- Code STAT4035
- 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, Finance, Statistics
- Academic career UGRD
- Dr Timothy Higgins
- Mode of delivery In Person
- Co-taught Course
First Semester 2018
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.
Indicative AssessmentTypical assessment may include, but is not restricted to: a mid-semester exam and a final exam
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Requisite and Incompatibility
Tuition fees are for the academic year indicated at the top of the page.
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- Student Contribution Band:
- 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|
|4644||19 Feb 2018||27 Feb 2018||31 Mar 2018||25 May 2018||In Person||N/A|