- Class Number 6680
- Term Code 3160
- Class Info
- Unit Value 6 units
- Mode of Delivery In Person
- Dr Gaurav Khemka
- Dr Gaurav Khemka
- Class Dates
- Class Start Date 26/07/2021
- Class End Date 29/10/2021
- Census Date 14/09/2021
- Last Date to Enrol 02/08/2021
This course continues coverage of techniques for risk modelling beyond those introduced in Risk Modelling 1, with an emphasis on application to insurance portfolios and financial risks.
Upon successful completion, students will have the knowledge and skills to:Upon successful completion of the requirements for this course, students will be able to:
- Describe and calculate measures of investment risk, and how insurance companies reduce risk.
- Describe and apply compound Poisson processes to calculate the probability of ruin for insurance portfolios.
- Describe and apply run-off triangle methods for valuing insurance liabilities.
- Describe and demonstrate knowledge and understanding of simple models for credit risk.
Gaurav has many years of professional practice and active research. He also has the relevant background in the field of valuation and risk management. The course will address current issues of interest and current approaches to actuarial practice in valuation and risk management.
Examination Material or equipment
Examination material and condition will be notified to all students via wattle by week 10 and the examinations office.
Comprehensive lecture notes and lecture slides will be made available on Wattle.
In many weeks of this course, we will be using Excel spreadsheets in class to demonstrate various aspects of the course, so please ensure you have access to the software on your device. Access to Excel is free for ANU students though the ANU IT database.
There are no prescribed texts besides the lecture notes, however, there are optional texts available. Details of these will be provided in Wattle.
Students will be given feedback in the following forms in this course:
- written comments
- verbal comments
- feedback to whole class, groups, individuals, focus group etc
ANU is committed to the demonstration of educational excellence and regularly seeks feedback from students. Students are encouraged to offer feedback directly to their Course Convener or through their College and Course representatives (if applicable). The feedback given in these surveys is anonymous and provides the Colleges, University Education Committee and Academic Board with opportunities to recognise excellent teaching, and opportunities for improvement. The Surveys and Evaluation website provides more information on student surveys at ANU and reports on the feedback provided on ANU courses.
Support for Students
The University offers a number of support services for students. Information on these is available online from http://students.anu.edu.au/studentlife/
Communication via Email
If I, or anyone in the School, College or University administration, need to contact you, we will do so via your official ANU student email address, which you need to check regularly. If
you have any questions for the teaching and course convenor make sure you email them using your ANU email address. Emails from personal email accounts will not be answered.
Students are expected to check the Wattle site for announcements about this course, e.g. changes to timetables or notifications of cancellations.
As a further academic integrity control, students may be selected for a 15 minute individual oral examination of their written assessment submissions.
Any student identified, either during the current semester or in retrospect, as having used ghost writing services will be investigated under the University’s Academic Misconduct Rule.
Your final mark for the course will be based on the raw marks allocated for each of your assessment items. However, your final mark may not be the same number as produced by
that formula, as marks may be scaled. Any scaling applied will preserve the rank order of raw marks (i.e. if your raw mark exceeds that of another student, then your scaled mark
will exceed the scaled mark of that student), and may be either up or down.
In assignments and exams, students must appropriately reference any results, words or ideas that they take from another source which is not their own. A guide can be found
at https://academicskills.anu.edu.au/resources/handouts/referencing-basics .
STAT3058 shares the same lecture content and assignments with STAT8058, however these cohorts may have separate tutorials and different assessments. The different cohorts of students will also be treated separately in grading and any scaling that is applied.
|Week/Session||Summary of Activities||Assessment|
|1||Introduction to the Course Risk and Insurance Companies Continuous Time Models Review|
|2||Continuous Time Models Review Credit Risk Models|
|3||Credit Risk Models|
|4||Credit Risk Models|
|5||Ruin Theory||Assignment 1 Due|
|6||Ruin Theory||Mid-semester Exam (week 6 or 7)|
|7||Ruin Theory||Mid-semester Exam (week 6 or 7)|
|11||Run-off Triangles||Assignment 2 Due|
|12||Review and Catch up||There will be a final exam during the university examination period. More information and instructions regarding final exams will be provided no later than week 10.|
Tutorials will be available on campus, live through scheduled Zoom sessions, and as pre-recorded videos. Information regarding enrolments for these options will be provided on
Wattle during O-week of the semester.
