## Handbook home

# Insurance Risk Models II (ACTL90014)

Graduate courseworkPoints: 12.5On Campus (Parkville)

About this subject

- Overview
- Eligibility and requirements
- Assessment
- Dates and times
- Further information
- Timetable(opens in new window)

## Contact information

Please refer to the specific study period for contact information.

## Overview

Year of offer | 2017 |
---|---|

Subject level | Graduate coursework |

Subject code | ACTL90014 |

Campus | Parkville |

Availability | Semester 2 |

Fees | Subject EFTSL, Level, Discipline & Census Date |

Topics considered in this subject 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

On successful completion of this subject, students should be able to:

- 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

On successful completion of this subject students should have enhanced their skills in:

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