Long-Term Actuarial Mathematics Exam: SPRING 2021
Long-Term Actuarial Mathematics Exam: SPRING 2021
Long-Term Actuarial Mathematics Exam: SPRING 2021
SPRING 2021
The current intent of the Society of Actuaries is that the LTAM Exam Spring 2021 will follow the same
format as the previous LTAM Exams. This would include 20 multiple-choice questions worth 40
points and written-answer questions worth 56 points as described in the previous paragraph. This
Exam will be taken as a “pencil and paper” exam for the written-answer portion as in the past,
regardless of the location (SOA established test center or Prometric test center). Please check back
on the Updates page for the final decision.
Introductory Study Note The Introductory Study Note has a complete listing of all study
notes as well as errata and other important information.
Past Exams Past MLC Exams from 2000 – April, 2018 are available on the SOA
website. The LTAM Exam from October 2018 through October
2020 are available on the SOA website.
Updates Candidates should be sure to check the Updates page on the exam
home page periodically for additional corrections or notices.
Learning Objectives
The Candidate will understand the key features of long-term insurance coverages.
Learning Outcomes
a) Describe the long-term coverages in insurance (life, health, and general), annuities,
and retirement benefits (e.g. pensions, retiree health care, etc.)
b) Describe the similarities and differences between the long-term coverages identified
in Learning Outcome 1a.
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2. Topic: Survival models and their estimation (15-25%)
Learning Objectives
The Candidate will understand key concepts concerning parametric and non-parametric
(tabular) and multi-state models including single life, or multiple life, and multiple
decrements.
Learning Outcomes
d) Calculate, using both seriatim and grouped data, maximum likelihood estimates of
transition probabilities assuming constant transition intensity during fixed age
intervals.
e) Calculate the variances of and construct confidence intervals for the estimators in
parts c) and d).
h) For models dealing with multiple lives and/or multiple states, explain the random
variables associated with the model and calculate and interpret marginal and
conditional probabilities.
j) Describe the behavior of Markov chain models, identify possible transitions between
states, and calculate and interpret the probability of being in a particular state and
transitioning between states.
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Learning Objectives
The Candidate will be able to perform calculations on the present value random variables
associated with benefits and expenses for any of the models in Learning Objective 2.
Learning Outcomes
Learning Objectives
Learning Outcomes
c) Using the models in Learning Objective 2, calculate and interpret the effect of
changes in benefits or underlying assumptions such as decrements, morbidity,
expenses, and interest.
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Learning Objectives
The Candidate will understand reserves for insurances and annuities for models
in Learning Objectives 2 and 4.
Learning Outcomes
• Net premium
• Modified
• Gross premium
• Expense
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6. Topic: Pension Plans and Retirement Benefits (10-15%)
Learning Objectives
The Candidate will understand how the models from previous Learning Objectives apply to
pension plans and retirement benefits.
Learning Outcomes
a) Describe and compare defined contribution and defined benefit pension plans
including final salary and career average earning plans.
c) Identify and interpret the common states and decrements for pension plans, and the
parametric and tabular models, including Markov chain models, associated with these
decrements.
d) Given particular participant data, plan provisions, and valuation assumptions, apply
the models mentioned in learning outcome 6c to defined benefit pension plans and
calculate and interpret replacement ratios, accrued benefits, gain or loss, and their
expected values with adjustments such as the early retirement reduction factor.
f) Identify and interpret the assumptions and methods for retiree health care plans.
Given particular participant data, plan provisions, and valuation assumptions,
calculate and interpret the expected present value of future benefits, accumulated
postretirement benefit obligation (APBO), and the normal cost or service cost for
retiree health care plans.
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Resources
• Actuarial Mathematics for Life Contingent Risks, Third Edition Dickson, C.M.D., Hardy, M.R.,
Waters, H.R. (2020), Cambridge University Press ISBN: 978-1-108-47808-3. Exercises are
considered part of the required readings.
o Chapters 1 – 11, Chapter 13 and Chapter 19 excluding 1.12, 2.7, 3.13, 4.8, 5.14,
6.8, 7.2.5, 7.5, 7.6, 7.9, 7.10, 8.11, 10.8, 11.13, 13.8, 13.10 and 19.5
o The student should also exclude information on De Moivre’s Law on Page 42.
• One study note:
o LTAM-22-19 Chapters 10, 11, and 14 from Loss Models, From Data to Decisions, 5th
edition, 2018 by Klugman, Panjer, and Willmot. Chapters 10 and 11 are provided for
background reading. Chapter 14 is required reading, except for Sections 14.4 and 14.6.
Note: the text and study notes will not be available with the examination booklet. A copy of the
Tables will be available.