306543 (v.1) Risk Theory 302

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Area:	Department of Mathematics and Statistics
Credits:	25.0
Contact Hours:	5.0
Lecture:	1 x 3 Hours Weekly
Tutorial:	1 x 2 Hours Weekly
Prerequisite(s):	302315 (v.2) Mathematical Statistics 202 or any previous version
Syllabus:	Loss distribution, simple reinsurance arrangements, risk models, claim distribution for short term insurance contracts, ruin for a risk model, adjustment coefficient and Lundberg's inequality. Fundamental concepts of credibility theory, simple experiencerating system, some important methods for analyzing delay triangles and estimating outstanding claims.
Unit Outcomes:	On completion of the units students will be able to compute the probabilities and moments of loss distribution, both with and without simple reinsurance arrangements; describe risk models appropriate to short term insurance contracts and calculate the moment generating function and the moments for the risk models both with and without simple reinsurance arrangements; calculate and approximate the aggregate claim distribution for short term insurance contracts; explain the concept of ruin for a risk model; calculate the adjustment coefficient and derive Lundberg's inequality; describe the effect on the probability of ruin of changing parameter values and of simple reinsurance arrangements; explain the fundamental concepts of credibility theory and apply them; describe and apply techniques for analyzing a delay (or run-off) triangle and projecting the ultimate position.
Text and references listed above are for your information only and current as of September 30, 2003. Please check with the unit coordinator for up-to-date information.
Unit References:	Bowers, N. L., Gerber, H.U., Hickman, J.C., Jones, D. A. And Nesbitt, C. J. (1997) Actuarial Mathematics, Society of Actuaries. Hossack, I. B., Pollard, J. H, Zehnwirth, B (1999) Introductory statistics with applications to general insurance, 2nd edition, Cambridge University Press. Klugman, S.A. Panjer, H. H. Willmont, G. E (1998) Loss Models from data to decisions. John Wiley.
Unit Texts:	Daykin, C. D. Pentikainen, T and Pesones, M, (1994), Practical Risk theory for Actuaries, Chapman and Hall.
Unit Assessment Breakdown:	Assignments (2) 20%, Mid Semester Exam 10%, Final Exam 70%. This is by grade/mark assessment.
Year Location Period Internal Area External Central External 2004 Bentley Campus Semester 2 Y