- 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, Statistics
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:
- Perform complex estimation using skewed distributions with and without the presence of censoring and truncation;
- Aggregate a variety of random quantities through compound distribution theory; and,
- Use Compound Poisson process theory including approximation of boundary crossing probabilities as applied to calculating risk for a range of insurance portfolios.
- Typical assessment may include, but is not restricted to: exams, assignments, quizzes, presentations and other assessment as appropriate (100) [LO 1,2,3]
In response to COVID-19: Please note that Semester 2 Class Summary information (available under the classes tab) is as up to date as possible. Changes to Class Summaries not captured by this publication will be available to enrolled students via Wattle.
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Students are expected to commit 130 hours of work in completing this course. This includes time spent in scheduled classes and self-directed study time.
Requisite and Incompatibility
You will need to contact the Rsch Sch of Finance, Actuarial Studies & App Stats to request a permission code to enrol in this course.
Information about the prescribed textbook will be available via the Class Summary
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
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.
Offerings, Dates and Class Summary Links
Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.