|Assessment task||Value||Due Date||Return of assessment||Learning Outcomes|
|Assignment 1||5 %||26/08/2021||03/09/2021||1,4|
|Mid-semester Exam||20 %||03/09/2021||01/10/2021||1,4|
|Assignment 2||20 %||22/10/2021||02/11/2021||1,2,4|
|End of Semester Exam||55 %||04/11/2021||02/12/2021||1,2,3,4|
* If the Due Date and Return of Assessment date are blank, see the Assessment Tab for specific Assessment Task details
ANU has educational policies, procedures and guidelines, which are designed to ensure that staff and students are aware of the University’s academic standards, and implement them. Students are expected to have read the Academic Misconduct Rule before the commencement of their course. Other key policies and guidelines include:
- Student Assessment (Coursework) Policy and Procedure
- Special Assessment Consideration Policy and General Information
- Student Surveys and Evaluations
- Deferred Examinations
- Student Complaint Resolution Policy and Procedure
The ANU is using Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. For additional information regarding Turnitin please visit the Academic Integrity . In rare cases where online submission using Turnitin software is not technically possible; or where not using Turnitin software has been justified by the Course Convener and approved by the Associate Dean (Education) on the basis of the teaching model being employed; students shall submit assessment online via ‘Wattle’ outside of Turnitin, or failing that in hard copy, or through a combination of submission methods as approved by the Associate Dean (Education). The submission method is detailed below.
Moderation of Assessment
Marks that are allocated during Semester are to be considered provisional until formalised by the College examiners meeting at the end of each Semester. If appropriate, some moderation of marks might be applied prior to final results being released.
Lectures will be pre-recorded. Consultations will be live through Zoom. Tutorials will be available on campus, live through scheduled Zoom sessions, and as pre-recorded videos.
Information regarding enrolments for these options will be provided on Wattle during O-week, prior to the start of the semester.
Centrally scheduled examinations through Examinations, Graduations & Prizes will be timetabled prior to the examination period. Please check ANU Timetabling for further information.
Assessment Task 1
Learning Outcomes: 1,4
Assignment 1 will cover materials from week 1-2 (Risk and Insurance Companies and Continuous Time Models Review). The assignment will require answers to some problem solving. The students are expected to complete this assignment individually. The assignment will be submitted in Wattle via Turnitin.
Questions will be available on Wattle by CoB 06.08.2021.
Due date and time: Thursday 26 August. 3 pm (week 5)
Assessment Task 2
Learning Outcomes: 1,4
Details of task:
The Mid-Semester Exam will be 3 hours. Please note that the Mid-Semester Exam is redeemable. The Mid-Semester exam will cover materials up to and including Credit Risk Models. The exam will be a Wattle-based online exam (submission via Wattle and email/one-drive). It will be open book and all materials are permitted. This exam will not be actively invigilated via Proctorio or Zoom.
Value: 20% or 0%
Date: The Mid-Semester Exam will be scheduled for Week 6 or Week 7, however, this date may change depending on availability. The exam will be centrally timetabled and details of the final examination timetable will be made available on the ANU Timetabling website.
Assessment Task 3
Learning Outcomes: 1,2,4
Details of task: Students will be required to analyse data and answer the provided questions. Microsoft Excel is expected to be used. This will include materials up to and including Ruin Theory. The students are expected to complete this assignment individually. The assignment will be submitted in Wattle via Turnitin.
Questions will be available on Wattle by CoB 04.10.2021.
