300-407 Risk Theory II

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300-407 Risk Theory II
Credit Points	12.5
HECS Band	2
Coordinator	D.C.M. Dickson
Prerequisites	300-406 Risk Theory I.
Semester	2 (view timetable)
Contact	Three hours of lectures and/or tutorials per week
Subject Description	Topics include premium principles, including variance principle, Esscher principle, risk adjusted principle; applications of utility theory, premium calculation and optimal reinsurance retention levels; estimation of outstanding claims reserves; ruin theory, the adjustment coefficient and 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 the adjustment coefficient.
Assessment	A 3-hour end-of-semester examination (100%).

Search : Index : Faculty of Economics and Commerce : Actuarial studies
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Next 300-408 Advanced Financial Mathematics

Status:                   Official 2003
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