Please refer to the return to campus page for more information on these delivery modes and students who can enrol in each mode based on their location in first half year 2021.
About this subject
- Eligibility and requirements
- Dates and times
- Further information
- Timetable(opens in new window)
The 2021 timetable will be available on 8 December, and after this date you will be able to view the classes for all 2021 subjects. Timetable preference entry will open for Summer subjects on 8 December. Visit the class timetable page for more information on creating your timetable.
Please refer to the specific study period for contact information.
Semester 1 - Online
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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.
High level of development: written skills; problem solving; statistical reasoning; application of theory to practice; interpretation and analysis; use of computer software
Last updated: 20 November 2020