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SOA Approved Reference The ACTEX Academic Series 5 6 View samples of these textbooks on our website. www.ActexMadRiver.com Construction and Evaluation of Actuarial Models Construction and Evaluation of Actuarial Models SOA Exam C SOA Exam C Introduction to Credibility Theory presents a wide variety of credibility models in an easy-to-read style and, in so doing, traces the historical development of the subject. Because the Bayesian approach is emphasized, the book can serve as a useful foundation for practicing actuaries desiring to become proficient in applying Markov chain Monte Carlo methods to solve real-world problems. The text concentrates on basic statistical concepts, leaving more mathematically sophisticated concepts for a more advanced treatment elsewhere. It contains worked examples, a large number of end-of-chapter exercises and an extensive bibliography. In the rapidly evolving healthcare environment, facility in the application of state-of-the-art analytic methods is more important than ever. The fourth edition includes three new case studies relating to healthcare issues. Much of actuarial science deals with the analysis and management of financial risk. In this new text we address the topic of loss models, traditionally called risk theory by actuaries, including the estimation of such models from sample data. The theory of survival models is addressed in other texts, including the ACTEX work entitled Models for Quantifying Risk which might be considered a companion text to this one. In Risk Models and Their Estimation we consider as well the estimation of survival models, in both tabular and parametric form, from sample data. At press time, ACTEX had submitted this text for SOA Exam C syllabus adoption. While we are still awaiting a response, several university programs have adopted the book for their courses, confirming our belief that Risk Models and Their Estimation, together with Introduction to Credibility Theory, fully address the learning objectives for this exam. Introduction to Credibility Theory 4th Edition Risk Models and Their Estimation Thomas N. Herzog, Ph.D., ASA Stephen G. Kellison, FSA, EA, MAAA Richard L. London, FSA www.ActexMadRiver.com Ordering Textbooks for Exam Study, Designed by the Experts in Actuarial Education Information For information on other books in the Academic Series or to place your order, please visit our website at www.ActexMadRiver.com or call 860-379-5470 toll-free 800-282-2839 Customer Service We are available to assist you Monday - Friday 8 a.m. to 5 p.m. Eastern Time [email protected] ACTEX Publications 107 Groppo Drive, Suite A P.O. Box 974 Winsted, CT 06098 Find ACTEX and “like us” through Facebook. Receive product updates, information & special offers! www.facebook.com/actexpublications @ACTEXPubs
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Page 1: Series - ACTEX / Mad River · risk theory by actuaries, ... in modern risk management, ... Solutions Manuals, available separately for all six books, ...

SOAApproved Reference

The ACTEX Academic Series

5 6

View samples of these textbooks on our website. www.ActexMadRiver.com

Construction and Evaluation

of Actuarial Models

Construction and Evaluation

of Actuarial Models

SOA Exam C SOA Exam C

Introduction to Credibility Theory presents a wide variety of credibility models in an easy-to-read style and, in so doing, traces the historical development of the subject. Because the Bayesian approach is emphasized, the book can serve as a useful foundation for practicing actuaries desiring to become proficient in applying Markov chain Monte Carlo methods to solve real-world problems.

The text concentrates on basic statistical concepts, leaving more mathematically sophisticated concepts for a more advanced treatment elsewhere. It contains worked examples, a large number of end-of-chapter exercises and an extensive bibliography.

In the rapidly evolving healthcare environment, facility in the application of state-of-the-art analytic methods is more important than ever. The fourth edition includes three new case studies relating to healthcare issues.

Much of actuarial science deals with the analysis and management of financial risk. In this new text we address the topic of loss models, traditionally called risk theory by actuaries, including the estimation of such models from sample data.

The theory of survival models is addressed in other texts, including the ACTEX work entitled Models for Quantifying Risk which might be considered a companion text to this one. In Risk Models and Their Estimation we consider as well the estimation of survival models, in both tabular and parametric form, from sample data.

