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Actuarial Modelling III (ACTL30007)
Undergraduate level 3Points: 12.5Dual-Delivery (Parkville)
From 2023 most subjects will be taught on campus only with flexible options limited to a select number of postgraduate programs and individual subjects.
To learn more, visit COVID-19 course and subject delivery.
About this subject
- Overview
- Eligibility and requirements
- Assessment
- Dates and times
- Further information
- Timetable(opens in new window)
Contact information
Semester 1
Benjamin Avanzi: b.avanzi@unimelb.edu.au
Overview
Availability | Semester 1 - Dual-Delivery |
---|---|
Fees | Look up fees |
This subject aims to provide a grounding in stochastic modelling techniques that are of particular relevance to actuarial work in general insurance, covering loss distribution with and without risk sharing, calculation of moments and moment generating function of aggregate claims, recursion formulae, effect of reinsurance, individual risk model involving recursion formulae and approximations, modelling dependence by copulas, extreme value theorems and applications, and time series models.
Intended learning outcomes
On completion of this subjects, 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.
- Derive and calculate probabilities for, and moments of, loss distributions both with and without simple reinsurance arrangements.
- Estimate the parameters of a loss distribution when data is complete or incomplete.
- Fit a statistical distribution to a dataset and perform goodness-of-fit tests.
- Construct risk models appropriate for short term insurance contracts and derive both moments and moment generating functions for aggregate claim amounts under these models with and without simple forms of proportional and excess of loss reinsurance.
- Derive recursion formulae and apply approximation methods to calculate aggregate claims distributions.
- Describe and apply copulas to model dependent risks.
- Apply extreme value theory in modelling the distribution of severity of loss.
- Describe and apply the main concepts and properties underlying the analysis of several time series models.
Generic skills
- High level of development: written skills; problem solving; statistical reasoning; application of theory to practice; interpretation and analysis; use of computer software
Last updated: 31 January 2024
Eligibility and requirements
Prerequisites
For 2020, students must have completed both of:
Code | Name | Teaching period | Credit Points |
---|---|---|---|
MAST20005 | Statistics |
Summer Term (Dual-Delivery - Parkville)
Semester 2 (Dual-Delivery - Parkville)
|
12.5 |
ACTL20002 Financial Mathematics II
From 2021, students must have completed both of:
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ACTL20003 | Stochastic Techniques in Insurance | Semester 2 (Dual-Delivery - Parkville) |
12.5 |
MAST20005 | Statistics |
Summer Term (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
| Second half of the teaching period | 25% |
Mid-semester test
| Mid semester | 15% |
End-of-semester examination
| During the examination period | 60% |
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 1
Principal coordinator Benjamin Avanzi 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 28 February 2022 to 29 May 2022 Last self-enrol date 11 March 2022 Census date 31 March 2022 Last date to withdraw without fail 6 May 2022 Assessment period ends 24 June 2022 Semester 1 contact information
Benjamin Avanzi: b.avanzi@unimelb.edu.au
Last updated: 31 January 2024
Further information
- Texts
Prescribed texts
Prescribed textbooks are:
• Wuthrich, Mario V., Non-Life Insurance: Mathematics & Statistics (January 7, 2020). Available at SSRN: https://ssrn.com/abstract=2319328
• Shumway, Robert H., Stoffer, David S. (2017) Time Series Analysis and Its Applications With R Examples, Springer, ISBN 978-3-319-52452-8 - 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.
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