Insurance Risk Models II (ACTL90014)
Graduate courseworkPoints: 12.5On Campus (Parkville)
Overview
| Availability | Semester 2 |
|---|---|
| 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
Eligibility and requirements
Prerequisites
ACTL90004 Insurance Risk Models
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| ACTL90004 | Insurance Risk Models | Semester 1 (On Campus - Parkville) |
12.5 |
Corequisites
None
Non-allowed subjects
ACTL40003 Risk Theory II
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| ACTL40003 | Risk Theory II | Semester 2 (On Campus - Parkville) |
12.5 |
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 1,000 word written assignment due second half of the semester (10%)
- A 2-hour end-of-semester examination (70%)
Note: Successful completion of this subject requires a pass (50%) in the final exam.
Last updated: 3 November 2022
Dates & times
- Semester 2
Principal coordinator Xueyuan Wu Mode of delivery On Campus (Parkville) Contact hours Three hours of lectures and/or tutorials per week Total time commitment 170 hours Teaching period 29 July 2019 to 27 October 2019 Last self-enrol date 9 August 2019 Census date 31 August 2019 Last date to withdraw without fail 27 September 2019 Assessment period ends 22 November 2019 Semester 2 contact information
Time commitment details
Estimated total time commitment of 170 hours per semester
Last updated: 3 November 2022
Further information
- Texts
- Related Handbook entries
- Available through the Community Access Program
About the Community Access Program (CAP)
This subject is available through the Community Access Program (also called Single Subject Studies) which allows you to enrol in single subjects offered by the University of Melbourne, without the commitment required to complete a whole degree.
Please note Single Subject Studies via Community Access Program is not available to student visa holders or applicants
Entry requirements including prerequisites may apply. Please refer to the CAP applications page for further information.
Last updated: 3 November 2022