SDST3951 Topics on advanced actuarial modelling (6 credits) Academic Year 2025
Offering Department SCDS (Department of Statistics and Actuarial Science) Quota ---
Course Co-ordinator Dr D Lee, SCDS (Department of Statistics and Actuarial Science) < leedav@hku.hk >
Teachers Involved (Dr D Lee,Statistics & Actuarial Science)
Course Objectives This course covers more advanced actuarial models and techniques used in the field of life and non-life insurance.
Course Contents & Topics Topics include: estimation of transition intensities; graduation and related tests; unit-linked contracts; cost of guarantees and options; equity-linked life-contingent insurance products and their valuation; extreme value theory; copulas; simple ruin models for non-life insurance portfolios.
Course Learning Outcomes
On successful completion of this course, students should be able to:

CLO 1 estimate age-dependent transition intensities
CLO 2 explain the concept of graduation and apply statistical tests for mortality table comparisons
CLO 3 apply the Esscher transform on probability distributions and stochastic processes
CLO 4 price various equity-linked insurance products using Esscher transforms and risk-neutral methods
CLO 5 apply the extreme value theory on univariate data sets
CLO 6 describe the properties of common copula models and apply such models to capture the dependence structures of different risks
CLO 7 formulate simple ruin models and evaluate ruin probabilities as well as related quantities
Pre-requisites
(and Co-requisites and
Impermissible combinations)		 Pass in SDST3906, or already enrolled in this course; and
Pass in SDST3910, or already enrolled in this course; and
For BSc(Actuarial Science) students only.
Only for students admitted in 2025 and thereafter.
Course Status with Related Major/Minor /Professional Core 2U000C00 Course not offered under any Major/Minor/Professional core
2024 BSc in Actuarial Science ( Disciplinary Elective )
2023 BSc in Actuarial Science ( Disciplinary Elective )
2022 BSc in Actuarial Science ( Disciplinary Elective )
2021 BSc in Actuarial Science ( Disciplinary Elective )
Course to PLO Mapping 2024 BSc in Actuarial Science < PLO 1,3,4,5 >
2023 BSc in Actuarial Science < PLO 1,3,4,5 >
2022 BSc in Actuarial Science < PLO 1,3,4,5 >
2021 BSc in Actuarial Science < PLO 1,3,4,5 >
Offer in 2025 - 2026 Y        2nd sem    Examination May     
Offer in 2026 - 2027 Y
Course Grade A+ to F
Grade Descriptors
A Demonstrate thorough mastery at an advanced level of extensive knowledge and skills required for attaining all the course learning outcomes. Show strong analytical and critical abilities and logical thinking, with evidence of original thought, and ability to apply knowledge to a wide range of complex, familiar and unfamiliar situations. Apply highly effective organizational and presentational skills.
B Demonstrate substantial command of a broad range of knowledge and skills required for attaining at least most of the course learning outcomes. Show evidence of analytical and critical abilities and logical thinking, and ability to apply knowledge to familiar and some unfamiliar situations. Apply effective organizational and presentational skills.
C Demonstrate general but incomplete command of knowledge and skills required for attaining most of the course learning outcomes. Show evidence of some analytical and critical abilities and logical thinking, and ability to apply knowledge to most familiar situations. Apply moderately effective organizational and presentational skills.
D Demonstrate partial but limited command of knowledge and skills required for attaining some of the course learning outcomes. Show evidence of some coherent and logical thinking, but with limited analytical and critical abilities. Show limited ability to apply knowledge to solve problems. Apply limited or barely effective organizational and presentational skills.
Fail Demonstrate little or no evidence of command of knowledge and skills required for attaining the course learning outcomes. Lack of analytical and critical abilities, logical and coherent thinking. Show very little or no ability to apply knowledge to solve problems. Organization and presentational skills are minimally effective or ineffective.
Communication-intensive Course N
Course Type Lecture-based course
Course Teaching
& Learning Activities
Activities Details No. of Hours
Lectures 36.0
Tutorials 12.0
Reading / Self study 100.0
Assessment Methods
and Weighting
Methods Details Weighting in final
course grade (%)		 Assessment Methods
to CLO Mapping
Assignments Coursework (assignments, tutorials, and a class test) 25.0 1,2,3,4,5,6
Examination One 3-hour written examination 75.0 1,2,3,4,5,6
Required/recommended reading
and online materials		 Subject CS2 Risk Modelling and Survival Analysis, Core Principles, Core Reading (Institute and Faculty of Actuaries, 2022)
Denuit M., Dhaene J., Goovaerts M., Kaas R.: Actuarial Theory for Dependent Risks (Wiley, 2005)
Coles S.: An Introduction to Statistical Modeling of Extreme Values (Springer, 2001)
Course Website http://moodle.hku.hk
Additional Course Information NIL