THE UNIVERSITY OF HONG KONG

DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE

STAT3901 Life Contingencies I
(2023/2024)

Instructor: Prof. K.C. Yuen kcyuen@hku.hk

Office: 231, Run Run Shaw Building Tel: 3917 1915
Lecture: Monday 9:30 - 11:20 Venue: T5
Thursday 9:30 - 10:20 Venue: T5
Contact Hour : Thursday 11:00 - 12:00 (or by appointment)
Tutor: Mr. Michael ZHOU
Email : u3514104@connect.hku.hk
Tutorial : 1 per week (arranged by the tutor)

Course Objectives
The major objectives of this course are to integrate life contingencies into a full probabilistic
framework. The time-until-death random variable is the basic building block by which models
for life insurances, designed to reduce the financial impact of the random event of untimely
death, are developed. This course introduces the concepts of life contingencies and the basic
mathematical skills for modeling life insurance products.

Course Contents
Key topics include: survival distributions; life table functions; select and ultimate tables; life
insurance models; life annuity models; benefit premiums; benefit reserves.

Learning Outcomes
On successful completion of the course, students should be able to

• calculate the expected values, variances, probabilities, and percentiles for survival-time
random variables;

• define the continuous survival-time random variable that arises from the discrete survival-
time random variable using some assumptions for fractional ages;

• define present-value-of-benefit random variables defined on survival-time random variables;

• define and calculate the expected values, variances and probabilities for present-value-
of-benefit random variables, present-value-of-loss-at-issue random variables, and present-
value-of-loss random variables;

• calculate benefit premiums for life insurances and annuities.

• define and calculate benefit reserves.

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University-Earned Credit (UEC) program of the Society of Actuaries
This course is approved by the SOA as one of the UEC courses. Students who receive a UEC
mark of 60% or above are eligible to apply for exam exemption for Exam FAM-L. The UEC
mark of a student refers to Final Exam mark of the course. Please refer to the webpage
https://saasweb.hku.hk/current/as/uec.php for more information.

References

• Actuarial Mathematics, 2nd Edition by Bowers N.L., Gerber H.U., Hickman J.C., Jones
D.A., Nesbitt C.J., 1997. Itasca, Illinois: The Society of Actuaries.

• Actuarial Mathematics for Life Contingent Risks, 2nd Edition by Dickson D.C.M., Hardy
M.R., and Waters H.R., 2013. Cambridge: Cambridge University Press.

Tentative Weekly schedule

Week Topic
1 Introduction (Dickson et al. Ch 1) + Survival Distributions (Bowers et al. Ch 3)
2 Survival Distributions
3 Life Insurance Models (Bowers et al. Ch 4)
4 Life Insurance Models
5 Life Insurance Models
6 Life Annuity Models (Bowers et al. Ch 5)
7 Life Annuity Models
8 Life Annuity Models
9 Benefit Premiums (Bowers et al. Ch 6)
10 Benefit Premiums
11 Benefit Reserves (Bowers et al. Ch 7)
12 Benefit Reserves

Teaching and Assessment

Teaching is composed of three hours of lecture and one tutorial class per week. Teaching
materials will be uploaded to Moodle for reference and review. Full attendance in lectures and
tutorials is expected and interactive learning is encouraged. Assessment includes coursework
(50%) and a 3-hour written examination paper (50%). Coursework involves (i) assignments,
class and tutorial participation (10%), and (ii) two class tests (Test 1 - 15%; Test 2 - 25%). The
first class test is tentatively scheduled on Oct 12, 2023, and the second class test is tentatively
scheduled on Nov 23, 2023. Any assignment submission passing the due date will be penalized.
Partially or wholly copied assignments will be penalized and/or reported as plagiarism. Please
refer to the following webpage:
https://www.hku.hk/plagiarism/
for more information regarding what constitutes plagiarism.

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Important note on absence from mid-term/class test
If for any reason you are or have been unable to attend a mid-term/class test, and if you wish
to have a supplementary mid-term/class test,

1. all full-time students should write to the General Office of the Department of Statistics
and Actuarial Science giving reasons for your absence;

2. all part-time students should write to the course instructor giving reasons for your ab-
sence,

within 7 days of the absence. A special/supplementary test is normally granted to those absent
from the original test due to illness and with original medical certificate provided. Students
absent due to other reasons are not granted a special/supplementary test unless with very
special circumstances and with valid documental proofs provided.

Grade Descriptors

• Grade 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.

• Grade 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.

• Grade 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.

• Grade 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.

• Grade F - 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.