a SOA approved calculator is recommended) is allowed (a programable calculator means TI-83 or similar). A list of selected distributions and their properties similar to Table for SOA Exam C will be provided.

Final Exam: 2-4pm, Friday December 11, 2009.
Location: EX300, Examination Facility, 255 McCaul Street.

ACT247 Introductory Life Contingencies, Winter 2008
Course Information
Your UNOFFICIAL final grade is now available. Email me (sheldon@utstat.utoronto.ca) with your name and student number from your UT ACCOUNT and I will email back your grade along with your term tests and final exam marks. Please do not use any free email servers (hotmail, yahoo mail etc.) and their forwarding service.

Lecture Notes
Weeks 1/2 Weeks 3/4/5 Weeks 6/7 Weeks 8/9 Weeks 9/10/11 Weeks 11/12/13

Practice Problems:
Jan 17, 2008
Do LC-5 throughout Sections 2 and 3
Section 2-Exercises: 1; Section 3-Exercises: 1, 2
Problem Set 1: 1, 3, 4, 5, 10, 20, 21, 33, 37, 40, 41, 42, 47
Jan 29, 2008
LC-5 throughout Sections 4-6; Section 4-Exercises: 1-3; Section 5-Exercises: 1-3; Section 6: LC-14, LC-16, Exercises 1-4
Problem Set 1: 2, 6, 7, 9, 11, 12, 14, 15, 18, 22, 23, 28-31, 34, 35, 38, 45, 51, 55, 56
Feb 7, 2008
LC-26, LC-28, the Exercise
Problem Set 1: 13, 16, 17, 19, 24-27, 32, 36, 44, 48, 49, 50, 53 ([31[ should be [31]), 57
Feb 29, 2008
Section 10-Exercises: 1-3; Section 11-Exercises: 1-5
Problem Set 2: 3, 5, 7-11, 17, 19, 20, 21, 30, 42, 43
March 11, 2008
LC-39,41,46,47,48,51,54, Section 12-Exercises: 1-3; Section 13-Exercises: 1-5
Problem Set 2: 1,2,4, 6, 13,15, 16, 18, 22-28, 31, 32, 34-44
March 31, 2008
Section 14-Exercises: 1, 2; LC-63; Section 15-Exercises: 1-3
Problem Set 3: 2, 3, 5, 7, 16, 19, 20, 22-24, 31-34, 36
April 8, 2008
Section 16: LC-66, Exercises: 1, 2; Section 17-Exercises: 4
Problem Set 3: 1, 4, 6, 10-15, 17, 18, 21, 26, 28, 29, 30, 37

TEST ONE Solutions
10:10-11am, Tuesday, February 12, 2008.
The test will cover Sections 2-8. There will be 5 written-answer questions two of which have three parts. This is a close book test and only a non-programable calculator (a SOA approved calculator is recommended) is allowed (a programable calculator means TI-83 or similar). No formula sheet will be given.

Test Two Solutions
10:05-11:10am, Tuesday, March 18, 2008. Location: WW111, Woodsworth College.
The test will cover Sections 9-13. The discrete increasing and decreasing insurances will be covered and you must memorize their symbols and definitions, in addition to other standard actuarial symbols. You should also review Sections 2-8 as many formulas there will be needed. There will be 5 written-answer questions three of which have 2 parts. This is a close book test and only a non-programable calculator (a SOA approved calculator is strongly recommended) is allowed (a programable calculator means TI-83 or similar). No formula sheet will be given except a normal table.

Final Exam: 9-11am, Monday April 28th, 2008. Location: BR200, Brennan Hall, St. Micheal College, 81 St. Mary Street.
The final exam will cover Sections 2-17, inclusive. There will be 15 questions and 50% will come from Sections 14-17. Insurances and annuities with m-thly payments will not be tested. Again, this is a close book exam and only a non-programable calculator (a SOA approved calculator is strongly recommended) is allowed. No formula sheet will be given except a normal table.
New office hours for the exam: April 24 and 25: 8:30-12, 2-4

ACT348 Intermediate Life Contingencies, Fall 2006
Course Information

ACT349 Topics in Actuarial Science: Corporate Finance Course Outline

ACT451/STA2500 Loss Models, Fall 2008
Course Information (the date of Test 1 has been changed)

Lecture Notes
TEST ONE Solutions
11:10-12:10pm, Tuesday, Oct 14, 2008; GB404, Galbraith Building.
The test will cover Sections 5-11 as well as the value at risk and the conditional tail expectation. This is a close book test and only a non-programable calculator (a SOA approved calculator is recommended) is allowed (a programable calculator means TI-83 or similar). A list of selected distributions and their properties similar to Table for SOA Exam C will be provided.

TEST TWO Solutions
11:10-12:20pm, Tuesday, Nov 11, 2008; GB304, Galbraith Building.
The test will cover Sections 10-17. Again, this is a close book test and only a non-programable calculator (a SOA approved calculator is recommended) is allowed (a programable calculator means TI-83 or similar). A list of selected distributions and their properties similar to Table for SOA Exam C will be provided.

