Mathematics 480, Spring 2019

Illinois State University Mathematics Department

This class is also run on ReggieNet


Instructors
Dr. Wei Hao, FSA, CFA, MAAA, Actuary

State Farm Insurance Companies

E-mail: wei.hao.pc3n@statefarm.com
and
Dr. Krzysztof Ostaszewski, FSA, CERA, FSAS, CFA, MAAA
Actuarial Program Director
Office: Stevenson Hall, room 313G
Telephone: 309-438-7226, Fax: 309-438-5866
E-mail: krzysio@ilstu.edu
and
Mr. Ken Williams, FCAS, MAAA
Staff Actuary, Casualty Actuarial Society
E-mail: kwilliams@casact.org


Classes Meet
Tuesdays and Thursdays 4:00-5:50 p.m., in Stevenson Hall, room 324, with a ten minute break in the middle of the time period.
Office Hours
Tuesdays 2:30-3:50 p.,m., held by Dr. Ostaszewski in his office: STV 313G. Please ask for an appointment at other times. You can schedule an appointment with Dr. Ostaszewski at http://smartURL.it/appointment.

Textbooks
There will be study notes provided online through Reggienet.


Supplementary textbooks (not required):

Statutory Valuation of Individual Life and Annuity Contracts, by Claire, D., Lombardi, L., and Summers, S., Fifth Edition, Volume I, 2018, Actex Learning, ISBN: 978-1-63588-494-4.

Financial Risk Management for Pension Plans by Leslaw Gajek and Krzysztof Ostaszewski, Elsevier, 2004, ISBN 0444516743.
A Problem Solving Approach to Pension Funding and Valuation, (Second Edition), 1996, by Aitken, W.H., Actex Learning ISBN 1-56698-200-6.
Actuarial Aspects of Individual Life Insurance and Annuity Contracts, by Timothy F. Harris and Albert E. Easton, Actex Learning, ISBN 1-56698-346-0.
Group Insurance, by Skwire, Seventh Edition, 2016, Actex Learning, ISBN: 978-1-62542-682-6.
These supplementary books should be available at The Actuarial Bookstore.

The following two textbooks are available as free downloads from the Casualty Actuarial Society:
Basic Ratemaking, Fourth Edition, by Geoff Werner and Claudine Modlin.
Estimating Unpaid Claims Using Basic Techniques, by Jacqueline Friedland.


Objective
The objective of this class is to help you learn about applications of actuarial models in practice. The main emphasis of the class in the practical methodology of calculation of actuarial liabilities, as well as pricing of insurance products, in all key lines of business of insurance, including defined benefit pensions.
Grading
There will be five tests and any of the last three comprehensive examinations can count as the final examination. No make up tests will be given. All regular tests will be quantitative in nature. The final will count as 40% of your grade, and the best two of the remaining five tests will count as 30% of your grade each. You will also get up to 10% extra credit for the best of the remaining tests. 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. Students can also earn extra credit by making presentations of readings (readings from advanced actuarial examinations will be proposed by Dr. Ostaszewski, but students can also propose advanced readings on topics of the class, and if approved by Dr. Ostaszewski, they can be presented, as well). Because there will be opportunity for extra credit, no make up tests will be allowed. This is a graduate level class, and therefore active student participation in the class, through presentations and discussions, is expected. All tests will be quantitative, and while we will study variety of specific regulations for life insurance, life annuities, pensions, property-casualty, health or group insurance, you will be tested on principles and mathematics of those regulations, not detailed specifics of laws and regulations.
Student Access and Accommodation Services
Illinois State University provides a welcoming atmosphere for individuals with disabilities by assisting each in functioning independently within the University community and providing equal access and opportunity in accomplishing educational, professional and personal goals. Student Access and Accommodation Services is the designated office to provide approved accommodation services for students, faculty, staff, and guests with disabilities. Student Access and Accommodation Service obtains and maintains documentation of disability, certifies eligibility for services, determines reasonable accommodations, and develops plans for providing such accommodations. This is accomplished in a confidential manner to ensure equal opportunity for participation in all courses, programs, activities and employment offered by Illinois State University. Please contact the Student Access and Accommodation Service in Fell Hall room 350, tel.  309-438-5853 (Voice), 309-438-8620 (TTY), web site: www.studentaccess.ilstu.edu if you have needs that can be accommodate by that office.

