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Stochastic Techniques in Insurance (ACTL20003)
Undergraduate level 2Points: 12.5Dual-Delivery (Parkville)
Please refer to the return to campus page for more information on these delivery modes and students who can enrol in each mode based on their location.
Overview
| Availability | Semester 2 - Dual-Delivery |
|---|---|
| Fees | Look up fees |
This subject aims to provide a thorough grounding in stochastic techniques for actuarial studies. It covers some probability concepts including expectations, conditional expectations, joint and marginal distributions, moment generating function and probability generating function; some commonly used probability distributions in insurance and finance; mixed distributions and actuarial applications; ordinary differential equations and actuarial applications; recursive techniques and actuarial applications; actuarial applications of Laws of Large Numbers and Central Limit Theorem; generating and Laplace transforms; actuarial applications of Brownian motion, geometric Brownian motion and lognormal distribution; stochastic integrals and Ito’s formulae.
Intended learning outcomes
On completion of this subject, students should be able to:
- Discuss joint and marginal distributions, analyse mixed random variables, and apply some commonly used probability distributions in insurance and finance.
- Describe expectations and conditional expectations and apply them in solving problems in insurance and finance.
- Apply moment generating function and probability generating functions in solving problems in insurance.
- Describe the Laws of Large Numbers and the Central Limit Theorems and apply them to actuarial problems.
- Solve and apply some types of ordinary differential equations in actuarial problems.
- Apply recursive techniques in insurance and finance.
- Apply generating transform and Laplace transform techniques in insurance.
- State the definitions and properties of Brownian motion and geometric Brownian motion.
- Perform calculations with stochastic integrals and Ito’s formula.
Generic skills
- High level of development: written skills; problem solving; statistical reasoning; application of theory to practice; derivations and proofs of mathematical results
Last updated: 31 January 2024
Eligibility and requirements
Prerequisites
All of
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| ACTL20001 | Introductory Financial Mathematics | Semester 1 (Dual-Delivery - Parkville) |
12.5 |
| MAST20004 | Probability |
Semester 1 (Dual-Delivery - Parkville)
Semester 2 (Dual-Delivery - Parkville)
|
12.5 |
Corequisites
None
Non-allowed subjects
None
Recommended background knowledge
Refer to Prerequisites
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: 31 January 2024
Assessment
| Description | Timing | Percentage |
|---|---|---|
Assignment 1 (Week 5 -7)
| First half of the teaching period | 15% |
Assignment 2 (Week 10-12)
| Second half of the teaching period | 15% |
Final Exam
| During the examination period | 70% |
Additional details
Important online examination information: This examination is the equivalent of a 2-hour assessment; however, students are provided with 3-hours to accommodate the time that will be required for typesetting of mathematical expressions and the uploading of documents.
Last updated: 31 January 2024
Dates & times
- Semester 2
Coordinator Shuanming Li Mode of delivery Dual-Delivery (Parkville) Contact hours Two 1-hour lectures and one 1-hour tutorial per week Total time commitment 170 hours Teaching period 26 July 2021 to 24 October 2021 Last self-enrol date 6 August 2021 Census date 31 August 2021 Last date to withdraw without fail 24 September 2021 Assessment period ends 19 November 2021 Semester 2 contact information
Prof. Shuanming Li shli@unimelb.edu.au
Last updated: 31 January 2024
Further information
- Texts
Prescribed texts
None
- 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.
- 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: 31 January 2024