Students

ACST818 – Survival Models

2014 – S1 Day

General Information

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Unit convenor and teaching staff Unit convenor and teaching staff Unit Convenor
Xian Zhou
xian.zhou@mq.edu.au
Contact via xian.zhou@mq.edu.au
E4A 607
Refer to the unit's web site
Credit points Credit points
4
Prerequisites Prerequisites
ACST601 and ACST602 and ACST604
Corequisites Corequisites
STAT806 or STAT810
Co-badged status Co-badged status
Co-taught with ACST358 Survival Analysis
Unit description Unit description
This unit provides sophisticated statistical and probabilistic models for survival, sickness, insurance losses and other actuarial problems based on survival data. Techniques of survival analysis are used to estimate survival and loss distributions and evaluate risk factors in actuarial applications. Methods of both nonparametric and parametric estimation are utilised. Advanced models based on Markov chains and processes will also be introduced to capture the features of stochastic transitions between different survival or loss states and to estimate the transition rates.

Important Academic Dates

Information about important academic dates including deadlines for withdrawing from units are available at https://www.mq.edu.au/study/calendar-of-dates

Learning Outcomes

On successful completion of this unit, you will be able to:

  • Understand different types of survival models and key concepts of survival analysis
  • Able to connect the concepts of survival models and statistical inference with practical actuarial problems
  • Master the skills of nonparametric and parametric methods to estimate parameters and probability distributions
  • Understand the ideas and concepts of Markov properties and processes
  • Able to solve Markov transition probabilities via matrix theory and differential equations and to estimate the transition rates
  • Capable of integrating advanced mathematical theory and techniques of survival models into actuarial modelling and applications

Assessment Tasks

Name Weighting Due
Assignment 1 10% Friday, 28 March 2014
Assignment 2 20% Friday, 16 May 2014
Examination 70% Examination period

Assignment 1

Due: Friday, 28 March 2014
Weighting: 10%

Type of questions:  Multiple-choice

Submission:  By answer sheet

Extension:  No extensions will be granted. Students who have not submitted the task prior to the deadline will be awarded a mark of 0 for the task, except for cases in which an application for special consideration is made and approved.

Penalties: Not applicable

What is required to complete the unit satisfactorily:  Not Applicable

Weight: 10% upon passing the final examination
On successful completion you will be able to:
  • Understand different types of survival models and key concepts of survival analysis
  • Able to connect the concepts of survival models and statistical inference with practical actuarial problems
  • Capable of integrating advanced mathematical theory and techniques of survival models into actuarial modelling and applications

Assignment 2

Due: Friday, 16 May 2014
Weighting: 20%

Type of questions:  Detailed solutions required

Submission:  By answer sheets

Extension:  No extensions will be granted. Students who have not submitted the task prior to the deadline will be awarded a mark of 0 for the task, except for cases in which an application for special consideration is made and approved.

Penalties: Not applicable

What is required to complete the unit satisfactorily:  60 marks out of 100 are required for satisfactory coursework

Weight: 20% upon passing the final examination
On successful completion you will be able to:
  • Understand different types of survival models and key concepts of survival analysis
  • Able to connect the concepts of survival models and statistical inference with practical actuarial problems
  • Master the skills of nonparametric and parametric methods to estimate parameters and probability distributions
  • Understand the ideas and concepts of Markov properties and processes
  • Capable of integrating advanced mathematical theory and techniques of survival models into actuarial modelling and applications

Examination

Due: Examination period
Weighting: 70%

Type of questions: A combination of multiple-choice and questions requiring detailed solutions

Examination conditions: Open-book, any materials on paper allowed

What is required to complete the unit satisfactorily: Passing the final examation is required to pass this unit.
On successful completion you will be able to:
  • Understand different types of survival models and key concepts of survival analysis
  • Able to connect the concepts of survival models and statistical inference with practical actuarial problems
  • Master the skills of nonparametric and parametric methods to estimate parameters and probability distributions
  • Understand the ideas and concepts of Markov properties and processes
  • Able to solve Markov transition probabilities via matrix theory and differential equations and to estimate the transition rates
  • Capable of integrating advanced mathematical theory and techniques of survival models into actuarial modelling and applications

Delivery and Resources

Classes

  • This unit will consist of 3 hour lectures and 2 hour tutorial per week.
  • Tutorials start in Week 2.
  • Tutorial exercises will be available from the unit web site each week before tutorials.
  • Tutorial exercises will not be assessed, but they form a very important part of the study and are closely related to the assessed components (tests and examination).
  • Tutorials are important opportunities for you to work on the week’s tutorial questions and to obtain help with them as needed. The more preparation you do for the tutorial, the more you will benefit from the session.
  • The timetable for classes can be found on the University web site at: http://www.timetables.mq.edu.au/
  • Any alterations to classes will be advised in lectures and/or on the unit webpage.

Required and Recommended Texts and/or Materials

  • The primary texts for the unit are the Lecture Notes provided by the Lecturer.
  • Lecture Notes will be posted on the unit website before the lectures.
  • The main additional reading materials are the ActEd CT4 notes.This will also be used as background reading for ACST359/819.

Unit Web Page

Course materials are available on the learning management system (iLearn)

The web page for this unit can be found at:  http://ilearn.mq.edu.au

Technology Used and Required

You will need access to the internet to obtain course information and download teaching materials from the unit website.

It is your responsibility to check the unit website regularly to make sure that you are up-to-date with the information for the unit.