Due date and time: Friday 22 October 4 pm (Week 11)
Assessment Task 4
Learning Outcomes: 1,2,3,4
End of Semester Exam
Details of task:
The Final Exam is compulsory. Further details relating to the Exam will be provided closer to the scheduled date and no later than week 10. The exam will be a Wattle-based online exam (submission via Wattle and email/one-drive). The final examination will be 4 hours long and cover the entire syllabus. It will be open book and all materials are permitted. This exam will not be actively invigilated via Proctorio or Zoom.
Value: 55% or 75%
Date: November 4th is the earliest date the exam can be held. The exam will be centrally timetabled and details of the final examination timetable will be made available on the ANU Timetabling website.
Academic integrity is a core part of the ANU culture as a community of scholars. At its heart, academic integrity is about behaving ethically, committing to honest and responsible scholarly practice and upholding these values with respect and fairness.
The ANU commits to assisting all members of our community to understand how to engage in academic work in ways that are consistent with, and actively support academic integrity. The ANU expects staff and students to be familiar with the academic integrity principle and Academic Misconduct Rule, uphold high standards of academic integrity and act ethically and honestly, to ensure the quality and value of the qualification that you will graduate with.
The Academic Misconduct Rule is in place to promote academic integrity and manage academic misconduct. Very minor breaches of the academic integrity principle may result in a reduction of marks of up to 10% of the total marks available for the assessment. The ANU offers a number of online and in person services to assist students with their assignments, examinations, and other learning activities. Visit the Academic Skills website for more information about academic integrity, your responsibilities and for assistance with your assignments, writing skills and study.
You will be required to electronically sign a declaration as part of the submission of your assignment. Please keep a copy of the assignment for your records. Unless an exemption has been approved by the Associate Dean (Education) submission must be through Turnitin.
Assignment 1 will consist of numerical problem solving. You can submit a handwritten or a typed document (preferred). Details on how to submit handwritten assignments will be provided on Wattle.
Assignment 2 submission will consist of a report and software related files (Excel) uploaded to Wattle to the relevant Assignment activity. Details on how to submit handwritten assignments will be provided on Wattle.
No hard copy assignment submissions are accepted.
No submission of assessment tasks without an extension after the due date will be permitted. If an assessment task is not submitted by the due date, a mark of 0 will be awarded.
Accepted academic practice for referencing sources that you use in presentations can be found via the links on the Wattle site, under the file named “ANU and College Policies, Program Information, Student Support Services and Assessment”. Alternatively, you can seek help through the Students Learning Development website.
Marked assignments will be returned as soon as they are marked (usually a week), either in class time, or via email or Wattle to individual students.
Extensions and Penalties
Extensions and late submission of assessment pieces are covered by the Student Assessment (Coursework) Policy and Procedure. Extensions may be granted for assessment pieces that are not examinations or take-home examinations. If you need an extension, you must request an extension in writing on or before the due date. If you have documented and appropriate medical evidence that demonstrates you were not able to request an extension on or before the due date, you may be able to request it after the due date.
Resubmission of Assignments
Students will not be permitted to resubmit assignments.
Distribution of grades policy
Academic Quality Assurance Committee monitors the performance of students, including attrition, further study and employment rates and grade distribution, and College reports on quality assurance processes for assessment activities, including alignment with national and international disciplinary and interdisciplinary standards, as well as qualification type learning outcomes.
Since first semester 1994, ANU uses a grading scale for all courses. This grading scale is used by all academic areas of the University.
Support for students
The University offers students support through several different services. You may contact the services listed below directly or seek advice from your Course Convener, Student Administrators, or your College and Course representatives (if applicable).
- ANU Health, safety & wellbeing for medical services, counselling, mental health and spiritual support
- ANU Diversity and inclusion for students with a disability or ongoing or chronic illness
- ANU Dean of Students for confidential, impartial advice and help to resolve problems between students and the academic or administrative areas of the University
- ANU Academic Skills and Learning Centre supports you make your own decisions about how you learn and manage your workload.
- ANU Counselling Centre promotes, supports and enhances mental health and wellbeing within the University student community.
- ANUSA supports and represents undergraduate and ANU College students
- PARSA supports and represents postgraduate and research students
Dr Gaurav Khemka
Dr Gaurav Khemka