Insurance Risk Models (ACTL90004)

Graduate courseworkPoints: 12.5On Campus (Parkville)

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Overview

Availability
Semester 1
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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: 4 March 2025

Eligibility and requirements

Prerequisites

Admission into the MC-COMACTS Master of Commerce (Actuarial Science)

OR

Code Name Teaching period Credit Points
ACTL30007 Actuarial Modelling III
Semester 1 (On Campus - Parkville)
 12.5

OR

Equivalent

Corequisites

None

Non-allowed subjects

None

Recommended background knowledge

Students should be competent in the use of Excel.

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: 4 March 2025

Assessment

DescriptionTimingPercentage

Individual assignment

  • 1500 words
Week 1220%

Mid-semester test

  • 1 hours
Week 710%

End-of-semester exam

  • 2 hours
Hurdle requirement: To pass this subject students must pass the end of semester examination.		During the examination period70%

Last updated: 4 March 2025

Dates & times

  • Semester 1
    Principal coordinatorEnrique Calderin
    Mode of deliveryOn Campus (Parkville)
    Contact hoursA 2 hour seminar and a 1 hour workshop per week
    Total time commitment170 hours
    Teaching period26 February 2024 to 26 May 2024
    Last self-enrol date 8 March 2024
    Census date 3 April 2024
    Last date to withdraw without fail 3 May 2024
    Assessment period ends21 June 2024

    Semester 1 contact information

    enrique.calderin@unimelb.edu.au

     

Time commitment details

Estimated total time commitment of 170 hours per semester

What do these dates mean

Visit this webpage to find out about these key dates, including how they impact on:

  • Your tuition fees, academic transcript and statements.
  • And for Commonwealth Supported students, your:
       -  Student Learning Entitlement. This applies to all students enrolled in a Commonwealth Supported Place (CSP).
     

    Subjects withdrawn after the census date (including up to the ‘last day to withdraw without fail’) count toward the Student Learning Entitlement.

Last updated: 4 March 2025

Further information

  • Texts

    Prescribed texts

    You will be advised of prescribed texts by your lecturer.

  • Related Handbook entries

    This subject contributes to the following:

    TypeName
    CourseGraduate Diploma in Actuarial Science
    CourseMaster of Commerce (Actuarial Science)
  • 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: 4 March 2025