Final Exam, 2-4pm, Thursday, Dec 11, 2008; West Hall, UC, 15 King's College Circle. The exam will cover Sections 5-20 and VaR and CTE. Again, this is a close book examand only a non-programable calculator (a SOA approved calculator is recommended) is allowed (a programable calculator means TI-83 or similar). A list of selected distributions and their properties similar to Table for SOA Exam C will be provided.
Office Hours for the exam: Tuesday Dec 9, 10-12, 2-4; Wed Dec 10, 10-12, 2-4; Thur Dec 11, 10-12.

Practice Problems:
September 11, 2008
Problem Set 2: 1, 3, 4,6-8, 10-12
Problem Set 3: 1, 3-6, 8, 10-12, 14, 16-18, 20, 22-26
Problem Set 4: 2, 4, 6, 8, 9, 10
September 17, 2008
Problem Set 5: 1-6,8-12
Problem Set 6: 1(using the harzard rate function instead), 2, 3(a,b)
September 25, 2008
Problem Set 7: 1-8
Problem Set 8: 1,3-6, 11, 12
Problem Set 9: 1-6, 8. Also try the combination of Exponential/Inverse Gamma and the combination of Inverse Exponential/Gamma.
October 2, 2008
Problem Set 10: 1, 3, 4(also compute the variance of Y^1 and W)
Problem Set 11: 1-5, 8-11, 12-13 (the questions implictly assume there are n losses), 14-19
October 9, 2008
Problem Set 12: 1-11
Problem Set 13: 1-5, LM-56
October 21, 2008
Problem Set 14: 1-13
Problem Set 15: 1-4
October 28, 2008
Problem Set 16: 1-3, 5, 8-13, 16, 17
October 30, 2008
Problem Set 17: 1-17, 19-23, 25,, 28, 29-33, 36, 37, 39, 40
Nov 13, 2008
Problem Set 18: 2, 3, 5, 7-9, 11-15, 16(ii), 17
Nov 27, 2008
Problem Set 19: 2-8, 11-14, Problems on individual risk models and compound Poisson approximation
Problem Set 20: 1-4, 6, 7

ACT452 Loss Models II, Winter 2009
Course Information There will be classes on April 6 and 8!!

Midterm test
2:10-4pm, Wednesday, Feb 25, 2009; GB405, Galbraith Building. The test will cover Sections 3-7. This is a close book test and only a non-programable calculator (a SOA approved calculator is recommended) is allowed (a programable calculator means TI-83 or similar). A list of selected distributions and their properties similar to Table for SOA Exam C will be provided.

Final Exam
9-11am, April 21. Location: NF003.
Office hours: Friday Apr 17, 10-12, 3-4; Monday April 20, 10-12, 2-4.
The exam will cover Sections 3-13, 15(except Schwartz Baysian Criterion) and 16. About 35% of the questions are from Sections 3-7 and 65% from the rest of the sections.
It is a close book exam and only a non-programable calculator (a SOA approved calculator is recommended) is allowed (a programable calculator means TI-83 or similar). A list of selected distributions and their properties similar to Table for SOA Exam C will be provided.

Lecture Notes
Practice Problems:
January 12, 2009
Problem Set 1: 1-5
Problem Set 2: 1-3, 6
January 15, 2009
Problem Set 3: 1-4, 6-8
Problem Set 5: 1-10
January 26, 2009
Problem Set 4: 1-3.
January 28, 2009
Problem Set 6: 1-4, 5(Geometric=Exponential), 6-7, 9-10, 11-12(note the change of notation), 13-23.
February 11, 2009
Problem Set 7: 1-7, 9-18, 20, 21, 22 solution for 21, 22.
February 23, 2009
Problem Set 8: 1-22.
March 11, 2009
Problem Set 9: 1-21.
Problem Set 10: 1-7.
Problem Set 11: 1-7
Problem Set 12: 1-14.
March 19, 2009
Problem Set 13: 1-9, 11-14.
April 1, 2009:
Problem Set 14: 2,3.
Problem Set 15: ME55, ME56, ME59, 1-7, 9-16, 18-22.
April 9, 2009:
Problem Set 16: 1-13.

ACT466/STA2505 Credibility Theory and Simulation Course Outline

STA2503/MMF1941 Stochastic Analysis for Finance Course Outline
Assignments: 1 2 3 4
There will be no assignment 5.
Solutions: 1 2 3 4
Final Examination
Your final grade will be calculated with the following formula:
Final grade= total marks of your assignments+ [(5/8) x Your final exam marks].
Since I will be out of country from Dec 13 to Dec 26,
the final grades will not be available until Dec 31.
I shall submit the grades to MMF/Stats Dept during the week of January 5.
Supplements:
Option pricing with the binomial model
Pages 122, 133
A brief review on selected topics