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
Upon successful completion, students will have the knowledge and skills to:
To achieve an understanding of and facility in applying and communicating the following topics:
- Estimating using skewed distributions with and without the presence of censoring and truncation
- Aggregation of random quantities through compound distribution theory
- Compound Poisson process theory including approximation of boundary crossing probabilities as applied to calculating risk for insurance portfolios
Other Information
See the course outline on the College courses page. Outlines are uploaded as they become available.
Indicative Assessment
- Assignment 20%
- Final Exam 80%
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Workload
Three contact hours per week plus private study time.
Requisite and Incompatibility
Majors
Fees
Tuition fees are for the academic year indicated at the top of the page.
If you are a domestic graduate coursework or international student you will be required to pay tuition fees. Students continuing in their current program of study will have their tuition fees indexed annually from the year in which you commenced your program. Further information for domestic and international students about tuition and other fees can be found at Fees.
- Student Contribution Band:
- 2
- Unit value:
- 6 units
If you are an undergraduate student and have been offered a Commonwealth supported place, your fees are set by the Australian Government for each course. At ANU 1 EFTSL is 48 units (normally 8 x 6-unit courses). You can find your student contribution amount for each course at Fees. Where there is a unit range displayed for this course, not all unit options below may be available.
| Units | EFTSL |
|---|---|
| 6.00 | 0.12500 |
Course fees
- Domestic fee paying students
| Year | Fee | Description |
|---|---|---|
| 1994-2003 | $2784 | |
| 2014 | $3246 | |
| 2013 | $3246 | |
| 2012 | $3090 | |
| 2011 | $3090 | |
| 2010 | $3090 | |
| 2009 | $3090 | |
| 2008 | $3090 | |
| 2007 | $3090 | |
| 2006 | $3090 | |
| 2005 | $3084 | |
| 2004 | $3084 |
- International fee paying students
| Year | Fee |
|---|---|
| 1994-2003 | $2784 |
| 2014 | $3762 |
| 2013 | $3756 |
| 2012 | $3582 |
| 2011 | $3582 |
| 2010 | $3576 |
| 2009 | $3264 |
| 2008 | $3264 |
| 2007 | $3264 |
| 2006 | $3132 |
| 2005 | $3084 |
| 2004 | $3084 |
Offerings, Dates and Class Summary Links
ANU utilises MyTimetable to enable students to view the timetable for their enrolled courses, browse, then self-allocate to small teaching activities / tutorials so they can better plan their time. Find out more on the Timetable webpage.
Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.
First Semester
| Class number | Class start date | Last day to enrol | Census date | Class end date | Mode Of Delivery | Class Summary |
|---|---|---|---|---|---|---|
| 3279 | 17 Feb 2014 | 07 Mar 2014 | 31 Mar 2014 | 30 May 2014 | In Person | N/A |