Teaching and Learning Activities

The unit is taught through 3 hours of lectures and 1 hour of tutorial per week. Lectures will cover the topics and materials in accordance with the syllabus of Subject CT4 of Institute of Actuaries (IA). Tutorials will discuss exercise questions covered by the lectures.

Students are expected to listen carefully to all lectures and tutorials; participate in discussions during tutorials, read relevant materials in advance; review the knowledge learnt in classes; and complete the Assignment and all Practice Tasks independently.

The planned week-by-week list of the topics is provided in Unit Schedule. Note that this is a tentative schedule, and small departures are expected on the basis of week to week progress.

Changes Since the Last Offering of This Unit

Teaching materials are updated.

Unit Schedule

 

Week 

Topics covered

1

Principle of actuarial modelling; Probability models

2

Survival analysis; Estimation of survival distributions

3

Estimation of survival distributions; Variance estimation

4

Variance estimation and confidence intervals

5

Confidence intervals; Cox proportional hazards models

6

Cox proportional hazards models

BREAK

  

7

Stochastic processes

8

Markov chains

9

Markov chains; Markov jump processes

10

Markov jump processes

11

Markov jump processes; Applications of Markov processes

12

Applications of Markov processe

13

Revision

Note: This is only a tentative schedule. The actual schedule will depend on the progress of lectures.

Policies and Procedures

Macquarie University policies and procedures are accessible from Policy Central. Students should be aware of the following policies in particular with regard to Learning and Teaching:

Academic Honesty Policy http://mq.edu.au/policy/docs/academic_honesty/policy.html

Assessment Policy  http://mq.edu.au/policy/docs/assessment/policy.html

Grading Policy http://mq.edu.au/policy/docs/grading/policy.html

Grade Appeal Policy http://mq.edu.au/policy/docs/gradeappeal/policy.html

Grievance Management Policy http://mq.edu.au/policy/docs/grievance_management/policy.html

Disruption to Studies Policy http://www.mq.edu.au/policy/docs/disruption_studies/policy.html The Disruption to Studies Policy is effective from March 3 2014 and replaces the Special Consideration Policy.

In addition, a number of other policies can be found in the Learning and Teaching Category of Policy Central.

Student Code of Conduct

Macquarie University students have a responsibility to be familiar with the Student Code of Conduct: https://students.mq.edu.au/support/student_conduct/

Supplementary Exams

Further information regarding supplementary exams, including dates, is available here

http://www.businessandeconomics.mq.edu.au/current_students/undergraduate/how_do_i/special_consideration

Student Support

Macquarie University provides a range of support services for students. For details, visit http://students.mq.edu.au/support/

Learning Skills

Learning Skills (mq.edu.au/learningskills) provides academic writing resources and study strategies to improve your marks and take control of your study.

Student Services and Support

Students with a disability are encouraged to contact the Disability Service who can provide appropriate help with any issues that arise during their studies.

Student Enquiries

For all student enquiries, visit Student Connect at ask.mq.edu.au

IT Help

For help with University computer systems and technology, visit http://informatics.mq.edu.au/help/. 

When using the University's IT, you must adhere to the Acceptable Use Policy. The policy applies to all who connect to the MQ network including students.

Graduate Capabilities

PG - Discipline Knowledge and Skills

Our postgraduates will be able to demonstrate a significantly enhanced depth and breadth of knowledge, scholarly understanding, and specific subject content knowledge in their chosen fields.

This graduate capability is supported by:

Learning outcomes

  • Understand different types of survival models and key concepts of survival analysis
  • Able to connect the concepts of survival models and statistical inference with practical actuarial problems
  • Master the skills of nonparametric and parametric methods to estimate parameters and probability distributions
  • Understand the ideas and concepts of Markov properties and processes
  • Able to solve Markov transition probabilities via matrix theory and differential equations and to estimate the transition rates
  • Capable of integrating advanced mathematical theory and techniques of survival models into actuarial modelling and applications

Assessment tasks

  • Assignment 1
  • Assignment 2
  • Examination

PG - Critical, Analytical and Integrative Thinking

Our postgraduates will be capable of utilising and reflecting on prior knowledge and experience, of applying higher level critical thinking skills, and of integrating and synthesising learning and knowledge from a range of sources and environments. A characteristic of this form of thinking is the generation of new, professionally oriented knowledge through personal or group-based critique of practice and theory.

This graduate capability is supported by:

Learning outcomes

  • Able to connect the concepts of survival models and statistical inference with practical actuarial problems
  • Master the skills of nonparametric and parametric methods to estimate parameters and probability distributions
  • Able to solve Markov transition probabilities via matrix theory and differential equations and to estimate the transition rates
  • Capable of integrating advanced mathematical theory and techniques of survival models into actuarial modelling and applications

Assessment tasks

  • Assignment 1
  • Assignment 2
  • Examination

PG - Research and Problem Solving Capability

Our postgraduates will be capable of systematic enquiry; able to use research skills to create new knowledge that can be applied to real world issues, or contribute to a field of study or practice to enhance society. They will be capable of creative questioning, problem finding and problem solving.

This graduate capability is supported by:

Learning outcomes

  • Master the skills of nonparametric and parametric methods to estimate parameters and probability distributions
  • Able to solve Markov transition probabilities via matrix theory and differential equations and to estimate the transition rates
  • Capable of integrating advanced mathematical theory and techniques of survival models into actuarial modelling and applications

Assessment tasks

  • Assignment 2
  • Examination

Research and Practice

This unit gives you opportunities to conduct your own research and provides ample examples of applications for practice.