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Insurance Risk Models (ACTL90004)
Graduate courseworkPoints: 12.5On Campus (Parkville)
You’re currently viewing the 2024 version of this subject
Overview
| Availability | Semester 1 |
|---|---|
| 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 successful completion of this subject a student 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 the tail variability of random losses using commonly used risk measures
- Analyse and assess risks using stochastic orderings
Generic skills
High level of development:
- Written communication;
- Problem solving;
- Statistical reasoning;
- Application of theory to practice;
- Interpretation and analysis.
Last updated: 8 November 2024