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Risk Theory II (ACTL40003)
HonoursPoints: 12.5On Campus (Parkville)
For information about the University’s phased return to campus and in-person activity in Winter and Semester 2, please refer to the on-campus subjects page.
About this subject
- Overview
- Eligibility and requirements
- Assessment
- Dates and times
- Further information
- Timetable(opens in new window)
Contact information
Semester 2
Please refer to the LMS for up-to-date subject information, including assessment and participation requirements, for subjects being offered in 2020.
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
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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
Due to the impact of COVID-19, assessment may differ from that published in the Handbook. Students are reminded to check the subject assessment requirements published in the subject outline on the LMS
Semester 2
Description | Timing | Percentage |
---|---|---|
Mid-semester test
| Mid semester | 20% |
Written assignment
| Second half of the teaching period | 10% |
End-of-semester examination
| During the examination period | 70% |
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 3 August 2020 to 1 November 2020 Last self-enrol date 14 August 2020 Census date 21 September 2020 Last date to withdraw without fail 16 October 2020 Assessment period ends 27 November 2020 Semester 2 contact information
Time commitment details
170 Hours
Last updated: 3 November 2022
Further information
- Texts
Prescribed texts
You will be advised of prescribed texts by your lecturer.
Recommended texts and other resources
Information Not Available
- Available to Study Abroad and/or Study Exchange Students
This subject is available to students studying at the University from eligible overseas institutions on exchange and study abroad. Students are required to satisfy any listed requirements, such as pre- and co-requisites, for enrolment in the subject.
Last updated: 3 November 2022