No recording of this class is allowed
Students may not photograph or use audio or video devices to record classroom lectures or discussions or visual materials that accompany them (e.g., lecture slides, whiteboard notes/equations). Students with disabilities who need to record classroom lectures or discussions must contact Student Access and Accommodation Services to register, request and be approved for an accommodation. Students who violate this policy may be subject to both legal sanctions for violations of copyright law and disciplinary action under the University’s Code of Student Conduct.


Important dates

Illinois State University important dates information for the Spring 2019 semester are given at the web site of the University Registrar.


Schedule of classes

  • Tuesday, January 15, 2019. Current issues in actuarial practice. Insurance regulation. Dodd-Frank Act of 2010. Systemic risk.
  • Thursday, January 17, 2019. Universal life insurance.
  • Tuesday, January 22, 2019. Ratemaking and loss reserving for property and casualty insurance. Class taught by Mr. Ken Williams.
  • Thursday, January 24, 2019. Ratemaking and loss reserving for property and casualty insurance. Class taught by Mr. Ken Williams.
  • Tuesday, January 29, 2019. Ratemaking and loss reserving for property and casualty insurance. Class taught by Mr. Ken Williams.
  • Thursday, January 31, 2019. Ratemaking and loss reserving for property and casualty insurance. Class taught by Mr. Ken Williams. 
  • Tuesday, February 5, 2019. Ratemaking and loss reserving for property and casualty insurance. Class taught by Mr. Ken Williams.
  • Thursday, February 7, 2019. Life insurance valuation.
  • Tuesday, February 12, 2019. Life insurance valuation. 
  • Thursday, February 14, 2019. Life insurance valuation.
  • Tuesday, February 19, 2019. Test No. 1, on material covered through February 12, 2019.
  • Thursday, February 21, 2019.  Life annuity valuation.
  • Tuesday, February 26, 2019. Life annuity valuation.
  • Thursday, February 28, 2019. Special presentation on Workers Compensation by Mr. Erich Brandt, FCAS, Consulting Actuary at Pinnacle Actuarial Resources. This class will also be an event of  the Actuarial Program and of the Actuarial Club, and will be held in Williams Hall room 1F.
  • Tuesday, March 5, 2019. Principles-based reserving
  • Thursday, March 7, 2019. Principles-based reserving.
  • Note: March 10-17, 2019 is the Spring Break at Illinois State University

    • Tuesday, March 19, 2019. Test No. 2, covering material taught through March 5, 2019.
    • Thursday, March 21, 2019. Health and group insurance.
  • Tuesday, March 26, 2019. Optimal funding of a liability.
  • Thursday, March 28, 2019. Overview of U.S. pension system. 
  • Tuesday, April 2, 2019. Pension funding and valuation. Class taught by Dr. Wei Hao.
  • Thursday, April 4, 2019. Pension funding and valuation. Class taught by Dr. Wei Hao.
  • Thursday, April 9, 2019. Pension funding and valuation. Class taught by Dr. Wei Hao.
  • Thursday, April 11, 2019. Special presentation on health insurance reserving Ms. Sarah Kline and Mr. Grant Wilken of State Farm. This class will also be an event of  the Actuarial Program and of the Actuarial Club, and will be held in Williams Hall room 1F.
  • Tuesday, April 16, 2019. Special presentation on stochastic reserving by Mr. Gary Wang, FCAS, Consulting Actuary at Pinnacle Actuarial Resources. This class will also be an event of  the Actuarial Program and of the Actuarial Club, and will be held in Stevenson Hall room 401
  • Thursday, April 18, 2019.  Pension funding and valuation. Class taught by Dr. Wei Hao.
  • Tuesday, April 23, 2019. Pension funding and valuation. Class taught by Dr. Wei Hao.
  • Thursday, April 25, 2019. Pension funding and valuation. Class taught by Dr. Wei Hao.
  • • Tuesday, April 30, 2019. Test No. 3, comprehensive.
    • Thursday, May 2, 2019. Test No. 4, comprehensive.
    • Thursday, May 9, 2019, 8:30 a.m. -- 10:30 a.m.: Final examination, comprehensive.