Exam MAS-II: Modern Actuarial Statistics II Study Guide
Advanced credibility, loss distributions, ratemaking, reserving, risk measures, and predictive modeling.
Overview
Exam MAS-II (Modern Actuarial Statistics II) covers advanced actuarial topics including credibility, loss distributions, ratemaking, reserving, risk measures, and predictive modeling for CAS candidates. It builds on MAS-I and applies statistical methods to real insurance problems. This exam replaced portions of the former Exam 4 and Exam S.
Exam Format
- Duration
- 240 minutes (4 hours)
- Questions
- 40 multiple-choice questions
- Pathway
- CAS
- Format
- Computer-based testing (CBT)
Topic Breakdown
Loss Distributions
15-20%Parametric families, coverage modifications, censoring and truncation, maximum likelihood estimation
Credibility
15-20%Limited fluctuation, Buhlmann, Buhlmann-Straub, exact Bayesian, empirical Bayes nonparametric
Ratemaking
15-20%Individual and class ratemaking, loss development, trending, expense loading, profit and contingencies
Reserving
15-20%Chain-ladder, Bornhuetter-Ferguson, Cape Cod, frequency-severity, paid vs. incurred triangles
Risk Measures
10-15%VaR, TVaR (CTE), coherent risk measures, risk-adjusted capital, reinsurance applications
Predictive Modeling
10-15%GLMs for insurance data, model selection, cross-validation, regularization (LASSO, Ridge), model interpretation
Recommended Study Approach
- 1
Master the parametric loss distributions (Pareto, Lognormal, Weibull, Gamma) and practice fitting them to data using MLE.
- 2
Study coverage modifications (deductibles, limits, inflation) and their effect on distribution parameters.
- 3
Practice credibility calculations extensively, especially Buhlmann and Buhlmann-Straub parameter estimation.
- 4
For ratemaking, work through complete rate indications including development, trending, on-leveling, and credibility weighting.
- 5
Study reserving methods by completing full triangle exercises with chain-ladder, BF, and Cape Cod methods.
- 6
Understand risk measures (VaR, TVaR, CTE) and their properties, especially subadditivity for TVaR.