STAT8035 Risk Theory
| Offered By | School of Finance and Applied Statistics |
|---|---|
| Academic Career | Graduate Coursework |
| Course Subject | Statistics |
| Offered in | First Semester, 2009 and First Semester, 2010 |
| Unit Value | 6 units |
| Course Description |
This course introduces the theory of compound Poisson processes, with a particular emphasis on their application to insurance portfolios (though their applicability in other areas is also noted). Topics include: Modelling loss distributions; Skewed parametric distribution families; Method of moments, method of percentiles and maximum likelihood estimation; Pearson goodness-of-fit testing for distribution assessment; Truncated and censored data, including applications to reinsurance and policy excess schemes; Random sums, convolutions and compound distributions, particularly for modeling aggregate claim distributions; Normal and gamma approximations to compound distributions; Compound Poisson process theory, including applications to insurance portfolio surplus processes; Ultimate and finite-time ruin probabilities; Adjustment coefficients and optimal reinsurance contracts. |
| Learning Outcomes | Introduction to the theory of compound Poisson processes, with emphasis on application to insurance portfolios. |
| Indicative Assessment |
Assignment 20% Final exam 80% |
| Workload | 10 hrs / wk |
| Course Classification(s) | AdvancedAdvanced courses are designed for students having reached 'first degree' level of assumed knowledge, which provide a deep understanding of contemporary issues; or 'second degree' and higher levels of knowledge; or for transition to research training programs. and SpecialistSpecialist courses are designed for students having reached 'first degree' level of assumed knowledge, which provide for the acquisition of specialist skills; or 'second degree' and higher level of knowledge; or for transition to research training programs; or knowledge associated with professional accreditation. |
| Areas of Interest | Actuarial Studies |
| Eligibility | At least an average of 65% (or equivalent) in the final two years of an Australian undergraduate degree with at least two years of university level statistical and mathematical study including calculus and linear algebra, as well as mathematical statistics and linear regression theory. |
| Prescribed Texts |
See Course Outline: http://ecocomm.anu.edu.au/courses/outline/STAT8035.pdf
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| Preliminary Reading |
See Course Outline: http://ecocomm.anu.edu.au/courses/outline/STAT8035.pdf
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| Indicative Reading List | See Course Outline: http://ecocomm.anu.edu.au/courses/outline/STAT8035.pdf |
| Programs | Graduate Certificate in Actuarial Studies, Master of Actuarial Studies, and Master of Applied Statistics |
| Other Information |
For further information please refer to http://ecocomm.anu.edu.au/courses/course.asp?code=STAT8035 |
| Academic Contact | See http://ecocomm.anu.edu.au/courses/course.asp?code=STAT8035 |
The information published on the Study at ANU 2009 website applies to the 2009 academic year only. All information provided on this website replaces the information contained in the Study at ANU 2008 website.
