# MATH 467/567

## Actuarial Mathematics

 Instructor: Yevgeniy Kovchegov e-mail: kovchegy @math. oregonstate.edu Office: Kidder 368C Office Phone No: 7-1379 Office Hours: MW 1:00pm - 2:00pm in MSLC
Place and time: MWF 11:00am to 11:50am, room BEXL 312.

Web materials:
Prerequisites: MTH 463/563 or ST 421 or instructor's approval.

Course description: In this class we will study risk theory and foundations of actuarial science from the mathematical models perspective. Specifically, we will learn the mathematics behind insurance systems. We will cover the basics of risk and insurance: risk, loss, claims, net premium, deductibles, aggregate loss, proportional reinsurance, and excess of loss reinsurance.

The course is interdisciplinary in its nature, and is taught by a mathematician experienced in teaching interdisciplinary students. The students with less advanced mathematical preparation will be assigned practical simulation and computational projects for understanding the material.

Syllabus:  PDF file

Assignments:

Homework #1 (due Monday, May 7):  Assignment 1 (PDF)

Schedule:
Monday, April 2  Review of probability. Discrete random variables. Expectation, variance, and moments. Moment generating function. Bernoulli random variables. Lecture 1-4 slides (PDF)
Wednesday, April 4  Review of probability. Moment generating function. Independent random variables. Sums of independent random variables. Binomial random variables. Lecture 1-4 slides (PDF)
Friday, April 6  Review of probability. Poisson random variables. Moment generating function of Poisson random variables. Sums of Binomial random variables. Sums of Poisson random variables. Poisson vs Binomial random variables. Lecture 1-4 slides (PDF)
Monday, April 9  Review of probability. Geometric random variables. Moment generating function of geometric random variables. St. Petersburg paradox. Lecture 1-4 slides (PDF)
Wednesday, April 11  Review of probability. Continuous random variables. Standard normal random variables. Moment generating function of standard normal random variables. Lecture 5-9 slides (PDF)
Friday, April 13  Moment generating function of standard normal random variables. Moments of standard normal random variables. Lecture 5-9 slides (PDF)
Monday, April 16  De Moivre - Laplace theorem via moment generating functions. Exponential random variables. Lecture 5-9 slides (PDF)
Wednesday, April 18  Memorylesseness property of exponential and geometric random variables. Gamma random variables. Moment generating functions of exponential and gamma random variables. Lecture 5-9 slides (PDF)
Monday, April 30  Properties of gamma random variables. Poisson process. Lecture 5-9 slides (PDF)
Monday, April 30 (6pm)  Poisson process. Risk models. Lecture 10-14 slides (PDF)