Mathematics 480, Spring 2020

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.
Stochastic Loss Reserving using MCMC Methods by Glenn Meyers.


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 six 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 two (each) 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 2020 semester are given at the web site of the University Registrar.


Schedule of classes

  • Tuesday, January 14, 2020. Current issues in actuarial practice. Insurance regulation. Dodd-Frank Act of 2010. Systemic risk.
  • Thursday, January 16, 2020. Universal life insurance.
  • Tuesday, January 21, 2020. Ratemaking and loss reserving for property and casualty insurance. Class taught by Mr. Ken Williams.
  • Thursday, January 23, 2020. Ratemaking and loss reserving for property and casualty insurance. Class taught by Mr. Ken Williams.
  • Tuesday, January 28, 2020. Ratemaking and loss reserving for property and casualty insurance. Class taught by Mr. Ken Williams.
  • Thursday, January 30, 2020. Ratemaking and loss reserving for property and casualty insurance. Class taught by Mr. Ken Williams. 
  • Tuesday, February 4, 2020. Introduction to life insurance valuation.
  • Thursday, February 6, 2020. Life insurance valuation.
  • Tuesday, February 11, 2020. Ratemaking and loss reserving for property and casualty insurance. Class taught by Mr. Ken Williams.
  • Thursday, February 13, 2020. Life insurance valuation.
  • Tuesday, February 18, 2020. Life annuity valuation.
  • Thursday, February 20, 2020.  Life annuity valuation.
  • Tuesday, February 25, 2020. Test No. 1, on material covered through February 20, 2020.
  • Thursday, February 27, 2020. 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 at 4:30 p.m. (note the unusual time) in Stevenson Hall room 401A.
  • Tuesday, March 3, 2020. Principles-based reserving
  • Thursday, March 5, 2020. Health and group insurance.
  • Note: March 7-15, 2020 is the Spring Break at Illinois State University. In this semester, as a part of ISU's response to the coronavirus threat, the break was extended till March 22, 2020.

  • Tuesday, March 24, 2020. Optimal funding of a liability. This class will be held online, in a form of a video lecture.
  • Thursday, March 26, 2020. Test No. 2, covering material taught through March 5, 2020. This will be an all day  take home test distributed through Reggienet with submissions of students' work done in Reggienet.
  • Tuesday, March 31, 2020. Overview of U.S. pension system. This class will be held online, in a form of a video lecture.
  • Thursday, April 2, 2020. Test No. 3, covering material through March 31, 2020. This will be an all day  take home test distributed through Reggienet with submissions of students' work done in Reggienet.
  • Tuesday, April 7, 2020. Pension funding and valuation. Class taught by Dr. Wei Hao.
  • Thursday, April 9, 2020. Pension funding and valuation. Class taught by Dr. Wei Hao.
  • Tuesday, April 14, 2020. Pension funding and valuation. Class taught by Dr. Wei Hao.
  • Thursday, April 16, 2020.  Pension funding and valuation. Class taught by Dr. Wei Hao.
  • Tuesday, April 21, 2020. Pension funding and valuation. Class taught by Dr. Wei Hao.
  • Thursday, April 23, 2020. Pension funding and valuation. Class taught by Dr. Wei Hao.
  • • Tuesday, April 28, 2020. Test No. 4, comprehensive. This will be an all day  take home test distributed through Reggienet with submissions of students' work done in Reggienet.
    • Thursday, April 30, 2020. Test No. 5, comprehensive. This will be an all day  take home test distributed through Reggienet with submissions of students' work done in Reggienet.
    • Thursday, May 7, 2020, 3:10 - 5:10 p.m.: Test No. 6, final examination, comprehensive. This will be an all day  take home test distributed through Reggienet with submissions of students' work done in Reggienet.