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A
study of the stochastic aspects of risk with emphasis on insurance
applications. Topics include an introduction to utility theory, individual
and collective risk theory, compound Poisson processes, ruin theory,
non-proportional reinsurance.
This course is intended mainly for students contemplating a career in
the actuarial profession. It will cover a portion of the material on the
new Exam 3 in Actuarial Models, including the topics of Frequency and
Severity Models, Compound Distribution Models, and Ruin Models.
The text will probably be N.L. Bowers et al., Actuarial
Mathematics (Society of Actuaries).
The final grade is likely to be based on assignments (20%), two tests (20%
each), and a final exam (40%).
Prerequisite:AS/SC/AK/MATH 2030 3.0;
AS/SC/MATH 3280 6.0 is recommended but not required.
Coordinator: D. Salopek
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