Handbook

ACTL30005 Models for Insurance and Finance

Credit Points: 12.5
Level: 3 (Undergraduate)
Dates & Locations:

This subject has the following teaching availabilities in 2017:

Semester 2, Parkville - Taught on campus.Show/hide details
Pre-teaching Period Start not applicable
Teaching Period 24-Jul-2017 to 22-Oct-2017
Assessment Period End 17-Nov-2017
Last date to Self-Enrol 04-Aug-2017
Census Date 31-Aug-2017
Last date to Withdraw without fail 22-Sep-2017


Timetable can be viewed here.
For information about these dates, click here.
Time Commitment: Contact Hours: Three hours of lectures and/or tutorials per week
Total Time Commitment:

Estimated total time commitment of 170 hours.

Prerequisites:

For students who started their degree in 2007 or earlier:

BOTH of:

AND either:

  • 620-113 Applied Mathematics (Advanced Plus) or;
  • 620-123 Applied Mathematics (Advanced).

For students who started their degree in 2008 or later:

BOTH of:

Corequisites:

None

Recommended Background Knowledge:

Please refer to Prerequisites and Corequisites.

Non Allowed Subjects:

Student may not gain credit for both ACTL30005 Models for Insurance and Finance and 300-332 Modelling in Insurance and Finance II.

Core Participation Requirements:

For the purposes of considering request for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Student Support and Engagement Policy, academic requirements for this subject are articulated in the Subject Overview, Learning Outcomes, Assessment and Generic Skills sections of this entry.

It is University policy to take all reasonable steps to minimise the impact of disability upon academic study, and reasonable adjustments will be made to enhance a student's participation in the University's programs. Students who feel their disability may impact on meeting the requirements of this subject are encouraged to discuss this matter with a Faculty Student Adviser and Student Equity and Disability Support: http://services.unimelb.edu.au/disability

Coordinator

Assoc Prof Shuanming Li

Contact

shli@unimelb.edu.au

Subject Overview:

Topics include: probability concepts; martingales in actuarial studies and finance; applications of Brownian motion, geometric Brownian motion and the lognormal distribution; stochastic calculus; models for financial time series; applications of Monte Carlo simulation in insurance and finance.

Learning Outcomes:

• Have an understanding of some probability concepts to solve problems using sigma-algebras, probability measures, random variables, distributions and expectations of random variables;

• Describe conditional expectations and apply their properties to simplify calculations;

• Construct and apply martingales in solving problems in insurance and finance;

• Gain basic knowledge of Brownian motion and geometric Brownian motion.

• Perform calculations with stochastic integrals and Ito's formula.

Assessment:
  • 50-minute mid-semester test, middle of semester (10%)
  • One 1000-word assignment, due in the second half of semester (10%)
  • 2-hour end-of-semester examination, end of semester (80%)
  • To pass this subject students must pass the end of semester examination.
Prescribed Texts:

You will be advised of prescribed texts by your lecturer.

Recommended Texts:

Information Not Available

Breadth Options:

This subject potentially can be taken as a breadth subject component for the following courses:

You should visit learn more about breadth subjects and read the breadth requirements for your degree, and should discuss your choice with your student adviser, before deciding on your subjects.

Fees Information: Subject EFTSL, Level, Discipline & Census Date
Generic Skills:
  • High level of development: written communication; problem solving; statistical reasoning; application of theory to practice; synthesis of data and other information.

Notes:



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