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General Insurance Modelling (ACTL90020)

Graduate courseworkPoints: 12.5On Campus (Parkville)

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Overview

Availability
Semester 1
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Topics include loss distribution with and without risk sharing; collective risk model, calculation of moments and moment generating function of aggregate claims, recursion formulae, effect of reinsurance; individual risk model, recursion formulae and approximations; copulas; extreme value theorems; time series.

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.
  • 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.
  • Introduce extreme value theory and its applications in modelling the distribution of severity of loss.
  • Explain and concepts and general properties of several time series models.

Generic skills

  • High level of development
  • Written skills
  • Problem solving
  • Statistical reasoning
  • Application of theory to practice
  • Interpretation and analysis
  • Use of computer software

Last updated: 31 January 2024

Eligibility and requirements

Prerequisites

All of

Code Name Teaching period Credit Points
MAST20004 Probability
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
 12.5
MAST20005 Statistics
Summer Term (On Campus - Parkville)
Semester 2 (On Campus - Parkville)
 12.5

OR

Equivalent

OR

Admission into the MC-ACTSCEN Master of Actuarial Science (Enhanced)

Corequisites

None

Non-allowed subjects

None

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: 31 January 2024

Assessment

Semester 1

DescriptionTimingPercentage

Individual Assignment 1

  • 1500 words
Second half of the teaching period25%

Mid semester exam

  • 1000 words
Mid semester15%

End-of-semester examination

  • 3 hours
Hurdle requirement: Final exam must be passed		During the examination period60%

Additional details

Important online examination information: This examination is the equivalent of a 2-hour assessment; however, students are provided with 3-hours to accommodate the time that will be required for typesetting of mathematical expressions and the uploading of documents.

Last updated: 31 January 2024

Dates & times

  • Semester 1
    Principal coordinatorBenjamin Avanzi
    Mode of deliveryOn Campus (Parkville)
    Contact hours2 hours' recorded lectures, 1 hour live online tutorial, 1 hour live consultation hours.
    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

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: 31 January 2024

Further information

  • Texts

    Prescribed texts

    Prescribed textbooks are:
    • Wuthrich, Mario V., Non-Life Insurance: Mathematics & Statistics (January 7, 2020). Available at SSRN: https://ssrn.com/abstract=2319328
    • Shumway, Robert H., Stoffer, David S. (2017) Time Series Analysis and Its Applications With R Examples, Springer, ISBN 978-3-319-52452-8

  • 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.

  • 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: 31 January 2024