- Code STAT8035
- Unit Value 6 units
- Offered by Rsch Sch of Finance, Actuarial Studies & App Stats
- ANU College ANU College of Business and Economics
- Course subject Statistics
- Areas of interest Actuarial Studies
- Academic career PGRD
- Dr Timothy Higgins
- Mode of delivery In Person
First Semester 2015
See Future Offerings
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.
Upon successful completion, students will have the knowledge and skills to:
Introduction to the theory of compound Poisson processes, with emphasis on application to insurance portfolios.
See the course outline on the College courses page. Outlines are uploaded as they become available.
- Mid-Sem Exam 30%
- Final Exam 70%
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10 hrs / wk
Requisite and Incompatibility
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- Unit value:
- 6 units
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Offerings, Dates and Class Summary Links
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Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.
|Class number||Class start date||Last day to enrol||Census date||Class end date||Mode Of Delivery||Class Summary|
|1834||16 Feb 2015||06 Mar 2015||31 Mar 2015||29 May 2015||In Person||N/A|