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Insurance Risk Models II (ACTL90014)
Graduate courseworkPoints: 12.5Not available in 2024
Overview
| 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; 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: 30 January 2024
Eligibility and requirements
Prerequisites
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| ACTL90004 | Insurance Risk Models | Semester 1 (On Campus - Parkville) |
12.5 |
Corequisites
None
Non-allowed subjects
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| ACTL40003 | Risk Theory II | Not available in 2024 |
12.5 |
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: 30 January 2024
Assessment
| Description | Timing | Percentage |
|---|---|---|
Mid-semester test
| Mid semester | 20% |
Written assignment
| Second half of the teaching period | 10% |
End-of-semester examination
| During the examination period | 70% |
Last updated: 30 January 2024
Dates & times
Not available in 2024
Time commitment details
Estimated total time commitment of 170 hours per semester
Last updated: 30 January 2024
Further information
- Texts
Prescribed texts
You will be advised of prescribed texts by your lecturer.
- Related Handbook entries
This subject contributes to the following:
Type Name Course Master 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.
Entry requirements including prerequisites may apply. Please refer to the CAP applications page for further information.
Last updated: 30 January 2024