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# Insurance Risk Models II (ACTL90014)

Graduate courseworkPoints: 12.5On Campus (Parkville)

You’re currently viewing the 2019 version of this subject

## Overview

Availability | Semester 2 |
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Fees | Look up fees |

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.

Last updated: 3 November 2022