MATH – 193a,b. Actuarial Mathematics

Winter-Spring, 2010

WLH-2114, TuTh, 5:00-6:20.

NEWS HOMEWORK HANDOUTS

Instructor: Professor Vladimir Rotar; office: APM-7414, phone: 534 2648, e-mail: vrotar@math.ucsd.edu.

Office hours: TuTh, 4:05-4:50, 6:30-7:00. If it is needed, office hours may be extended. Regarding the 6:30-7:00 office hour, students are required to notify the instructor after the lecture that they are going to come — otherwise the office hours may be cancelled.

Text: Actuarial Models: The Mathematics of Insurance, by V.I.Rotar, Chapman & Hall / CRC, 2006.

Examinations: There will be several quizzes, and a final exam. Homework will be assigned almost each week and posted in this site.

SYLLABUS

The list below is rather one of topics than of lectures: the real experience may dictate a slower or faster pace. A slight change of the order of exposition, and even of the contents, is also possible.

Lectures - Topics - Sections in the text-book .

193a.

1-3. Risk Measures. Ch.1. 1.1, 1.2.1-3, 3.1-3, 5.1.

4-6. Individual risk models for a short term. Ch.2. 1.1-3, 2.1-2, 2.2, 3.1.1.

7-12. Collective risk models for a short term. Ch.4. 2.1.1, 3.1-2.

12-20. Collective risk models over an extended period: insurance processes in time. Ruin probability. The first surplus. Ch.5. 2.1-2, 3. Ch.7. 2.1, 2.2, 2.4.1-2.

193b.

1-3. Survival distributions and Life Tables. Ch.8. 1.1-6.

4-5. Life insurance. Ch. 9. 1-2, 3.1

6-9. Life Annuities. Cр.10. 1-4.

10-13. Premiums. Ch.11. 2.1-2, 2.4.2.

14-20. Reinsurance. Ch.12. 1.1-2. (If we have enough time.)