Stat 446: Advanced Short-Term Actuarial Modeling

We will cover models for short-term insurance: coverage modifications, aggregate loss models, estimating and selecting parametric models, severity models and extreme value theory, credibility, ratemaking, and outstanding claims reserves. This course covers the material on SOA exam ASTAM.

Lecture Slides

Lecture 1 - Policy Modification
Lecture 2 - Aggregate Loss Models
Lecture 3 - Parametric Models: Estimation and Selection
Lecture 4 - Severity Models
Lecture 5 - Credibility
Lecture 6 - Ratemaking
Lecture 7 - Outstanding Claims Reserves

Homework

Assignment 1 - Policy Modification
Assignment 2 - Aggregate Loss Models
Assignment 3 - Parametric Models: Estimation and Selection
Assignment 4 - Severity Models
Assignment 5 - Credibility
Assignment 6 - Ratemaking
Assignment 7 - Outstanding Claims Reserves

Exams

Practice Midterm (Lectures 1-3): Problems - Solution
Practice Final: Problems - Solution

SOA Exam ASTAM

Exam Information
Syllabus
Notation
Past Exams and Solutions

Supplementary Material

Assignment Problems by Lecture (with additional practice problems)

Acknowledgements

Thanks to Tim Shi and Vytaras Brazauskas.