Risk Theory II (ACTL40003)
HonoursPoints: 12.5On Campus (Parkville)
Overview
| Availability | Semester 2 |
|---|---|
| Fees | Look up fees |
Topics include premium principles, including variance principle, Esscher principle, risk adjusted principle; applications of utility theory, premium calculation and optimal reinsurance retention levels; reinsurance problems; ruin theory, Lundberg's inequality, explicit solutions for the probability of ultimate ruin, application of Panjer's recursion formula, the probability and severity of ruin, the effect of reinsurance on ruin probabilities.
Intended learning outcomes
- Apply relevant pre-requisite knowledge of mathematics, probability theory and statistics in the solution of a range of practical problems;
- Describe the basic concepts of utility theory and apply them to insurance problems;
- Explain the concepts of a premium calculation principle and show whether a premium calculation principle satisfies certain properties;
- Derive Lundberg's inequality;
- Describe the effect of simple reinsurance arrangements on ruin probabilities;
- Derive explicit solutions for the ruin probability in the classical risk model;
- Calculate approximations to ruin probabilities, explaining the rationale behind each approach.
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
Eligibility and requirements
Prerequisites
The following:
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| ACTL40002 | Risk Theory I | Semester 1 (On Campus - Parkville) |
12.5 |
Corequisites
None
Non-allowed subjects
None
Recommended background knowledge
Please refer to Prerequisites and Corequisites.
Inherent requirements (core participation requirements)
The University of Melbourne is committed to providing students with reasonable adjustments to assessment and participation under the Disability Standards for Education (2005), and the Assessment and Results Policy (MPF1326). Students are expected to meet the core participation requirements for their course. These can be viewed under Entry and Participation Requirements for the course outlines in the Handbook.
Further details on how to seek academic adjustments can be found on the Student Equity and Disability Support website: http://services.unimelb.edu.au/student-equity/home
Last updated: 3 November 2022
Assessment
Additional details
- A 50-minute mid-semester test (20%)
- A 2-hour end-of-semester examination (80%)
- To pass this subject students must pass the end of semester examination.
Last updated: 3 November 2022
Dates & times
- Semester 2
Principal coordinator Enrique Calderin Mode of delivery On Campus (Parkville) Contact hours Three hours of lectures and/or tutorials per week Total time commitment 170 hours Teaching period 24 July 2017 to 22 October 2017 Last self-enrol date 4 August 2017 Census date 31 August 2017 Last date to withdraw without fail 22 September 2017 Assessment period ends 17 November 2017 Semester 2 contact information
Time commitment details
170 Hours
Last updated: 3 November 2022
Further information
- Texts
Last updated: 3 November 2022