AMS4325 - Construction and Evaluation of Actuarial Models II
| Year of Study: | 3 - 4 |
| Credit Units: | 3 |
| Duration: | 45hours |
| Prerequisites: | AMS4323 Survival and Loss Modelling or AMS4324 Construction and Evaluation of Actuarial Models I; or with the Instructor’s permission and upon endorsement of the relevant Chairperson or Programme Director |
Module Description
This module aims to equip students with statistical methods in parameters estimation of
failure time and loss distributions so as to construct, adjust and select the model under study.
Topics selected include empirical estimators, kernel estimators of loss distributions,
parameter estimation using maximum likelihood and hypothesis testing for model validation
and acceptability (e.g. Kolmogorov-Smirnov test, Anderson-Darling test, and Chi-squared
goodness of fit test). Students can apply the acquired methodologies and techniques to
analyse and evaluate actuarial models in the industry.
failure time and loss distributions so as to construct, adjust and select the model under study.
Topics selected include empirical estimators, kernel estimators of loss distributions,
parameter estimation using maximum likelihood and hypothesis testing for model validation
and acceptability (e.g. Kolmogorov-Smirnov test, Anderson-Darling test, and Chi-squared
goodness of fit test). Students can apply the acquired methodologies and techniques to
analyse and evaluate actuarial models in the industry.
Learning Outcomes
Upon completion of this module, students should be able to:
- apply advanced knowledge and techniques in parametric and non-parametric estimation effectively;
- integrate the knowledge and techniques in model building, justification and validation; and
- apply the acquired knowledge and techniques to analyse, evaluate, compare and select model.