Module Details |
The information contained in this module specification was correct at the time of publication but may be subject to change, either during the session because of unforeseen circumstances, or following review of the module at the end of the session. Queries about the module should be directed to the member of staff with responsibility for the module. |
Title | ACTUARIAL MODELS | ||
Code | MATH376 | ||
Coordinator |
Dr S Sahin Mathematical Sciences Sule.Sahin@liverpool.ac.uk |
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Year | CATS Level | Semester | CATS Value |
Session 2021-22 | Level 6 FHEQ | Second Semester | 15 |
Aims |
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1. Be able to understand the differences between stochastic and deterministic modelling. |
Learning Outcomes |
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(LO1) 1 Understand Use Markov processes to describe simple survival, sickness and marriage models, and describe other simple applications, Derive an appropriate Markov multi-state model for a system with multiple transfers, derive the likelihood function in a Markov multi-state model with data and use the likelihood function to estimate the parameters (with standard errors). 2 The Kaplan-Meier (or product limit) estimate, the Nelson-Aalen estimate , Describe the Cox model for proportional hazards Apply the chi-square test, the standardised deviations test, the cumulative deviation test, the sign test, the grouping of signs test, the serial correlation test to testing the adherence of graduation data. 3 Understand the connection between estimation of transition intensities and exposed to risk (central and initial exposed to risk) , Apply exact calculation of the central exposed to risk. |
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(LO3) Understand the connection between estimation of transition intensities and exposed to risk (central and initial exposed to risk). Apply exact calculation of the central exposed to risk |
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(LO4) Understand the time series together with its applications |
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(S2) Problem solving skills |
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(S3) Numeracy |
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(S4) Commercial awareness |
Syllabus |
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1) Renewal processes : describe the distribution of the number of events in a given time interval and/or the distribution of inter-event times. 3) Survival, sickness, marriage and other simple models: described via/as applications of Markov processes. Derive Kolmogorov forward and backward equations for a Markov process with time independent and time/age dependent transition and solve them in simple cases. 4) Likelihood functions: describe the Cox model for proportional hazards and use the partial likelihood estimate (with standard errors) to estimate its parameters. Reduce the Binomial likelihood function to a function of a single parameter, under the assumption of uniform distribution of deaths or constant force of mortality, and estimate this single parameter. 5) 2-state models: derive the likelihood function for a 2-states model with states Alive and Dead , under Cox, Binomial and Poisson models. 6) Multi-state models: describe an appropriate Markov multi-state model for a system with multiple transfers, derive the likelihood function in a Markov multi-state model with data and use the likelihood function to estimate the parameters (with standard errors). 7) Comparison: describe the advantages and disadvantages of the multi-state model versus the Binomial model, including consistency, efficiency, simplicity of the estimators and their distributions. 8) Survival functions: estimate a survival function using the Kaplan-Meier or Nelson-Aalen method. 9) Statistical tests: explain statistical tests of crude estimates for comparing with a standard table: chi-square test, standardised deviations test, cumulative deviation test, sign test, grouping of signs test and the serial cor relation test to testing the adherence of graduation data. 10) Exposed to risk: Connection between estimation of transition intensities and exposed to risk (central and initial exposed to risk), exact calculation of the central exposed to risk, census approximations to central exposed to risk (trapezium approximation). 11) Graduation : describe the process of graduation and test for the smoothness of graduated estimates. |
Recommended Texts |
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Reading lists are managed at readinglists.liverpool.ac.uk. Click here to access the reading lists for this module. |
Pre-requisites before taking this module (other modules and/or general educational/academic requirements): |
Co-requisite modules: |
Modules for which this module is a pre-requisite: |
Programme(s) (including Year of Study) to which this module is available on a required basis: |
Programme(s) (including Year of Study) to which this module is available on an optional basis: |
Assessment |
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EXAM | Duration | Timing (Semester) |
% of final mark |
Resit/resubmission opportunity |
Penalty for late submission |
Notes |
Written Exam on campus | 60 | 50 | ||||
CONTINUOUS | Duration | Timing (Semester) |
% of final mark |
Resit/resubmission opportunity |
Penalty for late submission |
Notes |
Class Test with an R language component | 0 | 50 |