STAT3035 Risk Theory
Later Year Course
| Offered By | School of Finance, Actuarial Studies & Appl Stats |
|---|---|
| Academic Career | Undergraduate |
| Course Subject | Statistics |
| Offered in | First Semester, 2011 and First Semester, 2012 |
| Unit Value | 6 units |
| Course Description |
Objective: 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 | On completion of this course students should understand and be able to apply the processes and applications outlined in the course description. |
| Indicative Assessment |
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| Workload |
Three contact hours per week plus private study time. |
| Areas of Interest | Actuarial Studies and Statistics |
| Requisite Statement |
STAT3004 Stochastic Modelling |
| Prescribed Texts | See Course Website: http://ecocomm.anu.edu.au/courses/course.asp?code=STAT3035 |
| Preliminary Reading |
See Course Website: http://ecocomm.anu.edu.au/courses/course.asp?code=STAT3035
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| Indicative Reading List | See Course Website: http://ecocomm.anu.edu.au/courses/course.asp?code=STAT3035 |
| Other Information |
For further information please refer to http://ecocomm.anu.edu.au/courses/course.asp?code=STAT3035 |
| Science Group | C |
| Academic Contact | See: http://ecocomm.anu.edu.au/courses/course.asp?code=STAT3035 |
The information published on the Study at ANU 2011 website applies to the 2011 academic year only. All information provided on this website replaces the information contained in the Study at ANU 2010 website.
