Mathematics 480, Spring 2006

Illinois State University Mathematics Department


Instructors
Mr. R. Dale Hall, FSA, MAAA, CFA
Chief Life & Annuity Actuary
COUNTRY Financial
1701 North Towanda Avenue
Bloomington, IL 61702-2000
Telephone: 309-821-6407, Fax: 309-820-5709
E-mail: dale.hall@countryfinancial.com
and
Dr. Krzysztof Ostaszewski, FSA, CFA, MAAA
Actuarial Program Director
Office: Stevenson Hall, room 313G
Telephone: 309-438-7226, Fax: 309-438-5866
E-mail: krzysio@ilstu.edu
Classes Meet
Tuesdays and Thursdays 4:00-5:50 p.m., in Stevenson Hall, room 310, with a ten minute break in the middle of the time period.
Office Hours
Tuesdays and Thursdays 3:00-3:50 p.m., held by Dr. Ostaszewski. Please ask for an appointment at other times.
Textbooks
Main textbooks:
Financial Risk Management for Pension Plans by Leslaw Gajek and Krzysztof Ostaszewski, Elsevier, 2004.
There will also be study notes provided online by Dr. Krzysztof Ostaszewski, as well as materials provided by Mr. Dale Hall. Study notes by Dr. Ostaszewski can be downloaded by clicking on links next to dates of classes.
Supplementary textbooks:
A Problem Solving Approach to Pension Funding and Valuation, (Second Edition), 1996, by Aitken, W.H., Actex Publications, ISBN 1-56698-200-6.
Actex Study Manual for the Society of Actuaries Course 5 examination, by Robert Brown and Keith Sharp. Actex Publications, ISBN: 1-56698-485-8.
Actuarial Aspects of Individual Life Insurance and Annuity Contracts, by Timothy F. Harris and Albert E. Easton, Actex Publications, ISBN 1-56698-346-0.
Introduction to Ratemaking and Loss Reserving for Property and Casualty Insurance, (Second Edition), 2001, by Brown, R.L., Chapters 1-5.
Group Insurance, (Third Edition), 2000, edited by Bluhm, Chapters 1, 5-10, 14-15, 19-21, 23, 30-31, and 36.
The books should be available at the ISU Bookstore. If not, please try Alamo II, Actex Publications, or The Actuarial Bookstore.
Objective
The objective of this class is to help you learn about applications of actuarial models in practice. The class will cover a major portion (the mathematical part) of the material tested on the Society of Actuaries Course 5 examination, but not all of it. The main emphasis of the class in the practical methodology of calculation of actuarial liabilities.
Grading
There will be four tests and a final examination. You can have a make-up test if you miss a test, but all make-ups will be new, original tests. Any make-up must be requested at least five days in advance of the proposed date for the make-up (not the date of the original test). The last day for any possible make-up request is April 30, 2006, the sixth day counting back from the last day of classes (May 5, 2006). Any make-up requests made after that date cannot be accommodated under any circumstances. A student who misses tests scheduled after April 30, 2006 and has a passing grade up to that date will receive a grade of Incomplete and will have to complete the class in the next term. If you request a make-up for a real reason, such as medical need, or a job interview, and provide a proof of such reason, your make-up will be of the same level of difficulty as the original test. If you request a make-up for a frivolous reason, such as scheduling your vacation travel, convenience, time to study for other classes (you know what classes you sign up at the beginning of the semester, thus you should plan accordingly, and you can do so, because this class is completely planned for you well in advance), the make-up test will be intentionally more difficult, and will be at least as difficult and unreasonable as the real actuarial examination. All regular tests will be only quantitative in nature and will only contain actuarial calculations. Frivolous make-ups will be written on any topic on the Society of Actuaries Course 5 examination, or pricing and reserving in general. The final will count as 40% of your grade, and the best two of the four tests will count as 30% of your grade each. The best of the last three comprehensive tests will count as the final examination in this calculation. The grading scale will be as follows: 90% or better -- A, 80% to 90% -- B, 70% to 80% -- C, 60% to 70% -- D, below 60% -- F. You will also receive up to 20% extra credit for the better of the your two worst tests, and 20% for class participation. Class participation may be expressed by making presentations of study notes readings for the Society of Actuaries Course 5 examination. Generally, a reading of length of 80 pages presented perfectly, will receive 20% extra credit. All presentations of readings must be scheduled at least five days in advance of the actual presentation.
Disability concerns
Any student needing a special accommodation for a documented disability should contact Disability Concerns at Fell Hall, Room 350.
Schedule of classes
  • Tuesday, January 17, 2006. Life insurance valuation.
  • Thursday, January 19, 2006. Life insurance valuation.
  • Tuesday, January 24, 2006. Life insurance valuation.
  • Thursday, January 26, 2006. Life annuity valuation.
  • Tuesday, January 31, 2006. Life annuity valuation.
  • Thursday, February 2, 2006. Cash flow testing.
  • Tuesday, February 7, 2006. Valuation of variable annuities and equity-indexed annuities.
  • Thursday, February 9, 2006. Review.
  • Tuesday, February 14, 2006. Pension funding and valuation. Class taught by Mr. Dale Hall.
  • Thursday, February 16, 2006. Pension funding and valuation. Class taught by Mr. Dale Hall.
  • Tuesday, February 21, 2006. Pension funding and valuation. Class taught by Mr. Dale Hall. 
  • Thursday, February 23, 2006. Pension funding and valuation. Class taught by Mr. Dale Hall.
  • Tuesday, February 28, 2006. Pension funding and valuation. Class taught by Mr. Dale Hall.
  • Thursday, March 2, 2006. Pension funding and valuation. Class taught by Mr. Dale Hall.
  • Tuesday, March 7, 2006. Review.
  • Thursday, March 9, 2006. Test No. 1, on material covered through March 2.
  • Tuesday, March 21, 2006. Ratemaking and loss reserving for property and casualty insurance. Class taught by Mr. Dale Hall.
  • Thursday, March 23, 2006. Ratemaking and loss reserving for property and casualty insurance. Class taught by Mr. Dale Hall. 
  • Tuesday, March 28, 2006. Ratemaking and loss reserving for property and casualty insurance. Class taught by Mr. Dale Hall.
  • Thursday, March 30, 2006. Ratemaking and loss reserving for property and casualty insurance. Class taught by Mr. Dale Hall.
  • Tuesday, April 4, 2006. Ratemaking and loss reserving for property and casualty insurance. Class taught by Mr. Dale Hall. 
  • Thursday, April 6, 2006. Test No. 2, covering material taught through April 4.
  • Tuesday, April 11, 2006.  Optimal funding of a liability.
  • Thursday, April 13, 2006.  Individual health insurance.
  • Tuesday, April 18, 2006. Health insurance reserving. 
  • Thursday, April 20, 2006. Group insurance.
  • Tuesday, April 25, 2006. Group insurance.
  • Thursday, April 27, 2006. Review.
  • Tuesday, May 1, 2006. Test No. 3, comprehensive.
  • Thursday, May 4, 2006. Test No. 4, comprehensive.
  • Friday, May 12, 2006, 10:00 a.m. -- 12:00 noon in STV 126. Test No. 5, comprehensive.