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ST338: Actuarial Models

Lecturer(s): Dr Panayiota Constantinou

This module is only available to students on four year degrees in the Department of Statistics (MMORSE and MMathStat.)

Prerequisite(s): ST334 Actuarial Methods, ST218/219 Mathematical Statistics A&B

Commitment: 3 lectures per week. This module runs in Term 2 and is weighted at 15 CATS.

Content:

  • Principles of actuarial modelling
  • Principles of stochastic processes
  • Markov chains and Markov processes
  • Survival models: lifetimes, curtate future lifetime, expected value and variance.
  • Estimation procedures for lifetime distributions: Kaplan–Meier estimate, Cox model
  • Multi-state Markov models.
  • Maximum likelihood estimators for transition intensities in multi-state models.
  • Binomial model of mortality.
  • Estimating mortality rates by age: exact methods, census approximations
  • Process of graduation.
  • Statistical tests for life tables.

Aims: To cover the syllabus for Institute of Actuaries exam CT4.

Objectives: At the end of the course, students will be familiar with calculations involving life tables and survival analysis.

Assessment: Two-hour examination (80%) and two one-hour class tests (10% each).

Deadline: Class Test 1: week 4 and Class Test 2: week 8.

Feedback: Feedback on class tests will be returned within 20 working days, following each test.


You may also wish to see:

ST338: Resources for Current Students (restricted access)