Risk Theory I (ACTL40002)
HonoursPoints: 12.5On Campus (Parkville)
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 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
-
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
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| ACTL30007 | Actuarial Modelling III | Semester 1 (On Campus - 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: 4 March 2025
Assessment
| Description | Timing | Percentage |
|---|---|---|
Mid-semester Test
| Week 7 | 10% |
Written Assignment
| Week 12 | 20% |
End-of-semester Examination
| During the examination period | 70% |
Last updated: 4 March 2025
Dates & times
- Semester 1
Principal coordinator Enrique Calderin Mode of delivery On Campus (Parkville) Contact hours Three hours of lectures and/or tutorials per week Total time commitment 170 hours Teaching period 3 March 2025 to 1 June 2025 Last self-enrol date 14 March 2025 Census date 31 March 2025 Last date to withdraw without fail 9 May 2025 Assessment period ends 27 June 2025 Semester 1 contact information
Enrique Calderin: Enrique.calderin@unimelb.edu.au
Time commitment details
170 Hours
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
- 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
Last updated: 4 March 2025