At press time, ACTEX had submitted this text for SOA Exam C syllabus adoption. While we are still awaiting a response, several university programs have adopted the book for their courses, confirming our belief that Risk Models and Their Estimation, together with Introduction to Credibility Theory, fully address the learning objectives for this exam.

Introduction to Credibility Theory4th Edition

Risk Models and Their Estimation

Thomas N. Herzog, Ph.D., ASA Stephen G. Kellison, FSA, EA, MAAA Richard L. London, FSA

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w.A

ctex

Mad

Riv

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Ordering

Textbooks for Exam Study, Designed by the Experts in

Actuarial Education

InformationFor information on other books

in the Academic Series or to place your order,

please visit our website at www.ActexMadRiver.com

or call 860-379-5470toll-free 800-282-2839

Customer ServiceWe are available to assist you

Monday - Friday 8 a.m. to 5 p.m. Eastern [email protected]

ACTEX Publications107 Groppo Drive, Suite A

P.O. Box 974Winsted, CT 06098

Find ACTEX and “like us” through Facebook. Receive product updates,

information & special offers!

www.facebook.com/actexpublications@ACTEXPubs

Page 2: Series - ACTEX / Mad River · risk theory by actuaries, ... in modern risk management, ... Solutions Manuals, available separately for all six books, ...

1 2ProbabilitySOA Exam P

Mathematics of Investment and Credit is a thorough treatment of the theory of interest, and its application to a wide variety of financial instruments. It emphasizes a direct-calculation approach to reaching numerical results, and uses a gentle, thorough pedagogic style.

This text includes extensive treatments of the term structure of interest rates, forward contracts of various types, interest rate swaps and financial options and option strategies. The fifth edition includes expanded coverage of the more recently developed concepts of forwards, futures, swaps and options. Key formulas and definitions are highlighted and the exercises increase in difficulty as you progress through each section. Real world current events are included to demonstrate key concepts. The text contains a large number of worked examples and end-of-chapter exercises.

Probability for Risk Management was written to prepare students for actuarial Examination P. It covers all of the required learning objectives on the syllabus for this exam and many students have used it to prepare for and pass that exam. The text has 439 exercises at the level of Exam P, including 110 old exam questions.

Since the content of Exam P is so widely applicable in modern risk management, Probability for Risk Management also can be used for a wider audience including students of mathematical economics, finance and risk management as well as actuarial students.

This textbook is easy to read, follow and understand-and occasionally funny. It has been used successfully in classes containing a mix of students from actuarial science and business.

FinancialMathematicsSOA Exam FM

There are several areas of expanded content in the Sixth Edition, due to the revised format of SOA Exam MLC. The additional written-answer examples will better prepare students for this question format. Additional treatment of multi-state models, Thiele’s Equation, profit testing, and Universal Life Insurance has been added. This book is specifically focused on the North American market and actuarial profession. The notation and terminology fully conform to that being used on Exam MLC, thus offering a seamless transition from textbook study to exam day.

The textbook presents a variety of stochastic models for the actuary to use in undertaking the analysis of risk. It is designed to be appropriate for use in a two or three semester university course in basic actuarial science. Specifically written with SOA Exam MLC and CAS Exam LC in mind, it is currently an approved reference for Exam LC. Models are evaluated in a generic form with life contingencies included as one of many applications of the science. Students will find this book to be a valuable reference due to its easy-to-understand explanations and end-of-chapter exercises.

SOAApproved Reference

SOA & CASApproved Reference

SOAApproved Reference

CASApproved Reference

3 ActuarialModels

SOA Exam MLCCAS Exam LC

Solutions Manuals, available separately for all six books, present complete solutions to the end-of-chapter exercises.

Matthew J. Hassett, Ph.D.

Donald G. Stewart, Ph.D.

