Risk Theory II

Subject ACTL40003 (2011)

Note: This is an archived Handbook entry from 2011.

Credit Points: 12.50
Level: 4 (Undergraduate)
Dates & Locations:

This subject has the following teaching availabilities in 2011:

Semester 2, Parkville - Taught on campus.
Pre-teaching Period Start not applicable
Teaching Period not applicable
Assessment Period End not applicable
Last date to Self-Enrol not applicable
Census Date not applicable
Last date to Withdraw without fail not applicable


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: Not available
Prerequisites:

The following:

Subject
Study Period Commencement:
Credit Points:
Semester 1
12.50
Corequisites: None
Recommended Background Knowledge: Please refer to Prerequisites and Corequisites.
Non Allowed Subjects: None
Core Participation Requirements:

For the purposes of considering requests for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Students Experiencing Academic Disadvantage Policy, academic requirements for this subject are articulated in the Subject Description, Subject Objectives, Generic Skills and Assessment Requirements for this entry.

The University is dedicated to provide support to those with special requirements. Further details on the disability support scheme can be found at the Disability Liaison Unit website: http://www.services.unimelb.edu.au/disability/

Coordinator

Prof David Dickson

Contact

dcmd@unimelb.edu.au

Subject Overview:

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.
Objectives:
  • Apply relevant pre-requisite knowledge of mathematics, probability theory and statistics in the solution of a range of practical problems;
  • Describe the basic concepts of utility theory and apply them to insurance problems;
  • Explain the concepts of a premium calculation principle and show whether a premium calculation principle satisfies certain properties;
  • Explain the significance of the adjustment coefficient in ruin theory and derive Lundberg's inequality;
  • Describe the effect of simple reinsurance arrangements on the adjustment coefficient;
  • Derive explicit solutions for the ruin probability in the classical risk model;
  • Calculate approximations to ruin probabilities, explaining the rationale behind each approach.
Assessment:

A 50-minute mid-semester test (20%) and a 2-hour end-of-semester examination (80%).
Prescribed Texts: You will be advised of prescribed texts by your lecturer.
Recommended Texts:

Information Not Available
Breadth Options:

This subject is not available as a breadth subject.
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; interpretation and analysis.

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