Risk Theory I (ACTL40002)

HonoursPoints: 12.5On Campus (Parkville)

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Overview

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Semester 1
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Topics include collective risk model, calculation of moments and mgf of aggregate claims, recursion formulae, effect of reinsurance; individual risk model, recursion formulae and approximations; credibility theory, exact credibility and the Buhlmann-Straub model; an introduction to ruin theory.

Intended learning outcomes


  • Apply relevant pre-requisite knowledge of mathematics, probability theory and statistics in the solution of a range of practical problems;
  • Derive and calculate probabilities for, and moments of, loss distributions both with and without simple reinsurance arrangements;
  • Construct risk models appropriate for short term insurance contracts and derive both moments and moment generating functions for aggregate claim amounts under these models;
  • Derive recursion formulae to calculate aggregate claims distributions for short term insurance contracts;
  • Describe and apply approximate methods of calculating an aggregate claims distribution;
  • Explain the fundamental concepts of Bayesian statistics and apply these concepts to derive Bayesian estimators;
  • Describe and apply the fundamental concepts of credibility theory;
  • Explain the concept of ruin for a risk model;
  • Explain the significance of the adjustment coefficient in ruin theory.

Generic skills

  • High level of development: written communication; problem solving; statistical reasoning; application of theory to practice; interpretation and analysis.

Last updated: 3 November 2022