Mathematics of Investment and Credit 5th Edition

Models for Quantifying Risk 6th Edition

Probability for Risk Management 2nd Edition

Probability for R

isk Managem

ent

Hassett

stewart

About the TextThis textbook differs from most intermediate probabilitytexts in that it focuses the theory directly on applications in the general field of financial risk management, including insurance, economics, and finance. It will be appropriate for a first course in probability.

About the Authors

Matthew J. Hassett is professor emeritus of mathematics at Arizona State University where he taught from 1966 to 1999. He worked in industry as a health actuary from 1999 to 2005, and then returned to Arizona State to continue working with actuarial students. He has published papers in mathematical logic, mathematics education, finance and actuarial science. Dr. Hassett has co-authored an introductory statistics textbook and the ACTEX study guide for Exam M of the Society of Actuaries. He has consulting experience in mathematical analysis of mortgage-backed securities and their derivatives. Dr. Hassett is an Associate of the Society of Actuaries.

Donald G. Stewart is professor emeritus of mathematics at Arizona State University, following a career of 34 years. His original research interests were in topology. Since 1994, Dr. Stewart has worked with actuarial students at ASU. He also participated in the creation of the ASU televised course in Survival Models. Dr. Stewart has extensive experience inproviding analysis for expert witnesses. Dr. Stewart has co-authored the ACTEX study manual for Exam M of the Society of Actuaries.

ACTEX A CA d E m i C S E r i E S

Probability forRisk Management

m A T T h E w J . h A S S E T T , A S A , P h . d .

2ndEdition

d o n A l d G . S T E w A r T , P h . d .

ACTEX PublicationsWinsted, CT 06098www.ActexMadRiver.com

ndEdition

2

Samuel A. Broverman, Ph.D., ASA Stephen J. Camilli, ASA

Ian Duncan, FSA, FIA, FCIA, MAAA

Richard L. London, FSA

4ACTEX A CA d E m i C S E r i E S

Mathem

atics of Investment and C

reditB

ro

vE

rm

An

This text is a thorough treatment of the theory of interest, and its application to a wide variety of financial instruments. It emphasizes a direct-calculation approach to reaching numerical results, and uses a gentle, through pedagogic style. This edition expands on the treatments of forward contracts of various types, swaps and financial options, and option strategies. The text contains a large number of worked examples and end-of-the chapter exercises.

ACTEX PublicationsWinsted, CT 06098www.ActexMadRiver.com

5thE

dition

About the text

Mathematicsof Investment and Credit

SAmuEl A. BrovErmAn, Phd, ASA

5thEdition

Sam Broverman completed a PhD degree in mathematics at the University of Manitoba in 1976. He has been a faculty member of the University of Toronto since 1980, where he holds the position of Professor of Actuarial Science. He was a faculty member of the University of Texas at Austin School of Business from 1978 to 1980. Professor Broverman has written educational material and conducted review classes for many of the actuarial exams over the past 30 years. He has a wide range of international teaching experience, having taught actuarial courses in North and Central America, Europe and the Far East.

About the Author

Probability and Statistics with Applications is an introductory textbook designed to make the subject accessible to college freshmen and sophomores concurrent with their study of calculus.

This textbook is organized specifically to meet the needs of students who are preparing for the Society of Actuaries Examination P. Sample actuarial exam problems are integrated throughout the text along with an abundance of illustrative examples and 799 exercises. Additionally, the chapters on mathematical statistics cover all of the learning objectives for the statistics portion of the Casualty Actuarial Society Exam ST syllabus. Here again, liberal use is made of past exam problems from CAS Exams 3 and 3L. The book provides the content to serve as the primary text for a standard two-semester advanced undergraduate course in mathematical probability and statistics.

Probabilityand Statistics

SOA Exam PCAS Exam ST

Probability and Statistics with Applications: A Problem Solving TextLeonard A. Asimow, Ph.D., ASA

Mark M. Maxwell, Ph.D., ASA