Department Of Mathematics, Kansas State University
| February 2008 : | Mark Lesperance will offer a time series analysis course |
| MATH 599 Introduction to Time Series Analysis in Actuarial Science (3) This course provides an introduction to the terminology and underlying assumptions of time series models and how to apply and analyze an appropriately selected model when solving insurance related problems. Topics include deterministic and stochastic time series models; stationary time series; autocorrelation functions; random walk models; AR, MA, ARMA and ARIMA models.(Prerequisites Stat 510; Stat 511) Historical Context: In 2005, the Society of Actuaries (SOA) and the Casualty Actuarial Society (CAS) modified their respective professional exam structures to reduce the amount of material on the preliminary exams. In order to reduce the material, the SOA and CAS characterized several subjects to be Validated by Educational Experience (VEE). These topics included Micro and Macro Economics, Corporate Finance and Applied Statistics. The Applied Statistics portion is divided into Regression Analysis and Time Series Analysis. KSU has approved courses for all of the VEE topics except the Time Series portion. This course is proposed to assist students interested in pursuing a career in actuarial science in getting a working knowledge of time series models and analysis. With the successful completion of this course, the student should also be able to obtain credit for the Time Series VEE from both the SOA and CAS. |