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ACT452 Loss Models II, Winter 2012
Course Information


Lecture Notes
Sections 1-2 Sections 3,5 Section 4 Sections 6, 7

Practice Problems:
Jan 12
Problem Set 1: 1-3, 5-9; Problem Set 2: 1-3, 5-12
Jan 23
Problem Set 3: 1-3, 5-10; Problem Set 5: 1-8
Jan 25
Problem Set 4: 1-6
Feb 6
Problem Set 6: 1-5, 7-32; Problem Set 7: all the questions.
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ACT466 Credibility and Simulation, Winter 2012
Course Information

Section 1 Sections 2-3 Sections 4, 5

Practice Problems:
Jan 12
Problem Set 1: 1-7, 9-14
Jan 20
Problem Set 1: 15-22; Problem Set 2: 3-14; Problem Set 3: 2-6, 8-26
Feb 9
Problem Set 4: all questions; Problem Set 5: all questions
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ACT348 Intermediate Life Contingencies, Fall 2010

Dear Students:
Your final exam mark and unofficial final grade have been posted on the Blackboard. If you have any question, please send me an email from your UTOR account.
Thank you for taking this course from me. Wish you a very happy holiday season and I hope to see you again in January 2012 if not earlier.
Professor Lin


Course Announcement
ACT470 will be offered in January 2011. Prereq is ACT348 and coreq is ACT455.


Lecture Notes (posted every Thursday)
Sections 2-8 Sections 9-13 Sections 14-17 Sections 18-19 Sections 20-23
Section 24 Section 25 Section 26 Sections 27-28

Practice Problems:
Sept 21
Problem Set 2: 2, 6, 15, 22, 36; Problem Set 3: 3, 4, 16, 19, 24, 29
Sept 29
Problem Set 4: 2-22, 24-30
Oct 7
Section 19 Exercises: 1; Problem Set 4: 23; Problem Set 5: 1, 3-5, 10, 11, 14
Oct 13
Problem Set 5: 2, 12, 15, 16, 17, 18, 19, 22, 23, 29, 31, 33, 34, 35.
Nov 3
Problem Set 5: 6, 7, 9, 20, 21, 24, 25, 26, 27, 28, 30, 32
Illustrated Life Table
Nov 10
Page 306, Exercise 1. Problem Set 5: 8. Nov 24
Section 25 Exercises 1 and 2; Section 26 Exercises 1-3;
Problem Set 6: 1-4, 7, 8, 14, 15, 21, 23, 26, 27, 28, 30, 31, 32, 33, 37, 38
Dec 7
Problem Set 6: 5, 6, 9-13, 16-19, 22, 24, 36


Midterm Test Solution
The marks have been posted on the Blackboard course page. Please note that the maximum mark is 45.

Final Exam: 2-4pm, Dec 15, SEEL.
The final exam will cover sections 18-28. It has 4 written-answer questions each of which has multiple parts (15 of them altogether). You need to bring a SOA-approved calculator to the exam.
Office hours for the final exam: 10-12, 2-4:30, Tuesday Dec 14; 10-12, Wednesday, Dec 15.
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ACT452 Loss Models II, Winter 2010

Midterm Test:
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).
Final Exam: Wednesday, April 7, 9-11am, NF003. New office hours: April 6, 10-12, 2-4:30.
The final exam will cover Sections 3-13, 15. This 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:
Jan 15, 2010 Problem Set 1: 1-3, 5-9
Problem Set 2: 1-5
Jan 21, 2010 Problem Set 3: 1-10
Problem Set 5: 1-12
Jan 26, 2010 Problem Set 4: 1-9
Feb 10, 2010 Problem Set 6: 1-5, 7-31
Problem Set 7: 1-24
Feb 22, 2010 Problem Set 8: 1-22, 24-31
March 4, 2010 Problem Set 9: 1-13, 15-20, 22-27; Problem Set 10: 1-12; Problem Set 11: 1-9; Problem Set 12: 1-17
March 15, 2010 Problem Set 13: `Questions 3 and 4" should be `Questions 2 and 3'. 2-11, 13-18
March 26, 2010 Problem Set 14: 1, 4-6; Problem Set 15: all

ACT466 Credibility and Simulation, Winter 2010

Midterm Test:
The test will cover Sections 1-5 and everything in the lectures up to Feb 23, inclusive. 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: Friday, April 16, 2-4pm, SEEL. New office hours: April 15, 10-12, 2-4:30.
The final exam will cover Credibility Sections 1-7, Simulation Section 1 and everything in the lectures except the acceptance-rejection method. This 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:
Jan 15, 2010 Problem Set 1: 1-7, 9-12, 14-22
Jan 26, 2010 Problem Set 2: 3-16
Problem Set 3: CR3-1, 2-6, 8-17, 19-21, 23-26
Feb 10, 2010 Problem Set 4: 1-3, 5-15, 18-30
Feb 23, 2010 Problem Set 5: 1-6, 8-28
March 4, 2010 Problem Set 6: 1-17
March 15, 2010 Problem Set 6: 19, 20, 22-36, 38, 39, 41-45, 47-51, 53
March 26, 2010 Problem Set 7: all
April 1, 2010 Simulation Problem Set 1: 1-5, 9-12, 15-19, 22, 24-29

ACT451/STA2500 Loss Models, Fall 2009
Your UNOFFICIAL final grade is now available. Email me (sheldon@utstat.utoronto.ca) Between Dec 21 and 25 with your name and student number from your UT ACCOUNT and I will email back your grade along with midterm and final exam marks. Please do not use any free email servces (gmail, hotmail, yahoo mail etc.) and their forwarding service.

Lecture Notes

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
Problem Set 14: 1-13
Problem Set 15: 1, 3-5
Nov 19, 2009
Problem Set 16: 1-3, 5-10, 12, 13, 17, 19-21, 23-25
Nov 26, 2009
Problem Set 17: 1, 4-7, 9-13, 15-17, 19-22, 24-26, 28-33, 36-39, 41
Dec 3, 2009
Problem Set 17: 8, 40
Problem Set 18: 2, 3(ii), 4(ii, iii), 5, 7-20
Problem Set 19: 2, 3, 6-9, 10, 14, 19, 20, 21
Problem Set 20: 1-4, 6, 7, 10

Midterm Test:

Final Exam: 2-4pm, Friday December 11, 2009.
Location: EX300, Examination Facility, 255 McCaul Street.
The exam will cover Sections 5-21 except subsections 8.3, 9.3, 18.3, 19.3 and 19.4. VaR and TVaR(CTE) in Section 21 will be part of the exam as they were discussed in Section 6. Again, this 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.
Office Hours for the exam: Wed Dec 9: 10-12, 2-4:30; Thur Dec 10: 10-12, 2-4:30.

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

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
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
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

ACT349 Topics in Actuarial Science: Corporate Finance 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