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Risk Theory I (ACTL40002)
HonoursPoints: 12.5Dual-Delivery (Parkville)
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About this subject
- Overview
- Eligibility and requirements
- Assessment
- Dates and times
- Further information
- Timetable(opens in new window)
Contact information
Overview
Availability | Semester 1 - Dual-Delivery |
---|---|
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; stochastic ordering; comparisons of random losses in terms of risk measures; ruin theory, explicit solutions for the probability of ultimate ruin, the effect of reinsurance on ruin probabilities.
Intended learning outcomes
On 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;
- Demonstrate a deep understanding of utility theory and apply them to insurance problems;
- Describe modern premium calculation principles and show whether a premium calculation principle satisfies certain properties;
- Design the optimal reinsurance for the insurer and the reinsurer under different optimality criterion;
- Describe the effect of reinsurance arrangements on ruin probabilities;
- Derive explicit solutions for the ruin probability in the classical risk model;
- Compare tail variabilities of random losses using commonly used risk measures.
- Analyse and assess risks using stochastic orderings.
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: 31 January 2024
Eligibility and requirements
Prerequisites
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ACTL30007 | Actuarial Modelling III | Semester 1 (Dual-Delivery - 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: 31 January 2024
Assessment
Description | Timing | Percentage |
---|---|---|
Mid-semester Test
| Week 7 | 10% |
Written Assignment
| Week 12 | 20% |
End-of-semester Examination
| 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 1
Principal coordinator Enrique Calderin Mode of delivery Dual-Delivery (Parkville) Contact hours Three hours of lectures and/or tutorials 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
Time commitment details
170 Hours
Last updated: 31 January 2024
Further information
- Texts
Prescribed texts
You will be advised of prescribed texts by your lecturer.
Recommended texts and other resources
Information Not Available
- 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