Actuarial Modeling - ACS 603
This course covers the following topics:
severity, frequency and Aggregate models,
impact of coverage provisions (deductibles,
limits, coinsurance) on severity, frequency
and aggregate models, risk measures (VaR,
TVar), construction of Empirical Models and
empirical using Kaplan Meier, Nelson Aalen
and Kernel Density estimators, construction
and selection of parametric models. It also
studies estimation using Maximum Likelihood,
Method of Moment, Percentile Matching and
Bayesian estimation as well as determination
of the acceptability of fitted models using
Chi-Square, Kolmogrov - Smirnov, Anderson-Darling, Likelihood Ratio test and Schwarz
Bayesian criterion. This course covers 60%
of SOA exam C (Construction and Evaluation
of Actuarial Models) and part of CT6 (Core
Technical: Statistical Methods) exam of the
Institute of Actuaries.