# Insurance Risk Models II (ACTL90014)

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## Overview

Year of offer 2018 Graduate coursework ACTL90014 Parkville Semester 2 Subject EFTSL, Level, Discipline & Census Date

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; ruin theory, Lundberg's inequality, explicit solutions for the probability of ultimate ruin, application of Panjer's recursion formula, the probability and severity of ruin, the effect of reinsurance on ruin probabilities.

## Intended learning outcomes

On successful 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;
• Describe the basic concepts of utility theory and apply them to insurance problems;
• Explain the concepts of a premium calculation principle and show whether a premium calculation principle satisfies certain properties;
• Derive Lundberg's inequality;
• Describe the effect of simple reinsurance arrangements on ruin probabilities;
• Derive explicit solutions for the ruin probability in the classical risk model;
• Calculate approximations to ruin probabilities, explaining the rationale behind each approach.

## Generic skills

On successful completion of this subject students should have enhanced their skills in:

• High level of development: written communication; problem solving; statistical reasoning; application of theory to practice; interpretation and analysis.

Last updated: 11 January 2018