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Insurance Risk Models (ACTL90004)

Graduate courseworkPoints: 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, De Pril's recursion formula; fundamentals of decision theory; credibility theory; exact credibility and the Buhlmann-Straub model; basics of ruin theory.

Intended learning outcomes

On successful completion of this subject a student should be able to:



  • Explain the fundamental concepts of Bayesian statistics and apply these concepts to derive Bayesian estimators;
  • Describe and apply the fundamental concepts of credibility theory;
  • 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 concept of ruin for a risk model.

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