300-407 Risk Theory II

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300-407 Risk Theory II
Credit Points	12.5
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; reinsurance problems; 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.
Generic Skills	High level of development: written communication; problem solving; statistical reasoning; application of theory to practice; interpretation and analysis.
Assessment	A 50-minute mid-semester test (20%) and a 2-hour end-of-semester examination (80%).

Search : Index : Faculty of Economics and Commerce : Actuarial Studies
Prev 300-406 Risk Theory I
Next 300-408 Advanced Financial Mathematics I

Status:                   Official 2007
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