Handbook 1996 : Faculty of Economics and Commerce (Volume 3 page 193)
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300-304 Risk Theory

Year 3 Actuarial Studies.

Credit points: 12.5

Coordinator: Dr David Dickson

Prerequisite: 619-202 Theory of Statistics

Contact: Three 1-hour lectures and a one hour tutorial

Timetable: First semester

Objectives:

On completion of this subject, students should be able to:

• calculate probabilities for, and moments of, loss distributions both with and without simple reinsurance arrangements;
• construct risk models appropriate to short term insurance contracts and calculate the moment generating function and the moments for the risk models both with and without simple reinsurance arrangements;
• calculate and approximate the aggregate claims distribution for short term insurance contracts;
• explain the concept of ruin for a risk model, calculate the adjustment coefficient and derive Lundberg's inequality for a compound Poisson model. Describe the effect on the probability of ruin of changing parameter values and of simple reinsurance arrangements; and
• describe and apply the fundamental concepts of credibility theory.

Content:

Statistical distributions in insurance; inferences from insurance data; risk models, ruin theory; experience rating and credibility theory.

Assessment:

A 3-hour end-of-semester examination (85%) and a one and a half hour examination during the semester (15 per cent).

Prescribed texts:

• I D Currie, Loss Distributions, D C M Dickson and H R Waters, Risk Models, D C M Dickson & H R Waters, Ruin Theory, H R Waters, Credibility Theory

Actuarial Studies subject : Next:300-310 | Prev:300-302 | Search | Help
Handbook 1996 : Faculty of Economics and Commerce (Volume 3 page 193)

Status:          Official 1996
Date created:    Oct  9 1995
Last modified:   Oct  9 1995
Authorised by:   Academic Registrar
Email enquiries: Course_Information@registrar.unimelb.edu.au

Copyright © University of Melbourne 1995,1996.